# EDGAR Filing Document

**Accession Number:** 0000809707
**File Stem:** 0002071691-26-014433
**Filing Date:** 2026-6
**Character Count:** 525167
**Document Hash:** 8ea17c002291df217771004769b0d2de
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-014433.hdr.sgml**: 20260624

**ACCESSION NUMBER**: 0002071691-26-014433

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260624

**DATE AS OF CHANGE**: 20260624

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Franklin Investors Securities Trust
- **CENTRAL INDEX KEY:** 0000809707

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04986
- **FILM NUMBER:** 261113782

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2200

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN INVESTORS SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### FRANKLIN LOW DURATION U.S. GOVERNMENT SECURITIES FUND (Series ID: S000006850)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000018509 | Class A       | FISAX           |
| C000018510 | Class C       | FCSCX           |
| C000064441 | Advisor Class | FAUZX           |
| C000133492 | Class R6      | FAURX           |
| C000140480 | Class A1      | FAUGX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin Investors Securities Trust

- **b. Investment Company Act file number:** 811-04986

- **c. CIK number of Registrant:** 0000809707

- **d. LEI of Registrant:** 549300XUGIR9DEQFV548

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

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

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

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

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

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

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

- **b. EDGAR series identifier (if any):** S000006850

- **c. LEI of Series:** 549300OAF2KY89TO9M53

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

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

- **b. Date as of which information is reported:** 2026-04-30

**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:** $381178276.14

**Total Liabilities:** $1771061.59

**Net Assets:** $379407214.55

**Cash Not Reported:** $18500220.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -729.33000000 | **1-Year:** -12896.43000000 | **5-Year:** -7366.36000000 | **10-Year:** -40115.18000000 | **30-Year:** -19139.63000000

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

- **3-Month:** 0.00000000 | **1-Year:** -14103.88000000 | **5-Year:** -6019.83000000 | **10-Year:** 1776.58000000 | **30-Year:** -8030.73000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018509 | 0.34%                | -0.07%               | 0.20%                |
| Class ID C000018510 | 0.44%                | -0.23%               | 0.17%                |
| Class ID C000064441 | 0.36%                | -0.18%               | 0.36%                |
| Class ID C000133492 | 0.49%                | -0.17%               | 0.23%                |
| Class ID C000140480 | 0.35%                | -0.19%               | 0.35%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $45882.71                | $203256.36                                 |
| Month 2  | $-417.12                 | $-873845.23                                |
| Month 3  | $0.00                    | $-60955.70                                 |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Government (1-3 Y) Index

- **Index Identifier:** BM2542

### Schedule of Portfolio Investments

| Name                                                     | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1312060 | PA      | $1366867.71   | 0.36%             | 2043-07-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QEM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1283025 | PA      | $1343455.65   | 0.35%             | 2043-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3255977 | PA      | $3376782.17   | 0.89%             | 2047-06-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QF70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2439201 | PA      | $2534408.02   | 0.67%             | 2046-10-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QGM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1313875 | PA      | $1367022.76   | 0.36%             | 2043-10-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QGQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1239553 | PA      | $1292652.93   | 0.34%             | 2044-01-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5266253 | PA      | $5479626.02   | 1.44%             | 2046-07-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QLK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2866932 | PA      | $3002335.42   | 0.79%             | 2046-11-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3091057 | PA      | $3211905.20   | 0.85%             | 2047-08-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3772677 | PA      | $3967166.75   | 1.05%             | 2046-11-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JMV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    652241 | PA      | $675563.95    | 0.18%             | 2036-02-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JMVS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170077 | PA      | $174273.88    | 0.05%             | 2036-01-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JNDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248684 | PA      | $255767.85    | 0.07%             | 2035-06-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JQBR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264539 | PA      | $271774.22    | 0.07%             | 2040-04-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JR3X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    444813 | PA      | $455252.84    | 0.12%             | 2035-11-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JR6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115981 | PA      | $120328.82    | 0.03%             | 2037-06-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644437 | PA      | $666900.18    | 0.18%             | 2034-12-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61645 | PA      | $63057.97     | 0.02%             | 2035-06-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRGX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1227092 | PA      | $1268672.66   | 0.33%             | 2035-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRJB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91583 | PA      | $94103.37     | 0.02%             | 2035-11-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRV37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82444 | PA      | $84974.61     | 0.02%             | 2037-12-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128LUFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265494 | PA      | $273482.65    | 0.07%             | 2036-11-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128LUK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    462424 | PA      | $478851.45    | 0.13%             | 2037-03-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1187916 | PA      | $1219754.97   | 0.32%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58778 | PA      | $59632.70     | 0.02%             | 2036-01-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39232 | PA      | $40175.01     | 0.01%             | 2036-09-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341291 | PA      | $351167.31    | 0.09%             | 2036-11-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QGFA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94593 | PA      | $96349.39     | 0.03%             | 2036-04-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QGMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86798 | PA      | $88128.60     | 0.02%             | 2037-01-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QPKE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144457 | PA      | $148547.60    | 0.04%             | 2036-09-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QPQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496913 | PA      | $519763.27    | 0.14%             | 2037-01-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QS3L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29744 | PA      | $30521.57     | 0.01%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QSAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    783373 | PA      | $806706.37    | 0.21%             | 2036-01-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QSU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136103 | PA      | $138837.92    | 0.04%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S44P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393155 | PA      | $401414.39    | 0.11%             | 2035-12-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4A49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189063 | PA      | $196788.95    | 0.05%             | 2036-02-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4EN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95942 | PA      | $97963.89     | 0.03%             | 2036-04-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4GC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31845 | PA      | $32731.73     | 0.01%             | 2037-01-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4GM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12528 | PA      | $12798.77     | 0.00%             | 2036-02-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4HF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188703 | PA      | $195625.08    | 0.05%             | 2037-03-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4KY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141830 | PA      | $146652.96    | 0.04%             | 2037-09-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S54S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251068 | PA      | $257287.99    | 0.07%             | 2038-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5AJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177127 | PA      | $181562.91    | 0.05%             | 2037-01-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373173 | PA      | $382742.40    | 0.10%             | 2037-04-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5EK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99910 | PA      | $102765.21    | 0.03%             | 2037-10-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5F66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196404 | PA      | $200941.40    | 0.05%             | 2037-05-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5FP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195491 | PA      | $200524.47    | 0.05%             | 2037-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5FR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266230 | PA      | $273945.40    | 0.07%             | 2037-12-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5L51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1358820 | PA      | $1409448.53   | 0.37%             | 2037-06-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5LE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    346744 | PA      | $356556.14    | 0.09%             | 2036-11-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5QL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241809 | PA      | $251641.04    | 0.07%             | 2037-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5QV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322156 | PA      | $331729.70    | 0.09%             | 2037-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5QX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201918 | PA      | $209025.29    | 0.06%             | 2038-10-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5VZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148084 | PA      | $152070.46    | 0.04%             | 2038-03-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445924 | PA      | $457857.67    | 0.12%             | 2037-11-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5XQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388851 | PA      | $406979.42    | 0.11%             | 2037-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5ZW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3016700 | PA      | $3143504.05   | 0.83%             | 2037-09-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S6AS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266282 | PA      | $275193.25    | 0.07%             | 2038-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78144 | PA      | $80010.91     | 0.02%             | 2036-02-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LEF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338786 | PA      | $347491.95    | 0.09%             | 2034-08-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    687449 | PA      | $710241.37    | 0.19%             | 2035-12-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LFK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118648 | PA      | $121266.96    | 0.03%             | 2038-03-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336283 | PA      | $346217.35    | 0.09%             | 2036-07-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LLX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158163 | PA      | $162672.79    | 0.04%             | 2037-08-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    794665 | PA      | $825608.09    | 0.22%             | 2035-03-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442315 | PA      | $460254.76    | 0.12%             | 2037-03-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300M4K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342156 | PA      | $350834.81    | 0.09%             | 2035-09-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79709 | PA      | $82920.93     | 0.02%             | 2036-06-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131553 | PA      | $134834.32    | 0.04%             | 2037-03-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222727 | PA      | $229430.47    | 0.06%             | 2036-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MHK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    776181 | PA      | $807590.99    | 0.21%             | 2040-11-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131331 | PA      | $134241.99    | 0.04%             | 2041-11-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MZH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244811 | PA      | $251478.01    | 0.07%             | 2040-05-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    735863 | PA      | $767330.30    | 0.20%             | 2041-10-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1431253 | PA      | $1468939.16   | 0.39%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1612424 | PA      | $1622308.05   | 0.43%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 413, Class F23                                                     | CUSIP: 3133Q3LF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974103 | PA      | $981334.18    | 0.26%             | 2054-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31342AZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56704 | PA      | $57961.20     | 0.02%             | 2033-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31347ASU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286963 | PA      | $293995.66    | 0.08%             | 2036-01-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31347AVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1249402 | PA      | $1297549.65   | 0.34%             | 2045-05-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31349SRM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90344 | PA      | $92318.72     | 0.02%             | 2034-04-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31349UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350919 | PA      | $366732.13    | 0.10%             | 2034-08-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 343, Class F4                                                      | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2564576 | PA      | $2513949.95   | 0.66%             | 2037-10-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 313612HK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       349 | PA      | $346.41       | 0.00%             | 2027-04-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       163 | PA      | $161.59       | 0.00%             | 2027-07-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31361HL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84 | PA      | $83.58        | 0.00%             | 2026-08-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31361ML80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        69 | PA      | $68.60        | 0.00%             | 2026-09-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362GM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       486 | PA      | $483.75       | 0.00%             | 2028-01-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362JUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       141 | PA      | $139.52       | 0.00%             | 2028-06-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362RD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       165 | PA      | $164.45       | 0.00%             | 2027-11-01      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362S5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4 | PA      | $4.13         | 0.00%             | 2029-01-01      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31363XDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15766 | PA      | $15636.99     | 0.00%             | 2028-11-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2019-38, Class AF                                                   | CUSIP: 3136B5DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2850650 | PA      | $2822238.08   | 0.74%             | 2049-07-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2019-38, Class CF                                                   | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1128343 | PA      | $1108563.82   | 0.29%             | 2049-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2019-59, Class BF                                                   | CUSIP: 3136B6LC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4330851 | PA      | $4286060.29   | 1.13%             | 2049-10-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2020-54, Class WF                                                   | CUSIP: 3136BBGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2298044 | PA      | $2281400.44   | 0.60%             | 2050-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2021-8, Class YF                                                    | CUSIP: 3136BFFR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6585133 | PA      | $6549744.23   | 1.73%             | 2061-03-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2021-44, Class FA                                                   | CUSIP: 3136BHC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3394980 | PA      | $3313640.55   | 0.87%             | 2045-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2021-36, Class YF                                                   | CUSIP: 3136BHPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3402436 | PA      | $3408192.52   | 0.90%             | 2061-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2024-105, Class FC                                                  | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1987816 | PA      | $2006149.42   | 0.53%             | 2055-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2024-98, Class FA                                                   | CUSIP: 3136BUCU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575589 | PA      | $581246.78    | 0.15%             | 2053-12-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2024-103, Class FB                                                  | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1722987 | PA      | $1735096.59   | 0.46%             | 2055-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2025-55, Class FG                                                   | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1775140 | PA      | $1791262.46   | 0.47%             | 2055-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2025-59, Class FD                                                   | CUSIP: 3136BWY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1786549 | PA      | $1804731.09   | 0.48%             | 2055-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73302 | PA      | $72689.75     | 0.02%             | 2033-03-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371L4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3429 | PA      | $3514.63      | 0.00%             | 2035-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371MAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5574 | PA      | $5697.56      | 0.00%             | 2035-03-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371MB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49454 | PA      | $50714.32     | 0.01%             | 2035-05-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371MFY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51342 | PA      | $52994.63     | 0.01%             | 2035-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31373CSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2977043 | PA      | $2950477.16   | 0.78%             | 2034-04-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31373KHS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6152 | PA      | $6104.38      | 0.00%             | 2032-10-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175343 | PA      | $172267.85    | 0.05%             | 2034-09-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374GEW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       885 | PA      | $886.94       | 0.00%             | 2027-04-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3741 | PA      | $3703.75      | 0.00%             | 2036-05-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374T2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31934 | PA      | $31334.72     | 0.01%             | 2036-05-01      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374TYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5493 | PA      | $5552.93      | 0.00%             | 2029-08-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31375VEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       254 | PA      | $253.68       | 0.00%             | 2036-07-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31376JNW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3072 | PA      | $3162.08      | 0.00%             | 2036-10-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378C4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       993 | PA      | $987.45       | 0.00%             | 2027-07-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378FEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       192 | PA      | $191.29       | 0.00%             | 2027-06-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378FMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       892 | PA      | $884.50       | 0.00%             | 2027-04-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378QJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1065 | PA      | $1095.64      | 0.00%             | 2038-04-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       833 | PA      | $834.16       | 0.00%             | 2027-06-01      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31379LCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4899 | PA      | $4916.63      | 0.00%             | 2027-12-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31379MDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4214 | PA      | $4362.78      | 0.00%             | 2038-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4107, Class KF                                                     | CUSIP: 3137AUFV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1219006 | PA      | $1206046.88   | 0.32%             | 2038-06-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4197, Class KF                                                     | CUSIP: 3137B1TL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121958 | PA      | $1082620.31   | 0.29%             | 2037-09-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4215, Class KF                                                     | CUSIP: 3137B34M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    874400 | PA      | $852412.82    | 0.22%             | 2040-02-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4794, Class WF                                                     | CUSIP: 3137F5MJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2512023 | PA      | $2476191.40   | 0.65%             | 2043-03-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4730, Class WF                                                     | CUSIP: 3137FBCF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2357246 | PA      | $2329097.34   | 0.61%             | 2038-08-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4891, Class AF                                                     | CUSIP: 3137FM2A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4041938 | PA      | $4091290.93   | 1.08%             | 2042-07-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4895, Class GF                                                     | CUSIP: 3137FMQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4250218 | PA      | $4195720.50   | 1.11%             | 2043-11-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4915, Class FE                                                     | CUSIP: 3137FNJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5761048 | PA      | $5695117.66   | 1.50%             | 2038-02-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4989, Class FA                                                     | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3594737 | PA      | $3530465.78   | 0.93%             | 2040-08-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4988, Class AF                                                     | CUSIP: 3137FUN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2860641 | PA      | $2823744.97   | 0.74%             | 2037-10-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF160, Class AS | CUSIP: 3137HBBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1794713 | PA      | $1798536.08   | 0.47%             | 2030-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF163, Class AS | CUSIP: 3137HDPJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2724156 | PA      | $2740686.69   | 0.72%             | 2034-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multifamily Structured Pass-Through Certificates  | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF164, Class AS | CUSIP: 3137HHUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3436237 | PA      | $3435458.05   | 0.91%             | 2034-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 5517, Class FH                                                     | CUSIP: 3137HKGL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1305723 | PA      | $1316640.15   | 0.35%             | 2055-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 5537, Class FC                                                     | CUSIP: 3137HLBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1688150 | PA      | $1707472.66   | 0.45%             | 2055-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 5568, Class FG                                                     | CUSIP: 3137HMN89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1675916 | PA      | $1691424.23   | 0.45%             | 2055-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28621 | PA      | $28488.70     | 0.01%             | 2034-11-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7236 | PA      | $7212.15      | 0.00%             | 2036-04-01      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19791 | PA      | $19714.86     | 0.01%             | 2033-06-01      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116040 | PA      | $116949.77    | 0.03%             | 2035-10-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556451 | PA      | $562348.89    | 0.15%             | 2037-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384KZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1149 | PA      | $1163.30      | 0.00%             | 2029-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13 | PA      | $12.65        | 0.00%             | 2030-03-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4830 | PA      | $4823.70      | 0.00%             | 2040-10-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4637 | PA      | $4635.88      | 0.00%             | 2027-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       107 | PA      | $107.53       | 0.00%             | 2028-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23045 | PA      | $22608.33     | 0.01%             | 2036-05-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38 | PA      | $38.31        | 0.00%             | 2028-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385H4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2633 | PA      | $2684.42      | 0.00%             | 2040-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385H5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22330 | PA      | $22779.15     | 0.01%             | 2032-01-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7689 | PA      | $7677.53      | 0.00%             | 2030-02-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1808 | PA      | $1809.09      | 0.00%             | 2036-07-01      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324281 | PA      | $321880.82    | 0.08%             | 2034-04-01      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       457 | PA      | $451.73       | 0.00%             | 2036-05-01      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2066 | PA      | $2042.72      | 0.00%             | 2036-05-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        51 | PA      | $51.48        | 0.00%             | 2038-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2488 | PA      | $2503.09      | 0.00%             | 2029-02-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8305 | PA      | $8446.98      | 0.00%             | 2032-02-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4032 | PA      | $4117.04      | 0.00%             | 2032-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24578 | PA      | $24924.25     | 0.01%             | 2032-09-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21839 | PA      | $21954.26     | 0.01%             | 2028-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       154 | PA      | $156.78       | 0.00%             | 2036-08-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19041 | PA      | $19143.98     | 0.01%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3269 | PA      | $3323.97      | 0.00%             | 2032-12-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       504 | PA      | $504.03       | 0.00%             | 2027-09-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17931 | PA      | $18326.45     | 0.00%             | 2033-01-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WYA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20950 | PA      | $21118.04     | 0.01%             | 2039-09-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13063 | PA      | $13343.15     | 0.00%             | 2033-01-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1066 | PA      | $1083.02      | 0.00%             | 2032-12-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51926 | PA      | $52351.21     | 0.01%             | 2032-09-01      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $45.20        | 0.00%             | 2036-05-01      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13568 | PA      | $13840.56     | 0.00%             | 2033-05-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5200 | PA      | $5287.74      | 0.00%             | 2033-04-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $13.66        | 0.00%             | 2033-05-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XJS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5346 | PA      | $5468.18      | 0.00%             | 2040-01-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31065 | PA      | $31592.58     | 0.01%             | 2033-07-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7875 | PA      | $8023.56      | 0.00%             | 2033-08-01      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12809 | PA      | $12985.19     | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XMD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2669 | PA      | $2728.17      | 0.00%             | 2033-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        58 | PA      | $58.17        | 0.00%             | 2030-08-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1080 | PA      | $1094.68      | 0.00%             | 2033-09-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1097 | PA      | $1090.49      | 0.00%             | 2035-09-01      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3336 | PA      | $3406.01      | 0.00%             | 2036-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6057 | PA      | $6112.28      | 0.00%             | 2033-09-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1923 | PA      | $1967.90      | 0.00%             | 2038-03-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       890 | PA      | $887.42       | 0.00%             | 2033-11-01      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29649 | PA      | $30064.88     | 0.01%             | 2040-06-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19175 | PA      | $19273.57     | 0.01%             | 2040-06-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385Y6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25556 | PA      | $25808.44     | 0.01%             | 2030-11-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385YEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2952 | PA      | $2955.82      | 0.00%             | 2027-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386C3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29601 | PA      | $29590.79     | 0.01%             | 2040-09-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386C3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15858 | PA      | $15969.89     | 0.00%             | 2040-09-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386CXW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       421 | PA      | $422.39       | 0.00%             | 2028-06-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386G6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2841 | PA      | $2862.06      | 0.00%             | 2040-11-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386G7J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4732 | PA      | $4732.97      | 0.00%             | 2040-11-01      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386M2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2136 | PA      | $2171.40      | 0.00%             | 2030-09-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386M2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2705 | PA      | $2746.58      | 0.00%             | 2030-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386MLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2294 | PA      | $2302.45      | 0.00%             | 2040-12-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386QD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152691 | PA      | $152935.49    | 0.04%             | 2041-01-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1687 | PA      | $1682.12      | 0.00%             | 2041-02-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31387MAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70008 | PA      | $70935.64     | 0.02%             | 2031-04-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31387TZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       241 | PA      | $240.34       | 0.00%             | 2028-06-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $12.20        | 0.00%             | 2030-12-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388G7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18384 | PA      | $18709.11     | 0.00%             | 2032-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5234 | PA      | $5285.77      | 0.00%             | 2031-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388K2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11311 | PA      | $11529.26     | 0.00%             | 2031-09-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388NR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4241 | PA      | $4277.00      | 0.00%             | 2030-03-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388RPD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73176 | PA      | $74448.47     | 0.02%             | 2033-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388X3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3932 | PA      | $3922.28      | 0.00%             | 2029-04-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192611 | PA      | $191102.92    | 0.05%             | 2033-08-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5450 | PA      | $5342.60      | 0.00%             | 2033-05-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1351 | PA      | $1339.74      | 0.00%             | 2027-11-01      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2994 | PA      | $2973.86      | 0.00%             | 2037-12-01      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1106 | PA      | $1105.20      | 0.00%             | 2038-01-01      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2598 | PA      | $2580.37      | 0.00%             | 2036-11-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3217 | PA      | $3194.45      | 0.00%             | 2038-06-01      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25210 | PA      | $24560.79     | 0.01%             | 2035-03-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389CYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8193 | PA      | $8269.55      | 0.00%             | 2032-01-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389HEY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4746 | PA      | $4836.93      | 0.00%             | 2032-03-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389PVL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82505 | PA      | $83291.01     | 0.02%             | 2032-03-01      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389TGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68317 | PA      | $70008.46     | 0.02%             | 2032-03-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       972 | PA      | $987.88       | 0.00%             | 2032-06-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389VAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16860 | PA      | $17167.45     | 0.00%             | 2032-04-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EG7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474537 | PA      | $487155.18    | 0.13%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59836 | PA      | $61981.42     | 0.02%             | 2035-09-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35740 | PA      | $36954.32     | 0.01%             | 2036-09-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092824 | PA      | $1125155.86   | 0.30%             | 2039-01-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGJB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95640 | PA      | $98031.25     | 0.03%             | 2035-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGL93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139008 | PA      | $143107.17    | 0.04%             | 2036-02-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390831 | PA      | $402360.60    | 0.11%             | 2035-08-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620732 | PA      | $637369.21    | 0.17%             | 2035-09-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48476 | PA      | $49773.11     | 0.01%             | 2036-01-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EH7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33548 | PA      | $33937.05     | 0.01%             | 2034-08-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272698 | PA      | $279519.92    | 0.07%             | 2035-04-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19521 | PA      | $20170.13     | 0.01%             | 2041-11-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42598 | PA      | $44376.86     | 0.01%             | 2037-08-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28138 | PA      | $29092.35     | 0.01%             | 2037-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38782 | PA      | $39401.30     | 0.01%             | 2037-07-01      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32336 | PA      | $32967.70     | 0.01%             | 2037-08-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577509 | PA      | $596612.46    | 0.16%             | 2039-09-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2869 | PA      | $2933.74      | 0.00%             | 2035-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98782 | PA      | $101318.25    | 0.03%             | 2034-11-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252250 | PA      | $258270.25    | 0.07%             | 2039-09-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702166 | PA      | $728779.98    | 0.19%             | 2036-06-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EK6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494117 | PA      | $509384.83    | 0.13%             | 2038-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EKTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37457 | PA      | $38617.49     | 0.01%             | 2038-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ELR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649090 | PA      | $673320.01    | 0.18%             | 2037-03-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ELXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159377 | PA      | $162025.50    | 0.04%             | 2037-01-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EM2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847142 | PA      | $874510.13    | 0.23%             | 2038-01-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EMA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393189 | PA      | $409992.75    | 0.11%             | 2040-12-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ENA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192550 | PA      | $196395.00    | 0.05%             | 2042-01-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EPR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302632 | PA      | $310026.04    | 0.08%             | 2040-04-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQ5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453447 | PA      | $468751.43    | 0.12%             | 2042-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65471 | PA      | $68167.20     | 0.02%             | 2036-08-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206136 | PA      | $214684.60    | 0.06%             | 2040-12-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248161 | PA      | $257084.12    | 0.07%             | 2040-03-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ERS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130577 | PA      | $133959.85    | 0.04%             | 2038-07-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ESAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1818964 | PA      | $1891897.88   | 0.50%             | 2040-04-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ETM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2978424 | PA      | $3100235.69   | 0.82%             | 2036-05-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138YBWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61221 | PA      | $63110.55     | 0.02%             | 2045-04-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6509 | PA      | $6635.53      | 0.00%             | 2032-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       604 | PA      | $615.45       | 0.00%             | 2032-03-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390K5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64165 | PA      | $64872.41     | 0.02%             | 2032-11-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390NJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1864 | PA      | $1867.12      | 0.00%             | 2032-06-01      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390PQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5518 | PA      | $5643.13      | 0.00%             | 2032-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390RZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       645 | PA      | $659.58       | 0.00%             | 2032-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2149 | PA      | $2166.74      | 0.00%             | 2032-05-01      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390UMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1495 | PA      | $1534.32      | 0.00%             | 2033-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390W7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12826 | PA      | $13129.61     | 0.00%             | 2032-11-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29378 | PA      | $29719.10     | 0.01%             | 2033-09-01      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WQX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39238 | PA      | $40303.73     | 0.01%             | 2033-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6493 | PA      | $6568.61      | 0.00%             | 2033-09-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3034 | PA      | $3067.94      | 0.00%             | 2033-10-01      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391A7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1026 | PA      | $1045.75      | 0.00%             | 2032-09-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391BC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3166 | PA      | $3230.01      | 0.00%             | 2032-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391EUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7242 | PA      | $7397.77      | 0.00%             | 2032-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391FFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12166 | PA      | $12134.78     | 0.00%             | 2027-08-01      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391FFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3440 | PA      | $3439.51      | 0.00%             | 2027-08-01      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $21.36        | 0.00%             | 2029-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391JKL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4989 | PA      | $5101.45      | 0.00%             | 2032-12-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391KQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       513 | PA      | $523.90       | 0.00%             | 2032-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391LSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144351 | PA      | $145721.38    | 0.04%             | 2033-03-01      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391MCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15637 | PA      | $15835.13     | 0.00%             | 2033-11-01      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391MDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53124 | PA      | $53673.54     | 0.01%             | 2032-11-01      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391MQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126317 | PA      | $127853.55    | 0.03%             | 2033-01-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391NM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1094 | PA      | $1117.30      | 0.00%             | 2032-11-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1119 | PA      | $1142.97      | 0.00%             | 2032-12-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391QWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5341 | PA      | $5454.04      | 0.00%             | 2032-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391RTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96077 | PA      | $98932.81     | 0.03%             | 2032-09-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391RTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11555 | PA      | $11830.12     | 0.00%             | 2032-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391RYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12262 | PA      | $12349.05     | 0.00%             | 2031-02-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391S6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4283 | PA      | $4345.43      | 0.00%             | 2032-11-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10304 | PA      | $10538.31     | 0.00%             | 2033-01-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       833 | PA      | $851.36       | 0.00%             | 2032-12-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       692 | PA      | $708.69       | 0.00%             | 2033-02-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       170 | PA      | $174.08       | 0.00%             | 2033-02-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       160 | PA      | $162.54       | 0.00%             | 2032-12-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1821 | PA      | $1852.85      | 0.00%             | 2032-12-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391T4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2762 | PA      | $2820.03      | 0.00%             | 2032-11-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391TU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18068 | PA      | $18348.29     | 0.00%             | 2032-12-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391TZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10746 | PA      | $10942.94     | 0.00%             | 2032-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391UD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125696 | PA      | $127776.03    | 0.03%             | 2033-01-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391UJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7094 | PA      | $7238.89      | 0.00%             | 2033-01-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391XEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75393 | PA      | $76892.60     | 0.02%             | 2032-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20113 | PA      | $20298.17     | 0.01%             | 2032-10-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44380 | PA      | $44964.12     | 0.01%             | 2033-01-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20445 | PA      | $20885.62     | 0.01%             | 2033-01-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1390 | PA      | $1414.54      | 0.00%             | 2033-01-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18142 | PA      | $18387.04     | 0.00%             | 2033-01-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ANG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7412 | PA      | $7540.03      | 0.00%             | 2033-01-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ANT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1288 | PA      | $1310.89      | 0.00%             | 2033-02-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3150 | PA      | $3211.95      | 0.00%             | 2033-03-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ARQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50 | PA      | $51.15        | 0.00%             | 2033-04-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ARR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9409 | PA      | $9624.00      | 0.00%             | 2033-04-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400BWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5631 | PA      | $5737.87      | 0.00%             | 2033-02-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400BWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3252 | PA      | $3320.87      | 0.00%             | 2033-02-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400FEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45526 | PA      | $46670.00     | 0.01%             | 2033-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400H5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23310 | PA      | $23796.98     | 0.01%             | 2033-03-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400JMH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3690 | PA      | $3771.01      | 0.00%             | 2033-04-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400KQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5024 | PA      | $5064.38      | 0.00%             | 2033-05-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400PAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90955 | PA      | $92589.77     | 0.02%             | 2033-02-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400Q2Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1924 | PA      | $1966.83      | 0.00%             | 2033-03-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4875 | PA      | $4945.25      | 0.00%             | 2033-03-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400QX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1628 | PA      | $1650.14      | 0.00%             | 2033-04-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400QZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       569 | PA      | $579.45       | 0.00%             | 2033-04-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2320 | PA      | $2350.93      | 0.00%             | 2033-02-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400RT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3890 | PA      | $3968.58      | 0.00%             | 2033-04-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400SJK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6991 | PA      | $7150.53      | 0.00%             | 2033-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400SJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39904 | PA      | $40885.95     | 0.01%             | 2033-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400SXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18496 | PA      | $18910.15     | 0.00%             | 2033-05-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400U3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20233 | PA      | $20751.11     | 0.01%             | 2033-03-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       165 | PA      | $164.79       | 0.00%             | 2028-03-01      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400WEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2041 | PA      | $2099.37      | 0.00%             | 2033-03-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400WR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15220 | PA      | $15470.15     | 0.00%             | 2033-04-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400XZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3039 | PA      | $3091.17      | 0.00%             | 2033-04-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400YA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23629 | PA      | $24031.19     | 0.01%             | 2033-04-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400YDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27243 | PA      | $28301.42     | 0.01%             | 2033-06-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4140 | PA      | $4217.08      | 0.00%             | 2033-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401BYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10879 | PA      | $11091.47     | 0.00%             | 2033-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16052 | PA      | $16226.57     | 0.00%             | 2033-05-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3389 | PA      | $3449.16      | 0.00%             | 2033-05-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CR21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       503 | PA      | $513.58       | 0.00%             | 2033-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CU76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4216 | PA      | $4269.14      | 0.00%             | 2033-05-01      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2899 | PA      | $2952.57      | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3206 | PA      | $3270.67      | 0.00%             | 2033-05-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4248 | PA      | $4332.56      | 0.00%             | 2033-05-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401D3F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3537 | PA      | $3627.95      | 0.00%             | 2033-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401D6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3036 | PA      | $3097.44      | 0.00%             | 2033-05-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401DMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6340 | PA      | $6488.69      | 0.00%             | 2033-05-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401EWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12085 | PA      | $12236.93     | 0.00%             | 2031-01-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401G4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14865 | PA      | $15126.01     | 0.00%             | 2033-07-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401G4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15030 | PA      | $15302.09     | 0.00%             | 2033-04-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401G5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47159 | PA      | $47754.72     | 0.01%             | 2033-04-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401GY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40358 | PA      | $41029.70     | 0.01%             | 2033-04-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5050 | PA      | $5129.62      | 0.00%             | 2033-04-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401H6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       938 | PA      | $955.53       | 0.00%             | 2033-06-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401HJF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12803 | PA      | $13047.43     | 0.00%             | 2033-06-01      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401HVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12385 | PA      | $12579.30     | 0.00%             | 2033-06-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401KL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18803 | PA      | $19325.87     | 0.01%             | 2033-06-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401KMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17584 | PA      | $18026.77     | 0.00%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401KSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48110 | PA      | $49362.92     | 0.01%             | 2033-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401L4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       724 | PA      | $737.63       | 0.00%             | 2033-05-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401L5Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42090 | PA      | $43090.83     | 0.01%             | 2033-06-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401MHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1238 | PA      | $1268.07      | 0.00%             | 2033-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401MUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12266 | PA      | $12476.04     | 0.00%             | 2033-04-01      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401PEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179582 | PA      | $182271.46    | 0.05%             | 2033-04-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401PEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12212 | PA      | $12389.35     | 0.00%             | 2033-04-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401PFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48960 | PA      | $49285.36     | 0.01%             | 2033-04-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401Y3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61938 | PA      | $63653.42     | 0.02%             | 2033-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401Y6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11533 | PA      | $11840.21     | 0.00%             | 2033-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401YYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27016 | PA      | $27717.92     | 0.01%             | 2033-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1698 | PA      | $1736.26      | 0.00%             | 2033-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402A5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25580 | PA      | $26166.82     | 0.01%             | 2033-07-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402A5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30927 | PA      | $31573.83     | 0.01%             | 2033-07-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402BSQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       595 | PA      | $610.43       | 0.00%             | 2033-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402BTK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10870 | PA      | $11118.38     | 0.00%             | 2033-08-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       594 | PA      | $608.32       | 0.00%             | 2038-05-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21100 | PA      | $21503.67     | 0.01%             | 2034-04-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21249 | PA      | $21609.95     | 0.01%             | 2030-09-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2078 | PA      | $2117.92      | 0.00%             | 2033-08-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C5X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30698 | PA      | $31100.60     | 0.01%             | 2034-01-01      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127127 | PA      | $131044.13    | 0.03%             | 2034-05-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4505 | PA      | $4550.26      | 0.00%             | 2034-04-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       325 | PA      | $329.62       | 0.00%             | 2039-09-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       562 | PA      | $570.69       | 0.00%             | 2039-09-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1354 | PA      | $1390.31      | 0.00%             | 2034-01-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       854 | PA      | $864.66       | 0.00%             | 2033-11-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       364 | PA      | $372.21       | 0.00%             | 2032-12-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29809 | PA      | $30722.66     | 0.01%             | 2034-02-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109417 | PA      | $110683.77    | 0.03%             | 2034-02-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151986 | PA      | $155855.64    | 0.04%             | 2034-02-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28556 | PA      | $29267.49     | 0.01%             | 2034-02-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       482 | PA      | $491.37       | 0.00%             | 2036-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402D4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7429 | PA      | $7521.09      | 0.00%             | 2033-07-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4568 | PA      | $4693.08      | 0.00%             | 2034-06-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DBW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       785 | PA      | $790.54       | 0.00%             | 2033-09-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2016 | PA      | $2062.21      | 0.00%             | 2033-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235884 | PA      | $240797.92    | 0.06%             | 2034-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3285 | PA      | $3349.85      | 0.00%             | 2034-04-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14109 | PA      | $14291.37     | 0.00%             | 2034-08-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63664 | PA      | $64925.17     | 0.02%             | 2034-07-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25137 | PA      | $25520.26     | 0.01%             | 2034-08-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1439 | PA      | $1474.73      | 0.00%             | 2038-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3894 | PA      | $3986.57      | 0.00%             | 2034-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34769 | PA      | $35658.86     | 0.01%             | 2034-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9075 | PA      | $9225.39      | 0.00%             | 2037-02-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1236 | PA      | $1262.71      | 0.00%             | 2038-03-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       901 | PA      | $916.84       | 0.00%             | 2034-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3567 | PA      | $3647.87      | 0.00%             | 2034-08-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DNA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       681 | PA      | $698.59       | 0.00%             | 2034-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DNC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       103 | PA      | $104.83       | 0.00%             | 2033-05-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       739 | PA      | $761.87       | 0.00%             | 2034-10-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2240 | PA      | $2289.81      | 0.00%             | 2034-11-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8123 | PA      | $8337.70      | 0.00%             | 2033-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56249 | PA      | $56572.37     | 0.01%             | 2033-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402EM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13215 | PA      | $13421.22     | 0.00%             | 2033-05-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402EM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3956 | PA      | $3987.08      | 0.00%             | 2033-01-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402ENR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15692 | PA      | $16119.42     | 0.00%             | 2033-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G6M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9451 | PA      | $9686.57      | 0.00%             | 2033-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8741 | PA      | $8959.58      | 0.00%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G7A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       362 | PA      | $371.22       | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11116 | PA      | $11388.80     | 0.00%             | 2033-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15771 | PA      | $16233.76     | 0.00%             | 2033-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       984 | PA      | $1008.98      | 0.00%             | 2033-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HBG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73084 | PA      | $75368.44     | 0.02%             | 2033-12-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HBN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61402 | PA      | $63021.71     | 0.02%             | 2034-02-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402J4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58960 | PA      | $60378.72     | 0.02%             | 2033-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402JBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4938 | PA      | $4928.04      | 0.00%             | 2033-08-01      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402JXS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1639 | PA      | $1676.09      | 0.00%             | 2033-08-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402JXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17951 | PA      | $18348.86     | 0.00%             | 2033-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402KR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2681 | PA      | $2754.90      | 0.00%             | 2033-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402KU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1485 | PA      | $1522.06      | 0.00%             | 2033-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402LGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103280 | PA      | $104865.12    | 0.03%             | 2033-09-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402LLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23871 | PA      | $24455.20     | 0.01%             | 2033-08-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402M4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38838 | PA      | $39722.15     | 0.01%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402M4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116380 | PA      | $118989.37    | 0.03%             | 2033-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402MM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8865 | PA      | $9091.82      | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402MNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       558 | PA      | $571.09       | 0.00%             | 2033-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402MPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2189 | PA      | $2241.60      | 0.00%             | 2034-04-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NGF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21628 | PA      | $22056.10     | 0.01%             | 2033-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80724 | PA      | $82140.48     | 0.02%             | 2033-06-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6503 | PA      | $6603.13      | 0.00%             | 2033-07-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12369 | PA      | $12570.40     | 0.00%             | 2033-06-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       821 | PA      | $837.14       | 0.00%             | 2034-07-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       492 | PA      | $504.46       | 0.00%             | 2033-11-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6635 | PA      | $6777.34      | 0.00%             | 2034-08-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20605 | PA      | $20690.17     | 0.01%             | 2034-05-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13885 | PA      | $14155.45     | 0.00%             | 2034-07-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99314 | PA      | $101256.69    | 0.03%             | 2035-01-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16715 | PA      | $17134.93     | 0.00%             | 2033-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       906 | PA      | $918.93       | 0.00%             | 2034-11-01      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9443 | PA      | $9655.15      | 0.00%             | 2034-07-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11 | PA      | $10.65        | 0.00%             | 2033-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1103 | PA      | $1128.27      | 0.00%             | 2035-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76038 | PA      | $78589.06     | 0.02%             | 2035-01-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29052 | PA      | $29920.07     | 0.01%             | 2034-11-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       388 | PA      | $397.06       | 0.00%             | 2038-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2693 | PA      | $2752.67      | 0.00%             | 2035-02-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1213 | PA      | $1244.48      | 0.00%             | 2034-11-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RCM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       432 | PA      | $442.92       | 0.00%             | 2038-05-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18635 | PA      | $19053.51     | 0.01%             | 2035-02-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187083 | PA      | $189944.70    | 0.05%             | 2035-04-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402REK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1299 | PA      | $1337.10      | 0.00%             | 2035-05-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4744 | PA      | $4868.34      | 0.00%             | 2035-04-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4946 | PA      | $4943.44      | 0.00%             | 2044-10-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29499 | PA      | $29614.87     | 0.01%             | 2044-10-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1957 | PA      | $2004.61      | 0.00%             | 2034-01-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38223 | PA      | $38791.57     | 0.01%             | 2033-07-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12344 | PA      | $12356.28     | 0.00%             | 2042-08-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9667 | PA      | $9721.09      | 0.00%             | 2042-08-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       793 | PA      | $812.06       | 0.00%             | 2034-02-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6730 | PA      | $6918.62      | 0.00%             | 2035-06-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4104 | PA      | $4179.16      | 0.00%             | 2032-04-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299788 | PA      | $307799.75    | 0.08%             | 2034-12-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71074 | PA      | $72841.87     | 0.02%             | 2035-06-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7869 | PA      | $8080.67      | 0.00%             | 2035-08-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66437 | PA      | $67376.74     | 0.02%             | 2035-07-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2404 | PA      | $2440.73      | 0.00%             | 2035-08-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181263 | PA      | $185640.30    | 0.05%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3657 | PA      | $3751.31      | 0.00%             | 2035-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5193 | PA      | $5274.71      | 0.00%             | 2034-03-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6042 | PA      | $6155.93      | 0.00%             | 2033-11-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2990 | PA      | $3070.00      | 0.00%             | 2035-06-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RPT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28532 | PA      | $28659.74     | 0.01%             | 2034-10-01      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14967 | PA      | $15298.97     | 0.00%             | 2036-07-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RRV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       741 | PA      | $757.48       | 0.00%             | 2034-08-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8184 | PA      | $8476.27      | 0.00%             | 2034-10-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11705 | PA      | $12023.74     | 0.00%             | 2035-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1710 | PA      | $1747.72      | 0.00%             | 2038-03-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31230 | PA      | $32094.45     | 0.01%             | 2035-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5737 | PA      | $5853.01      | 0.00%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402TL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61246 | PA      | $62434.81     | 0.02%             | 2033-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402TLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15216 | PA      | $15414.56     | 0.00%             | 2033-08-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402VNU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5573 | PA      | $5703.56      | 0.00%             | 2033-09-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402VZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4760 | PA      | $4848.93      | 0.00%             | 2033-08-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402VZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9167 | PA      | $9323.59      | 0.00%             | 2033-08-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402XWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53480 | PA      | $54134.25     | 0.01%             | 2033-10-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402XWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41551 | PA      | $42002.04     | 0.01%             | 2033-10-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402XXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35729 | PA      | $36160.16     | 0.01%             | 2033-11-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402YQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165339 | PA      | $169998.50    | 0.04%             | 2033-10-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5418 | PA      | $5521.53      | 0.00%             | 2033-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AL78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6003 | PA      | $6139.99      | 0.00%             | 2033-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60348 | PA      | $61660.56     | 0.02%             | 2033-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403ATU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4692 | PA      | $4809.69      | 0.00%             | 2033-10-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77294 | PA      | $79117.82     | 0.02%             | 2033-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4242 | PA      | $4321.91      | 0.00%             | 2033-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16353 | PA      | $16664.23     | 0.00%             | 2033-10-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45236 | PA      | $46514.27     | 0.01%             | 2035-11-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403C4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1378 | PA      | $1433.11      | 0.00%             | 2035-10-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3753 | PA      | $3830.62      | 0.00%             | 2035-10-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16605 | PA      | $16936.38     | 0.00%             | 2033-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1051 | PA      | $1081.09      | 0.00%             | 2035-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CWU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30091 | PA      | $30878.03     | 0.01%             | 2035-09-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2471 | PA      | $2521.68      | 0.00%             | 2035-03-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7103 | PA      | $7313.61      | 0.00%             | 2035-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82451 | PA      | $84184.61     | 0.02%             | 2036-02-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3175 | PA      | $3251.01      | 0.00%             | 2033-04-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85882 | PA      | $87870.14     | 0.02%             | 2035-05-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287634 | PA      | $296894.47    | 0.08%             | 2036-04-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120535 | PA      | $123182.05    | 0.03%             | 2035-08-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       281 | PA      | $288.18       | 0.00%             | 2036-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1542647 | PA      | $1594914.89   | 0.42%             | 2035-03-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       504 | PA      | $523.17       | 0.00%             | 2036-04-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1124 | PA      | $1150.94      | 0.00%             | 2036-05-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90270 | PA      | $93130.53     | 0.02%             | 2035-05-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211013 | PA      | $214589.25    | 0.06%             | 2036-04-01      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178236 | PA      | $182634.46    | 0.05%             | 2036-05-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13284 | PA      | $13593.07     | 0.00%             | 2038-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8595 | PA      | $8713.30      | 0.00%             | 2034-03-01      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166625 | PA      | $171276.37    | 0.05%             | 2035-08-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94270 | PA      | $97295.08     | 0.03%             | 2036-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32119 | PA      | $33075.89     | 0.01%             | 2036-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5090 | PA      | $5200.77      | 0.00%             | 2034-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DSD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44012 | PA      | $44933.93     | 0.01%             | 2035-12-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DTE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38235 | PA      | $39534.00     | 0.01%             | 2034-04-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1612 | PA      | $1658.16      | 0.00%             | 2035-11-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3924 | PA      | $4021.69      | 0.00%             | 2035-04-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5272 | PA      | $5420.06      | 0.00%             | 2036-10-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2792 | PA      | $2867.03      | 0.00%             | 2038-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28443 | PA      | $29040.39     | 0.01%             | 2033-04-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11347 | PA      | $11710.19     | 0.00%             | 2035-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22467 | PA      | $23141.46     | 0.01%             | 2036-09-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9725 | PA      | $10154.67     | 0.00%             | 2036-09-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2157 | PA      | $2217.95      | 0.00%             | 2036-11-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37608 | PA      | $38388.84     | 0.01%             | 2036-07-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3571 | PA      | $3644.41      | 0.00%             | 2035-12-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       839 | PA      | $873.41       | 0.00%             | 2033-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403FGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6622 | PA      | $6783.42      | 0.00%             | 2034-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403GCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2906 | PA      | $2976.34      | 0.00%             | 2033-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403GCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2290 | PA      | $2345.85      | 0.00%             | 2033-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403GWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9407 | PA      | $9557.99      | 0.00%             | 2033-09-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403JP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37328 | PA      | $38351.96     | 0.01%             | 2033-10-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23520 | PA      | $24217.21     | 0.01%             | 2033-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403K4F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122787 | PA      | $125732.43    | 0.03%             | 2034-04-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7241 | PA      | $7432.48      | 0.00%             | 2034-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403LLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8375 | PA      | $8579.45      | 0.00%             | 2033-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95612 | PA      | $97885.31     | 0.03%             | 2033-12-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2268 | PA      | $2322.85      | 0.00%             | 2033-11-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14007 | PA      | $14195.76     | 0.00%             | 2033-11-01      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34513 | PA      | $35301.79     | 0.01%             | 2033-12-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9430 | PA      | $9660.98      | 0.00%             | 2033-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20635 | PA      | $21106.78     | 0.01%             | 2033-11-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403Q5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       810 | PA      | $820.86       | 0.00%             | 2033-10-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403QMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17034 | PA      | $17330.81     | 0.00%             | 2033-10-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27991 | PA      | $28536.07     | 0.01%             | 2033-10-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403QQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1169 | PA      | $1199.53      | 0.00%             | 2034-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403TPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32893 | PA      | $33351.02     | 0.01%             | 2033-11-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403UYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4124 | PA      | $4210.62      | 0.00%             | 2033-11-01      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403UYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8245 | PA      | $8423.14      | 0.00%             | 2033-11-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2660 | PA      | $2704.81      | 0.00%             | 2034-01-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12921 | PA      | $13192.83     | 0.00%             | 2034-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3232 | PA      | $3287.27      | 0.00%             | 2034-01-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28173 | PA      | $28746.36     | 0.01%             | 2034-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18640 | PA      | $19096.98     | 0.01%             | 2034-01-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96190 | PA      | $98352.38     | 0.03%             | 2034-02-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403Y2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4425 | PA      | $4496.28      | 0.00%             | 2034-01-01      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18098 | PA      | $18579.74     | 0.00%             | 2033-12-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403YV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3029 | PA      | $3096.32      | 0.00%             | 2034-04-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404A3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13356 | PA      | $13717.59     | 0.00%             | 2033-10-01      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404AUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19530 | PA      | $20049.92     | 0.01%             | 2033-09-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404B2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3591 | PA      | $3639.40      | 0.00%             | 2034-01-01      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404CAE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20153 | PA      | $20679.96     | 0.01%             | 2034-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404CVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80428 | PA      | $82526.92     | 0.02%             | 2034-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       908 | PA      | $928.24       | 0.00%             | 2034-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26890 | PA      | $27498.49     | 0.01%             | 2034-02-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7888 | PA      | $8051.08      | 0.00%             | 2034-02-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14964 | PA      | $15332.36     | 0.00%             | 2033-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404EAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6484 | PA      | $6618.15      | 0.00%             | 2034-02-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404ECQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15164 | PA      | $15492.94     | 0.00%             | 2034-02-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404EZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32055 | PA      | $32633.22     | 0.01%             | 2034-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404FPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51311 | PA      | $52690.29     | 0.01%             | 2034-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404FPT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26391 | PA      | $27101.45     | 0.01%             | 2034-06-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404FPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25689 | PA      | $26377.26     | 0.01%             | 2034-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184997 | PA      | $186491.13    | 0.05%             | 2034-05-01      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80617 | PA      | $81569.27     | 0.02%             | 2033-11-01      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1119 | PA      | $1157.80      | 0.00%             | 2034-01-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11887 | PA      | $12121.50     | 0.00%             | 2034-02-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404H4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3702 | PA      | $3785.43      | 0.00%             | 2034-02-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404JQS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8424 | PA      | $8605.35      | 0.00%             | 2034-03-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404JSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17916 | PA      | $18235.31     | 0.00%             | 2034-03-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404JVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59154 | PA      | $60356.81     | 0.02%             | 2034-04-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404KRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16717 | PA      | $17003.25     | 0.00%             | 2034-04-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404MPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13677 | PA      | $13999.81     | 0.00%             | 2034-03-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2790 | PA      | $2858.15      | 0.00%             | 2034-11-01      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2331 | PA      | $2386.02      | 0.00%             | 2035-02-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NEM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6752 | PA      | $6914.58      | 0.00%             | 2035-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12137 | PA      | $12424.02     | 0.00%             | 2034-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404P6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21670 | PA      | $22020.98     | 0.01%             | 2034-04-01      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404PHL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $799.07       | 0.00%             | 2034-03-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148692 | PA      | $150496.28    | 0.04%             | 2044-03-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404QF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3239 | PA      | $3301.59      | 0.00%             | 2034-05-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404QLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2480 | PA      | $2530.19      | 0.00%             | 2034-05-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404RUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3064 | PA      | $3141.94      | 0.00%             | 2034-03-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404RUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7514 | PA      | $7647.54      | 0.00%             | 2034-03-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404TAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9715 | PA      | $9942.17      | 0.00%             | 2034-04-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73239 | PA      | $75719.98     | 0.02%             | 2034-04-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404ULA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9736 | PA      | $10010.88     | 0.00%             | 2034-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404ULF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121744 | PA      | $123760.27    | 0.03%             | 2034-05-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404UQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1997 | PA      | $2039.10      | 0.00%             | 2034-06-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404V2S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       540 | PA      | $555.98       | 0.00%             | 2034-08-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10167 | PA      | $10452.72     | 0.00%             | 2034-06-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404VKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25080 | PA      | $25698.62     | 0.01%             | 2034-06-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404WAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21374 | PA      | $21998.04     | 0.01%             | 2034-06-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404WC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18962 | PA      | $19500.59     | 0.01%             | 2034-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71675 | PA      | $73150.74     | 0.02%             | 2034-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26790 | PA      | $27516.45     | 0.01%             | 2034-05-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244458 | PA      | $250821.07    | 0.07%             | 2034-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4794 | PA      | $4897.56      | 0.00%             | 2034-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XFS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3246 | PA      | $3319.13      | 0.00%             | 2034-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5268 | PA      | $5385.11      | 0.00%             | 2034-10-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5506 | PA      | $5620.48      | 0.00%             | 2034-11-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13983 | PA      | $14282.62     | 0.00%             | 2034-11-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7582 | PA      | $7756.25      | 0.00%             | 2034-12-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43563 | PA      | $44582.18     | 0.01%             | 2034-12-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63717 | PA      | $65034.08     | 0.02%             | 2034-11-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54741 | PA      | $56124.70     | 0.01%             | 2034-11-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       583 | PA      | $593.81       | 0.00%             | 2034-07-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1864 | PA      | $1855.99      | 0.00%             | 2044-04-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13011 | PA      | $13038.59     | 0.00%             | 2044-04-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75818 | PA      | $76340.27     | 0.02%             | 2044-04-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1634 | PA      | $1680.62      | 0.00%             | 2034-06-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14509 | PA      | $14898.27     | 0.00%             | 2035-06-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405ARB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146277 | PA      | $150365.05    | 0.04%             | 2035-01-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405BD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4721 | PA      | $4868.27      | 0.00%             | 2034-12-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405BD57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6547 | PA      | $6720.32      | 0.00%             | 2034-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405BMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4236 | PA      | $4304.32      | 0.00%             | 2034-05-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405D4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4967 | PA      | $5032.83      | 0.00%             | 2034-08-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92063 | PA      | $94509.40     | 0.02%             | 2034-06-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16595 | PA      | $16884.84     | 0.00%             | 2034-07-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       532 | PA      | $540.67       | 0.00%             | 2034-07-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       672 | PA      | $686.42       | 0.00%             | 2034-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DUD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       335 | PA      | $340.68       | 0.00%             | 2034-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11747 | PA      | $11993.91     | 0.00%             | 2034-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405FTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1137 | PA      | $1170.33      | 0.00%             | 2034-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405FTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28258 | PA      | $29087.27     | 0.01%             | 2034-08-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405H3L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       129 | PA      | $131.25       | 0.00%             | 2034-08-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405HB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12115 | PA      | $12478.10     | 0.00%             | 2034-06-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1132 | PA      | $1156.80      | 0.00%             | 2034-09-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148309 | PA      | $151010.86    | 0.04%             | 2034-09-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12503 | PA      | $12788.10     | 0.00%             | 2034-09-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       243 | PA      | $246.28       | 0.00%             | 2034-09-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7003 | PA      | $7176.96      | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405KMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28749 | PA      | $29517.77     | 0.01%             | 2034-10-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2444 | PA      | $2503.10      | 0.00%             | 2034-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405LNA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29881 | PA      | $30684.53     | 0.01%             | 2034-07-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405MA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12189 | PA      | $12456.69     | 0.00%             | 2034-07-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3345 | PA      | $3408.14      | 0.00%             | 2034-07-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405MCX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11676 | PA      | $12043.19     | 0.00%             | 2034-08-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13372 | PA      | $13692.50     | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405N7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1609 | PA      | $1631.22      | 0.00%             | 2034-10-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2652 | PA      | $2712.37      | 0.00%             | 2034-10-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       636 | PA      | $649.66       | 0.00%             | 2034-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405NLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       477 | PA      | $484.88       | 0.00%             | 2034-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16500 | PA      | $16701.15     | 0.00%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26735 | PA      | $27466.03     | 0.01%             | 2034-10-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PKE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13331 | PA      | $13555.02     | 0.00%             | 2034-10-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10222 | PA      | $10574.32     | 0.00%             | 2034-10-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118931 | PA      | $122319.08    | 0.03%             | 2034-10-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1195 | PA      | $1215.58      | 0.00%             | 2034-07-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19841 | PA      | $19878.98     | 0.01%             | 2044-07-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PZ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10057 | PA      | $10326.25     | 0.00%             | 2034-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405QCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5924 | PA      | $6092.99      | 0.00%             | 2034-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405QYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7568 | PA      | $7794.38      | 0.00%             | 2034-11-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88258 | PA      | $90663.33     | 0.02%             | 2034-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6902 | PA      | $7038.43      | 0.00%             | 2034-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70 | PA      | $71.47        | 0.00%             | 2034-08-01      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4967 | PA      | $5101.77      | 0.00%             | 2034-08-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2021 | PA      | $2059.17      | 0.00%             | 2034-08-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4890 | PA      | $4994.12      | 0.00%             | 2034-10-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7408 | PA      | $7593.10      | 0.00%             | 2034-10-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405TZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35558 | PA      | $36137.35     | 0.01%             | 2034-08-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58279 | PA      | $59255.62     | 0.02%             | 2034-12-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405UMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5581 | PA      | $5712.07      | 0.00%             | 2034-10-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405UTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2431 | PA      | $2467.60      | 0.00%             | 2034-11-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405UY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83449 | PA      | $84998.53     | 0.02%             | 2034-12-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10782 | PA      | $10874.79     | 0.00%             | 2034-08-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WHS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19465 | PA      | $19994.91     | 0.01%             | 2034-09-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32114 | PA      | $32846.27     | 0.01%             | 2034-09-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2795 | PA      | $2875.41      | 0.00%             | 2034-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2424 | PA      | $2459.67      | 0.00%             | 2034-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405X2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209293 | PA      | $214287.64    | 0.06%             | 2034-10-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405X5P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5412 | PA      | $5548.81      | 0.00%             | 2034-12-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405X5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20011 | PA      | $20500.20     | 0.01%             | 2034-11-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1712 | PA      | $1756.96      | 0.00%             | 2034-11-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431936 | PA      | $446571.25    | 0.12%             | 2034-10-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14491 | PA      | $14821.28     | 0.00%             | 2035-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78790 | PA      | $79889.17     | 0.02%             | 2034-08-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302973 | PA      | $304066.43    | 0.08%             | 2034-11-01      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62163 | PA      | $62916.63     | 0.02%             | 2044-09-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23929 | PA      | $24347.26     | 0.01%             | 2034-10-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12715 | PA      | $12941.29     | 0.00%             | 2034-10-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17539 | PA      | $17914.39     | 0.00%             | 2034-10-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9480 | PA      | $9652.57      | 0.00%             | 2034-10-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100239 | PA      | $101459.16    | 0.03%             | 2034-12-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10625 | PA      | $10789.23     | 0.00%             | 2034-12-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11233 | PA      | $11435.65     | 0.00%             | 2035-01-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406BV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87080 | PA      | $88527.71     | 0.02%             | 2035-01-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406C6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37014 | PA      | $36598.57     | 0.01%             | 2034-12-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406C6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23385 | PA      | $23231.40     | 0.01%             | 2033-08-01      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406CT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20315 | PA      | $21099.16     | 0.01%             | 2035-01-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18600 | PA      | $18676.34     | 0.00%             | 2034-10-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DAE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24655 | PA      | $24658.23     | 0.01%             | 2044-10-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97504 | PA      | $98698.93     | 0.03%             | 2044-10-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2100 | PA      | $2165.89      | 0.00%             | 2035-01-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4953 | PA      | $5093.44      | 0.00%             | 2035-02-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7746 | PA      | $8018.80      | 0.00%             | 2034-11-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DJR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1761 | PA      | $1785.90      | 0.00%             | 2034-11-01      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20922 | PA      | $21317.61     | 0.01%             | 2034-11-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406F6R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20606 | PA      | $20886.10     | 0.01%             | 2035-01-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406G4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24410 | PA      | $24928.40     | 0.01%             | 2035-03-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49325 | PA      | $49954.71     | 0.01%             | 2035-02-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107062 | PA      | $108164.71    | 0.03%             | 2035-02-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34617 | PA      | $35411.31     | 0.01%             | 2035-02-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314193 | PA      | $318456.48    | 0.08%             | 2035-02-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GW47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35970 | PA      | $36834.27     | 0.01%             | 2035-03-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33303 | PA      | $33984.06     | 0.01%             | 2035-03-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27996 | PA      | $29091.18     | 0.01%             | 2035-01-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406H3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1183957 | PA      | $1223058.64   | 0.32%             | 2034-12-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406H3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3336 | PA      | $3406.49      | 0.00%             | 2034-12-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406HG50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3963 | PA      | $4127.74      | 0.00%             | 2034-04-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406J3L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       771 | PA      | $788.70       | 0.00%             | 2035-02-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406KA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       455 | PA      | $469.98       | 0.00%             | 2035-04-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406KAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11056 | PA      | $11418.34     | 0.00%             | 2035-05-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48190 | PA      | $49464.97     | 0.01%             | 2035-07-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3361 | PA      | $3457.19      | 0.00%             | 2035-11-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1344 | PA      | $1382.16      | 0.00%             | 2036-01-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28227 | PA      | $29120.94     | 0.01%             | 2036-09-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29729 | PA      | $30571.73     | 0.01%             | 2036-05-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406LDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22270 | PA      | $22511.77     | 0.01%             | 2044-11-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406LMT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21995 | PA      | $22482.23     | 0.01%             | 2035-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       278 | PA      | $284.99       | 0.00%             | 2034-12-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14418 | PA      | $14655.74     | 0.00%             | 2035-04-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1005 | PA      | $1020.89      | 0.00%             | 2035-01-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2883 | PA      | $2932.10      | 0.00%             | 2035-01-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3283 | PA      | $3364.89      | 0.00%             | 2035-01-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34075 | PA      | $35429.15     | 0.01%             | 2035-01-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406N6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2026 | PA      | $2047.21      | 0.00%             | 2035-04-01      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69716 | PA      | $71250.50     | 0.02%             | 2035-04-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15957 | PA      | $16294.53     | 0.00%             | 2035-04-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80852 | PA      | $82431.07     | 0.02%             | 2035-04-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7562 | PA      | $7734.84      | 0.00%             | 2035-04-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32340 | PA      | $32718.30     | 0.01%             | 2035-05-01      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406P3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2962 | PA      | $3058.43      | 0.00%             | 2035-02-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31905 | PA      | $32756.88     | 0.01%             | 2035-05-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       561 | PA      | $574.98       | 0.00%             | 2035-03-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79459 | PA      | $81586.08     | 0.02%             | 2035-05-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11356 | PA      | $11637.74     | 0.00%             | 2035-02-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6087 | PA      | $6224.61      | 0.00%             | 2035-02-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406QGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58902 | PA      | $59992.63     | 0.02%             | 2035-02-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2602 | PA      | $2635.64      | 0.00%             | 2035-07-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5094 | PA      | $5224.19      | 0.00%             | 2035-03-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123263 | PA      | $125890.96    | 0.03%             | 2035-03-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9764 | PA      | $9941.35      | 0.00%             | 2035-03-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       848 | PA      | $869.45       | 0.00%             | 2035-03-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UDS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27405 | PA      | $28301.13     | 0.01%             | 2034-11-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UNY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14646 | PA      | $15044.69     | 0.00%             | 2035-04-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57948 | PA      | $59004.34     | 0.02%             | 2035-03-01      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481040 | PA      | $494477.78    | 0.13%             | 2035-03-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406V3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       873 | PA      | $894.47       | 0.00%             | 2035-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78097 | PA      | $79458.56     | 0.02%             | 2035-06-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VC95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       422 | PA      | $431.41       | 0.00%             | 2035-05-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106692 | PA      | $108760.11    | 0.03%             | 2035-05-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31934 | PA      | $32604.78     | 0.01%             | 2035-05-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16741 | PA      | $17277.16     | 0.00%             | 2035-05-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5626 | PA      | $5682.62      | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23654 | PA      | $23967.23     | 0.01%             | 2035-06-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100032 | PA      | $102084.39    | 0.03%             | 2035-06-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191924 | PA      | $196191.85    | 0.05%             | 2035-06-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12470 | PA      | $12783.12     | 0.00%             | 2035-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       800 | PA      | $808.04       | 0.00%             | 2035-07-01      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3336 | PA      | $3375.45      | 0.00%             | 2035-06-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20917 | PA      | $21228.58     | 0.01%             | 2035-02-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293863 | PA      | $300635.94    | 0.08%             | 2035-03-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1863 | PA      | $1901.25      | 0.00%             | 2035-03-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1082 | PA      | $1118.54      | 0.00%             | 2035-05-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406X2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18496 | PA      | $18869.24     | 0.00%             | 2035-02-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406X2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4140 | PA      | $4200.15      | 0.00%             | 2035-01-01      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4304 | PA      | $4407.30      | 0.00%             | 2035-04-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406XTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181687 | PA      | $189696.67    | 0.05%             | 2035-06-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406XXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48395 | PA      | $49768.96     | 0.01%             | 2035-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406YCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52088 | PA      | $52254.03     | 0.01%             | 2035-07-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133902 | PA      | $137003.93    | 0.04%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8512 | PA      | $8621.43      | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24185 | PA      | $24980.93     | 0.01%             | 2035-05-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23983 | PA      | $24585.60     | 0.01%             | 2035-05-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407B3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279794 | PA      | $284942.62    | 0.08%             | 2035-07-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20626 | PA      | $21200.83     | 0.01%             | 2035-07-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11965 | PA      | $12203.44     | 0.00%             | 2035-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54439 | PA      | $55695.19     | 0.01%             | 2035-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23204 | PA      | $23678.31     | 0.01%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CAP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578071 | PA      | $592643.16    | 0.16%             | 2035-07-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CCN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14776 | PA      | $15125.95     | 0.00%             | 2035-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2734 | PA      | $2810.36      | 0.00%             | 2035-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CEJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12742 | PA      | $13016.25     | 0.00%             | 2035-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15078 | PA      | $15388.01     | 0.00%             | 2035-07-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100397 | PA      | $103062.44    | 0.03%             | 2035-08-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DNH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       310 | PA      | $316.71       | 0.00%             | 2035-01-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12522 | PA      | $12862.52     | 0.00%             | 2034-07-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318174 | PA      | $325294.04    | 0.09%             | 2035-05-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       591 | PA      | $601.96       | 0.00%             | 2035-05-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1889 | PA      | $1925.16      | 0.00%             | 2035-05-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407E6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       433 | PA      | $443.97       | 0.00%             | 2035-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407EM67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49428 | PA      | $50737.16     | 0.01%             | 2035-06-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407FL24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38163 | PA      | $39268.48     | 0.01%             | 2035-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407FU40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4466 | PA      | $4601.55      | 0.00%             | 2035-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407FUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1484 | PA      | $1531.81      | 0.00%             | 2035-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179754 | PA      | $183340.23    | 0.05%             | 2035-07-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GCT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149660 | PA      | $154187.78    | 0.04%             | 2035-02-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       774 | PA      | $806.31       | 0.00%             | 2035-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4587 | PA      | $4726.59      | 0.00%             | 2035-06-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3529 | PA      | $3634.66      | 0.00%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407HD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106198 | PA      | $109181.14    | 0.03%             | 2035-07-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407JNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137964 | PA      | $142501.92    | 0.04%             | 2035-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3725 | PA      | $3812.36      | 0.00%             | 2035-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407JWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6754 | PA      | $6891.92      | 0.00%             | 2035-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407KGP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7039 | PA      | $7175.23      | 0.00%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407KKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137449 | PA      | $141039.52    | 0.04%             | 2035-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407KRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47468 | PA      | $48414.25     | 0.01%             | 2035-09-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407LJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171254 | PA      | $176001.18    | 0.05%             | 2035-07-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5855 | PA      | $6017.82      | 0.00%             | 2035-08-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47184 | PA      | $48418.95     | 0.01%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2827 | PA      | $2880.17      | 0.00%             | 2035-07-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1580 | PA      | $1627.91      | 0.00%             | 2035-07-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38076 | PA      | $39179.78     | 0.01%             | 2035-07-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2068 | PA      | $2110.45      | 0.00%             | 2035-07-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22441 | PA      | $22961.74     | 0.01%             | 2035-07-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5182 | PA      | $5307.88      | 0.00%             | 2035-05-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214193 | PA      | $217064.08    | 0.06%             | 2035-07-01      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407PJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41498 | PA      | $42605.05     | 0.01%             | 2035-10-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407PP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2293 | PA      | $2344.76      | 0.00%             | 2035-10-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407PWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19845 | PA      | $20059.58     | 0.01%             | 2035-10-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407QG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14397 | PA      | $14866.99     | 0.00%             | 2035-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407SKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191342 | PA      | $196934.55    | 0.05%             | 2035-12-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407T2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17111 | PA      | $17602.32     | 0.00%             | 2035-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407T2T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5050 | PA      | $5198.16      | 0.00%             | 2035-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42329 | PA      | $44280.98     | 0.01%             | 2034-11-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407VFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7942 | PA      | $8188.42      | 0.00%             | 2035-09-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407VNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200590 | PA      | $206395.31    | 0.05%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55227 | PA      | $56195.16     | 0.01%             | 2035-08-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6214 | PA      | $6321.21      | 0.00%             | 2034-12-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       755 | PA      | $775.39       | 0.00%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9987 | PA      | $10171.29     | 0.00%             | 2035-09-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7128 | PA      | $7313.56      | 0.00%             | 2035-09-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5689 | PA      | $5871.70      | 0.00%             | 2035-09-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21497 | PA      | $21933.99     | 0.01%             | 2035-09-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407X4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24967 | PA      | $25349.13     | 0.01%             | 2035-11-01      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4356 | PA      | $4424.32      | 0.00%             | 2035-11-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541747 | PA      | $557865.15    | 0.15%             | 2035-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396165 | PA      | $404176.33    | 0.11%             | 2035-11-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31814 | PA      | $32417.20     | 0.01%             | 2035-11-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23575 | PA      | $23904.43     | 0.01%             | 2035-11-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5148 | PA      | $5265.10      | 0.00%             | 2035-11-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24539 | PA      | $24840.29     | 0.01%             | 2035-11-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407YMC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2559 | PA      | $2609.71      | 0.00%             | 2035-12-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407YRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48588 | PA      | $49455.70     | 0.01%             | 2035-11-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3426 | PA      | $3490.67      | 0.00%             | 2036-01-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408BQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88112 | PA      | $90282.87     | 0.02%             | 2035-12-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127137 | PA      | $132047.82    | 0.03%             | 2035-12-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408BUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13466 | PA      | $13802.63     | 0.00%             | 2033-11-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29844 | PA      | $30453.68     | 0.01%             | 2035-10-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408C2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38446 | PA      | $39703.79     | 0.01%             | 2035-10-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2359 | PA      | $2416.62      | 0.00%             | 2035-11-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35028 | PA      | $35767.65     | 0.01%             | 2035-12-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227158 | PA      | $232749.24    | 0.06%             | 2035-12-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9098 | PA      | $9218.20      | 0.00%             | 2035-12-01      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22136 | PA      | $22557.15     | 0.01%             | 2036-01-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112297 | PA      | $114880.16    | 0.03%             | 2036-01-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423365 | PA      | $429918.98    | 0.11%             | 2036-01-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79529 | PA      | $81470.40     | 0.02%             | 2036-01-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14478 | PA      | $14786.93     | 0.00%             | 2036-01-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408FN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21478 | PA      | $21861.52     | 0.01%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9982 | PA      | $10174.60     | 0.00%             | 2035-09-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408G4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56438 | PA      | $57463.57     | 0.02%             | 2036-01-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79277 | PA      | $81240.19     | 0.02%             | 2036-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2647 | PA      | $2723.38      | 0.00%             | 2035-12-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1229 | PA      | $1270.57      | 0.00%             | 2035-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53099 | PA      | $54508.34     | 0.01%             | 2035-11-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5648 | PA      | $5872.80      | 0.00%             | 2035-10-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ACY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47843 | PA      | $49747.60     | 0.01%             | 2035-09-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409AFG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40746 | PA      | $41625.94     | 0.01%             | 2036-02-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409AK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       849 | PA      | $868.29       | 0.00%             | 2036-02-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ARH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8298 | PA      | $8502.73      | 0.00%             | 2036-02-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ASN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3594 | PA      | $3691.94      | 0.00%             | 2036-02-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409BAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       639 | PA      | $657.16       | 0.00%             | 2036-03-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409CCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447492 | PA      | $458922.19    | 0.12%             | 2036-01-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409CD44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64362 | PA      | $66386.22     | 0.02%             | 2036-02-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409DT60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88833 | PA      | $91426.91     | 0.02%             | 2036-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409DVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227084 | PA      | $233567.86    | 0.06%             | 2036-04-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409DYY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47658 | PA      | $49388.86     | 0.01%             | 2036-03-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409EJW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121925 | PA      | $125371.80    | 0.03%             | 2036-04-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        47 | PA      | $48.67        | 0.00%             | 2036-05-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ENJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11484 | PA      | $11840.39     | 0.00%             | 2036-05-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409GFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28114 | PA      | $28922.48     | 0.01%             | 2036-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       222 | PA      | $228.20       | 0.00%             | 2037-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409HGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41058 | PA      | $42310.93     | 0.01%             | 2036-05-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74303 | PA      | $76625.46     | 0.02%             | 2036-06-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10609 | PA      | $10854.42     | 0.00%             | 2036-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3563 | PA      | $3670.62      | 0.00%             | 2036-06-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29012 | PA      | $29371.58     | 0.01%             | 2036-05-01      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12314 | PA      | $12754.06     | 0.00%             | 2036-06-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35405 | PA      | $36372.39     | 0.01%             | 2036-03-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UUT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360043 | PA      | $370119.36    | 0.10%             | 2036-05-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3044 | PA      | $3121.16      | 0.00%             | 2036-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46618 | PA      | $48328.86     | 0.01%             | 2035-11-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33879 | PA      | $35243.49     | 0.01%             | 2036-01-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409VAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361440 | PA      | $373096.63    | 0.10%             | 2036-02-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409VJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48817 | PA      | $50114.15     | 0.01%             | 2036-07-01      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1845 | PA      | $1875.60      | 0.00%             | 2036-02-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47363 | PA      | $48823.83     | 0.01%             | 2036-01-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25462 | PA      | $26402.13     | 0.01%             | 2036-02-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313563 | PA      | $325061.64    | 0.09%             | 2036-02-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5211 | PA      | $5399.14      | 0.00%             | 2036-01-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409X3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33118 | PA      | $33749.00     | 0.01%             | 2036-04-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409X5Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27810 | PA      | $28351.40     | 0.01%             | 2036-06-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16858 | PA      | $17272.24     | 0.00%             | 2036-03-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XQY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7549 | PA      | $7627.88      | 0.00%             | 2036-03-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41771 | PA      | $42845.90     | 0.01%             | 2036-04-01      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27302 | PA      | $27943.05     | 0.01%             | 2036-04-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53055 | PA      | $54247.29     | 0.01%             | 2036-05-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2472 | PA      | $2522.67      | 0.00%             | 2036-01-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138844 | PA      | $142289.67    | 0.04%             | 2036-02-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140FCAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409588 | PA      | $426781.56    | 0.11%             | 2046-03-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140J5FX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191356 | PA      | $197509.32    | 0.05%             | 2037-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JA4Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1716019 | PA      | $1783029.00   | 0.47%             | 2042-07-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4701472 | PA      | $4874126.09   | 1.28%             | 2038-09-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1674921 | PA      | $1750801.13   | 0.46%             | 2045-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11673317 | PA      | $12186835.59  | 3.21%             | 2044-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7191674 | PA      | $7471314.43   | 1.97%             | 2047-04-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2828357 | PA      | $2939621.30   | 0.77%             | 2047-05-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410ABX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7584 | PA      | $7770.49      | 0.00%             | 2036-07-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410AH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2400 | PA      | $2475.80      | 0.00%             | 2036-07-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410AKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38361 | PA      | $39671.84     | 0.01%             | 2036-07-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410B3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3893 | PA      | $4009.30      | 0.00%             | 2036-06-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410B6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6269 | PA      | $6439.08      | 0.00%             | 2036-10-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410D4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6001 | PA      | $6147.71      | 0.00%             | 2036-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410DXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16917 | PA      | $17329.75     | 0.00%             | 2036-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4618 | PA      | $4748.22      | 0.00%             | 2036-08-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12442 | PA      | $12888.61     | 0.00%             | 2036-09-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2171 | PA      | $2214.22      | 0.00%             | 2036-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187667 | PA      | $192591.83    | 0.05%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123722 | PA      | $127329.72    | 0.03%             | 2036-06-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       622 | PA      | $629.50       | 0.00%             | 2037-04-01      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F4H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1535 | PA      | $1578.35      | 0.00%             | 2037-03-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F6X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       915 | PA      | $935.90       | 0.00%             | 2038-03-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372319 | PA      | $383676.55    | 0.10%             | 2036-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2986 | PA      | $3073.58      | 0.00%             | 2036-12-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13760 | PA      | $14074.84     | 0.00%             | 2037-01-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324455 | PA      | $335440.20    | 0.09%             | 2037-02-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029534 | PA      | $1066551.06   | 0.28%             | 2034-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FWV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4220 | PA      | $4322.84      | 0.00%             | 2037-02-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3353 | PA      | $3430.64      | 0.00%             | 2036-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FXX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2881 | PA      | $2946.59      | 0.00%             | 2035-02-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2491 | PA      | $2540.70      | 0.00%             | 2036-07-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81031 | PA      | $82085.21     | 0.02%             | 2035-06-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8295 | PA      | $8472.16      | 0.00%             | 2036-11-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410G3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2163 | PA      | $2202.23      | 0.00%             | 2037-04-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410G6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159683 | PA      | $163409.38    | 0.04%             | 2036-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48114 | PA      | $48954.58     | 0.01%             | 2033-06-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       117 | PA      | $120.22       | 0.00%             | 2034-04-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10793 | PA      | $10948.27     | 0.00%             | 2033-06-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42292 | PA      | $44057.98     | 0.01%             | 2035-02-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1647 | PA      | $1681.48      | 0.00%             | 2034-03-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5483 | PA      | $5623.79      | 0.00%             | 2033-12-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1750 | PA      | $1798.32      | 0.00%             | 2034-02-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       911 | PA      | $929.60       | 0.00%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GG31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2260 | PA      | $2314.06      | 0.00%             | 2038-03-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GGV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14103 | PA      | $14574.19     | 0.00%             | 2037-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       100 | PA      | $101.37       | 0.00%             | 2032-01-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224339 | PA      | $229771.73    | 0.06%             | 2037-08-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       365 | PA      | $369.27       | 0.00%             | 2033-09-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4938 | PA      | $5071.02      | 0.00%             | 2035-10-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307961 | PA      | $316780.20    | 0.08%             | 2037-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2661 | PA      | $2695.87      | 0.00%             | 2037-10-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GQL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33894 | PA      | $35337.69     | 0.01%             | 2036-10-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KBX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41289 | PA      | $41963.54     | 0.01%             | 2038-03-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1905 | PA      | $1955.17      | 0.00%             | 2038-04-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202206 | PA      | $206523.85    | 0.05%             | 2034-05-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143566 | PA      | $146965.25    | 0.04%             | 2035-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10713 | PA      | $11017.58     | 0.00%             | 2038-05-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KSL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23189 | PA      | $23834.77     | 0.01%             | 2035-12-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.44         | 0.00%             | 2028-02-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253571 | PA      | $259653.09    | 0.07%             | 2035-09-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15850 | PA      | $16320.49     | 0.00%             | 2038-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410L6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4828 | PA      | $4979.25      | 0.00%             | 2036-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410MHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121079 | PA      | $125604.00    | 0.03%             | 2036-04-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410MHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433770 | PA      | $443646.57    | 0.12%             | 2036-04-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8313 | PA      | $8481.30      | 0.00%             | 2036-04-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410PMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2412 | PA      | $2498.14      | 0.00%             | 2036-08-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410PYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24865 | PA      | $25701.13     | 0.01%             | 2036-09-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21159 | PA      | $21647.11     | 0.01%             | 2036-09-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QEE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4511 | PA      | $4627.19      | 0.00%             | 2036-10-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18679 | PA      | $19026.30     | 0.01%             | 2036-10-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129299 | PA      | $134192.87    | 0.04%             | 2036-10-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QQR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6920 | PA      | $7094.65      | 0.00%             | 2036-10-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39104 | PA      | $40401.07     | 0.01%             | 2034-11-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410RM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108475 | PA      | $111616.44    | 0.03%             | 2036-08-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410RM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26217 | PA      | $27066.34     | 0.01%             | 2036-08-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SC47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24477 | PA      | $25171.29     | 0.01%             | 2036-05-01      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5337 | PA      | $5471.44      | 0.00%             | 2036-05-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195337 | PA      | $198940.29    | 0.05%             | 2036-05-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SCZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373428 | PA      | $382016.31    | 0.10%             | 2036-05-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25156 | PA      | $25723.36     | 0.01%             | 2036-04-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2114 | PA      | $2158.05      | 0.00%             | 2036-08-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410UXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35031 | PA      | $36612.69     | 0.01%             | 2036-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410UXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161340 | PA      | $168615.97    | 0.04%             | 2036-09-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410VQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51910 | PA      | $52652.91     | 0.01%             | 2034-08-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410WFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2956 | PA      | $3038.52      | 0.00%             | 2037-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410WFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75324 | PA      | $77709.11     | 0.02%             | 2038-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410WFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34085 | PA      | $34967.74     | 0.01%             | 2037-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17093 | PA      | $17833.15     | 0.00%             | 2036-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410YNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44692 | PA      | $46064.49     | 0.01%             | 2036-09-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411AJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116900 | PA      | $120623.49    | 0.03%             | 2036-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $14.89        | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411DUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24688 | PA      | $25610.45     | 0.01%             | 2036-11-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55225 | PA      | $56837.12     | 0.01%             | 2037-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411E4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       560 | PA      | $577.77       | 0.00%             | 2037-01-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1560 | PA      | $1604.47      | 0.00%             | 2036-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       110 | PA      | $112.88       | 0.00%             | 2037-01-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       223 | PA      | $229.45       | 0.00%             | 2037-01-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       648 | PA      | $666.88       | 0.00%             | 2037-01-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411GTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58616 | PA      | $60839.46     | 0.02%             | 2037-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411HGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5273 | PA      | $5393.55      | 0.00%             | 2037-04-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411HM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4606 | PA      | $4760.99      | 0.00%             | 2037-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25237 | PA      | $25785.61     | 0.01%             | 2036-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2143 | PA      | $2196.95      | 0.00%             | 2037-02-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6172 | PA      | $6375.21      | 0.00%             | 2037-02-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429255 | PA      | $442562.40    | 0.12%             | 2037-02-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35602 | PA      | $36793.25     | 0.01%             | 2037-02-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2698 | PA      | $2787.21      | 0.00%             | 2037-03-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411S6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82986 | PA      | $85008.02     | 0.02%             | 2037-03-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20537 | PA      | $20944.88     | 0.01%             | 2037-02-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411SVN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95284 | PA      | $98792.09     | 0.03%             | 2047-03-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411UKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4563 | PA      | $4723.44      | 0.00%             | 2037-04-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411UN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2294 | PA      | $2363.44      | 0.00%             | 2037-04-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       568 | PA      | $578.57       | 0.00%             | 2037-02-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23390 | PA      | $24071.08     | 0.01%             | 2037-03-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411YBW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102877 | PA      | $105702.65    | 0.03%             | 2037-05-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411YPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       331 | PA      | $342.27       | 0.00%             | 2037-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14163 | PA      | $14270.74     | 0.00%             | 2036-02-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412BTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10186 | PA      | $10558.34     | 0.00%             | 2036-08-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122092 | PA      | $123281.21    | 0.03%             | 2034-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13926 | PA      | $14462.26     | 0.00%             | 2036-03-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8763 | PA      | $8969.29      | 0.00%             | 2037-01-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7240 | PA      | $7356.58      | 0.00%             | 2037-01-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4762 | PA      | $4810.78      | 0.00%             | 2037-01-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       812 | PA      | $821.63       | 0.00%             | 2037-01-01      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11358 | PA      | $11548.84     | 0.00%             | 2037-01-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412DPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12750 | PA      | $13053.02     | 0.00%             | 2037-04-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412DZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7283 | PA      | $7608.06      | 0.00%             | 2037-01-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412ECK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233809 | PA      | $242070.94    | 0.06%             | 2036-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1227 | PA      | $1248.56      | 0.00%             | 2037-02-01      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412EJ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3524 | PA      | $3597.66      | 0.00%             | 2037-02-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412EPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19644 | PA      | $20080.36     | 0.01%             | 2037-01-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412G2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9990 | PA      | $10078.97     | 0.00%             | 2034-07-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412HRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24168 | PA      | $24145.78     | 0.01%             | 2037-12-01      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412SKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2003 | PA      | $2054.81      | 0.00%             | 2038-03-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        63 | PA      | $64.39        | 0.00%             | 2038-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8891 | PA      | $9087.48      | 0.00%             | 2037-04-01      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412V7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13042 | PA      | $13199.68     | 0.00%             | 2037-04-01      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412XPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       202 | PA      | $207.07       | 0.00%             | 2037-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413ADY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11652 | PA      | $11840.97     | 0.00%             | 2037-05-01      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1894 | PA      | $1942.27      | 0.00%             | 2037-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413ECE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13977 | PA      | $14445.22     | 0.00%             | 2037-08-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413EE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166284 | PA      | $171305.86    | 0.05%             | 2037-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413GK90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9037 | PA      | $9217.81      | 0.00%             | 2037-08-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3287 | PA      | $3406.85      | 0.00%             | 2037-08-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413JB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6167 | PA      | $6306.76      | 0.00%             | 2037-09-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413JFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       489 | PA      | $503.10       | 0.00%             | 2037-09-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413KMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99946 | PA      | $101803.48    | 0.03%             | 2037-10-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413MFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195879 | PA      | $199770.25    | 0.05%             | 2037-06-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80239 | PA      | $81679.83     | 0.02%             | 2037-08-01      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10571 | PA      | $10616.93     | 0.00%             | 2037-08-01      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413NKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9557 | PA      | $9632.37      | 0.00%             | 2037-08-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1879 | PA      | $1932.61      | 0.00%             | 2037-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5487 | PA      | $5705.80      | 0.00%             | 2037-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413RTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20294 | PA      | $20909.18     | 0.01%             | 2037-10-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413YLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2947 | PA      | $2992.12      | 0.00%             | 2037-11-01      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413YWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47593 | PA      | $48735.29     | 0.01%             | 2037-11-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414CNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5328 | PA      | $5405.70      | 0.00%             | 2036-01-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44070 | PA      | $45247.68     | 0.01%             | 2035-06-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414CZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15556 | PA      | $16008.52     | 0.00%             | 2038-04-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414DPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7386 | PA      | $7635.96      | 0.00%             | 2038-05-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414EKD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4824 | PA      | $4984.17      | 0.00%             | 2038-06-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414F7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4562 | PA      | $4671.26      | 0.00%             | 2038-09-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414HDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5250 | PA      | $5396.37      | 0.00%             | 2037-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414KPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2493 | PA      | $2577.70      | 0.00%             | 2038-01-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414NBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17557 | PA      | $18179.60     | 0.00%             | 2038-11-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414R5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16809 | PA      | $17259.29     | 0.00%             | 2038-03-01      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414SKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103017 | PA      | $105286.18    | 0.03%             | 2038-05-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86113 | PA      | $88096.03     | 0.02%             | 2037-05-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71170 | PA      | $72018.35     | 0.02%             | 2037-06-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217436 | PA      | $222923.25    | 0.06%             | 2037-04-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47038 | PA      | $47743.85     | 0.01%             | 2034-07-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414URK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82072 | PA      | $83337.73     | 0.02%             | 2035-01-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31415CML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87595 | PA      | $90674.68     | 0.02%             | 2048-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31415MU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89236 | PA      | $92335.96     | 0.02%             | 2038-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1689 | PA      | $1716.49      | 0.00%             | 2037-11-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425907 | PA      | $438243.37    | 0.12%             | 2036-02-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173616 | PA      | $178430.52    | 0.05%             | 2035-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6374 | PA      | $6541.73      | 0.00%             | 2035-05-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38401 | PA      | $39619.34     | 0.01%             | 2039-02-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10659 | PA      | $11002.85     | 0.00%             | 2038-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1132582 | PA      | $1168594.19   | 0.31%             | 2036-02-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60260 | PA      | $62605.13     | 0.02%             | 2035-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2865 | PA      | $2954.17      | 0.00%             | 2037-11-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530759 | PA      | $548220.41    | 0.14%             | 2036-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2299 | PA      | $2359.09      | 0.00%             | 2036-09-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19238 | PA      | $19504.39     | 0.01%             | 2038-09-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CAG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3896 | PA      | $4038.10      | 0.00%             | 2037-03-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4092 | PA      | $4178.03      | 0.00%             | 2037-10-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101462 | PA      | $104960.44    | 0.03%             | 2037-09-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11724 | PA      | $12054.11     | 0.00%             | 2035-12-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CDW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13807 | PA      | $14107.52     | 0.00%             | 2038-04-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306164 | PA      | $312437.70    | 0.08%             | 2036-08-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51938 | PA      | $53326.55     | 0.01%             | 2037-01-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781779 | PA      | $810940.60    | 0.21%             | 2037-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       546 | PA      | $562.08       | 0.00%             | 2036-09-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350115 | PA      | $360105.68    | 0.09%             | 2036-05-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31417SC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18580 | PA      | $19179.88     | 0.01%             | 2039-12-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31417VFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82520 | PA      | $84218.48     | 0.02%             | 2035-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 15 Year                                                                    | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1585832 | PA      | $1597334.40   | 0.42%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9869313 | PA      | $9963077.19   | 2.63%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3255251 | PA      | $3337967.90   | 0.88%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1402779 | PA      | $1432921.60   | 0.38%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418M6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35338 | PA      | $36250.12     | 0.01%             | 2036-12-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MBE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379938 | PA      | $377017.15    | 0.10%             | 2037-08-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9817 | PA      | $10052.44     | 0.00%             | 2034-06-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304904 | PA      | $314592.01    | 0.08%             | 2037-01-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26674 | PA      | $27514.57     | 0.01%             | 2037-11-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131093 | PA      | $133709.42    | 0.04%             | 2036-12-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680004 | PA      | $703890.33    | 0.19%             | 2036-01-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366305 | PA      | $374339.00    | 0.10%             | 2037-08-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370089 | PA      | $379560.58    | 0.10%             | 2038-08-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164471 | PA      | $167577.50    | 0.04%             | 2038-06-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418NAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8306 | PA      | $8550.09      | 0.00%             | 2040-04-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418UHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43570 | PA      | $45077.82     | 0.01%             | 2040-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418WMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179998 | PA      | $187078.28    | 0.05%             | 2040-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AB48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5422 | PA      | $5565.49      | 0.00%             | 2036-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419ACA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534517 | PA      | $556104.03    | 0.15%             | 2040-05-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419ACM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378613 | PA      | $386537.93    | 0.10%             | 2036-01-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315517 | PA      | $318224.34    | 0.08%             | 2037-10-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170301 | PA      | $175079.17    | 0.05%             | 2037-09-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77668 | PA      | $79494.35     | 0.02%             | 2036-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653833 | PA      | $673308.69    | 0.18%             | 2037-08-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AJH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160947 | PA      | $164833.82    | 0.04%             | 2035-09-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419APP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271101 | PA      | $277814.75    | 0.07%             | 2038-11-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419BA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113636 | PA      | $118149.58    | 0.03%             | 2038-07-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419GJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154287 | PA      | $159903.21    | 0.04%             | 2040-09-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                                                  | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2139746 | PA      | $2183877.92   | 0.58%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225C2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59833 | PA      | $61129.79     | 0.02%             | 2033-12-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225C4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3587 | PA      | $3618.97      | 0.00%             | 2034-01-20      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225CZW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2242 | PA      | $2262.55      | 0.00%             | 2033-09-20      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8582 | PA      | $8724.03      | 0.00%             | 2034-05-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3892 | PA      | $3889.62      | 0.00%             | 2034-06-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DLD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11200 | PA      | $11257.48     | 0.00%             | 2035-01-20      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7103 | PA      | $7083.90      | 0.00%             | 2035-04-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31055 | PA      | $31335.37     | 0.01%             | 2035-03-20      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA, Series 2010-12, Class FD                                                   | CUSIP: 38376TAF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410657 | PA      | $410610.20    | 0.11%             | 2040-01-16      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Franklin Institutional U.S. Government Money Market Fund | Franklin Institutional U.S. Government Money Market Fund                         | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |  10807853 | NS      | $10807853.35  | 2.85%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9998828.10   | 2.64%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11047979.80  | 2.91%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15103943.25  | 3.98%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10019140.60  | 2.64%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10059765.60  | 2.65%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20056943.20  | 5.29%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9974218.80   | 2.63%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9973242.20   | 2.63%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | U.S. Treasury 5 Year Notes                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        72 | NC      | $-138435.04   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | U.S. Treasury 2 Year Notes                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       458 | NC      | $-841280.96   | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | U.S. Treasury Long Bonds                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -10 | NC      | $48393.14     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | U.S. Treasury 10 Year Ultra Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -45 | NC      | $144784.80    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** Franklin Investors Securities Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer