# EDGAR Filing Document

**Accession Number:** 0001100663
**File Stem:** 0001752724-25-177834
**Filing Date:** 2025-7
**Character Count:** 4880158
**Document Hash:** c0400fb550c497ecd505b603f39f79d6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-177834.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001752724-25-177834

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09729
- **FILM NUMBER:** 251149420

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

Schedule of Investments (unaudited)

May 31, 2025

**iShares® MBS ETF**

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

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **U.S. Government Agency Obligations** | **U.S. Government Agency Obligations** | **U.S. Government Agency Obligations** |
| **Mortgage-Backed Securities — 99.7%** | **Mortgage-Backed Securities — 99.7%** | **Mortgage-Backed Securities — 99.7%** |
| Federal Home Loan Mortgage Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/28 | &nbsp;&nbsp;&nbsp; $20 | &nbsp;&nbsp; $19621 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/28 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4096 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/28 | &nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp; 68082 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/28 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 37549 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/28 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15266 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 64405 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15168 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7310 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/27 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9679 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/27 | &nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp; 86584 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/27 | &nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp; 160335 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/27 | &nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp; 174764 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/27 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp; 86858 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/27 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1494 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2783 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/28 | &nbsp;&nbsp;&nbsp; 1341 | &nbsp;&nbsp; 1312941 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/28 | &nbsp;&nbsp;&nbsp; 176 | &nbsp;&nbsp; 172226 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/28 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 132346 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/28 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 28463 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/28 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 43060 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 112365 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/28 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 33585 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 619 | &nbsp;&nbsp; 603833 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 27390 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/29 | &nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp; 82967 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/29 | &nbsp;&nbsp;&nbsp; 510 | &nbsp;&nbsp; 492980 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/30 | &nbsp;&nbsp;&nbsp; 2388 | &nbsp;&nbsp; 2333278 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/30 | &nbsp;&nbsp;&nbsp; 296 | &nbsp;&nbsp; 286004 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/30 | &nbsp;&nbsp;&nbsp; 1647 | &nbsp;&nbsp; 1591295 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/30 | &nbsp;&nbsp;&nbsp; 2165 | &nbsp;&nbsp; 2087392 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/30 | &nbsp;&nbsp;&nbsp; 2042 | &nbsp;&nbsp; 1972542 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 5811 | &nbsp;&nbsp; 5604376 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/30 | &nbsp;&nbsp;&nbsp; 406 | &nbsp;&nbsp; 390533 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp; 174251 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/30 | &nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp; 174816 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/30 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3909 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/30 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7100 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24043 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2162 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 512 | &nbsp;&nbsp; 492257 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 634 | &nbsp;&nbsp; 608502 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 548 | &nbsp;&nbsp; 525468 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/31 | &nbsp;&nbsp;&nbsp; 2892 | &nbsp;&nbsp; 2766016 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 3304 | &nbsp;&nbsp; 3160234 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 8417 | &nbsp;&nbsp; 8042705 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 11624 | &nbsp;&nbsp; 11099753 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 6553 | &nbsp;&nbsp; 6261505 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp; 800230 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 951 | &nbsp;&nbsp; 903694 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 3807 | &nbsp;&nbsp; 3636811 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp; 722730 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 7426 | &nbsp;&nbsp; 7046293 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 421 | &nbsp;&nbsp; 399788 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 3958 | &nbsp;&nbsp; 3760802 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 618 | &nbsp;&nbsp; 588018 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 747 | &nbsp;&nbsp; 706590 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp; 240504 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 288 | &nbsp;&nbsp; 270472 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; $49 | &nbsp;&nbsp; $43008 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/43 | &nbsp;&nbsp;&nbsp; 549 | &nbsp;&nbsp; 478802 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/43 | &nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp; 65101 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/43 | &nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp; 262460 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/43 | &nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp; 202910 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/43 | &nbsp;&nbsp;&nbsp; 965 | &nbsp;&nbsp; 839150 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/43 | &nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp; 90036 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp; 68458 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/45 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 10849 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp; 94186 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 48621 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 807 | &nbsp;&nbsp; 680624 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 826 | &nbsp;&nbsp; 696480 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 11179 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/47 | &nbsp;&nbsp;&nbsp; 1687 | &nbsp;&nbsp; 1423444 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 458 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 866 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/26 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 31882 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/26 | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 44998 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/26 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 33313 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/27 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2279 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/27 | &nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp; 113177 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1940 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/27 | &nbsp;&nbsp;&nbsp; 181 | &nbsp;&nbsp; 178582 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/27 | &nbsp;&nbsp;&nbsp; 766 | &nbsp;&nbsp; 755030 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/27 | &nbsp;&nbsp;&nbsp; 288 | &nbsp;&nbsp; 283466 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/27 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 36861 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/27 | &nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp; 89383 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 859 | &nbsp;&nbsp; 845997 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp; 149874 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/27 | &nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp; 83497 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/28 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14679 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8474 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/28 | &nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp; 88638 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/28 | &nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp; 238691 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/28 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1869 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/28 | &nbsp;&nbsp;&nbsp; 686 | &nbsp;&nbsp; 672999 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/28 | &nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp; 130802 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 23944 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp; 89914 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/29 | &nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp; 1077271 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 1933 | &nbsp;&nbsp; 1890190 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp; 160942 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp; 203501 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/29 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12317 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/29 | &nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp; 52051 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/29 | &nbsp;&nbsp;&nbsp; 475 | &nbsp;&nbsp; 463434 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/29 | &nbsp;&nbsp;&nbsp; 536 | &nbsp;&nbsp; 523838 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp; 88368 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 885 | &nbsp;&nbsp; 865987 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/30 | &nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp; 159051 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/30 | &nbsp;&nbsp;&nbsp; 1144 | &nbsp;&nbsp; 1115102 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/30 | &nbsp;&nbsp;&nbsp; 1381 | &nbsp;&nbsp; 1348476 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; 909 | &nbsp;&nbsp; 885402 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/30 | &nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp; 196538 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/30 | &nbsp;&nbsp;&nbsp; 1187 | &nbsp;&nbsp; 1155196 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/30 | &nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp; 212652 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/30 | &nbsp;&nbsp;&nbsp; 435 | &nbsp;&nbsp; 423527 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 294 | &nbsp;&nbsp; 285412 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/31 | &nbsp;&nbsp;&nbsp; 572 | &nbsp;&nbsp; 556315 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 2052 | &nbsp;&nbsp; 1992127 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/31 | &nbsp;&nbsp;&nbsp; $1194 | &nbsp;&nbsp; $1158133 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 3054 | &nbsp;&nbsp; 2962109 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/31 | &nbsp;&nbsp;&nbsp; 2606 | &nbsp;&nbsp; 2526762 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/31 | &nbsp;&nbsp;&nbsp; 269 | &nbsp;&nbsp; 259944 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/31 | &nbsp;&nbsp;&nbsp; 604 | &nbsp;&nbsp; 584762 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/31 | &nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp; 79123 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/31 | &nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp; 274069 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/32 | &nbsp;&nbsp;&nbsp; 1066 | &nbsp;&nbsp; 1030335 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 287 | &nbsp;&nbsp; 277092 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 2342 | &nbsp;&nbsp; 2267156 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp; 212602 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/32 | &nbsp;&nbsp;&nbsp; 614 | &nbsp;&nbsp; 592237 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/32 | &nbsp;&nbsp;&nbsp; 1617 | &nbsp;&nbsp; 1557196 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp; 245205 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 3135 | &nbsp;&nbsp; 3022520 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 2883 | &nbsp;&nbsp; 2778348 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; 2324 | &nbsp;&nbsp; 2237007 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; 1661 | &nbsp;&nbsp; 1600082 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 38563 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 5287 | &nbsp;&nbsp; 5062974 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/33 | &nbsp;&nbsp;&nbsp; 984 | &nbsp;&nbsp; 948960 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 381 | &nbsp;&nbsp; 366159 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp; 232666 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/42 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 14216 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/42 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4371 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/42 | &nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp; 462175 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/42 | &nbsp;&nbsp;&nbsp; 11150 | &nbsp;&nbsp; 10037652 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/42 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 33659 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/43 | &nbsp;&nbsp;&nbsp; 3672 | &nbsp;&nbsp; 3306239 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/43 | &nbsp;&nbsp;&nbsp; 2795 | &nbsp;&nbsp; 2515623 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/43 | &nbsp;&nbsp;&nbsp; 861 | &nbsp;&nbsp; 772276 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/43 | &nbsp;&nbsp;&nbsp; 524 | &nbsp;&nbsp; 469437 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/43 | &nbsp;&nbsp;&nbsp; 1275 | &nbsp;&nbsp; 1141197 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/43 | &nbsp;&nbsp;&nbsp; 748 | &nbsp;&nbsp; 669542 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/43 | &nbsp;&nbsp;&nbsp; 1585 | &nbsp;&nbsp; 1419941 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 687 | &nbsp;&nbsp; 615552 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/43 | &nbsp;&nbsp;&nbsp; 1874 | &nbsp;&nbsp; 1678230 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 841 | &nbsp;&nbsp; 756990 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/44 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 37271 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5231 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/45 | &nbsp;&nbsp;&nbsp; 1157 | &nbsp;&nbsp; 1023562 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/45 | &nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp; 171767 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/45 | &nbsp;&nbsp;&nbsp; 19040 | &nbsp;&nbsp; 16747949 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/45 | &nbsp;&nbsp;&nbsp; 5757 | &nbsp;&nbsp; 5018569 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/45 | &nbsp;&nbsp;&nbsp; 709 | &nbsp;&nbsp; 624030 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 2273 | &nbsp;&nbsp; 2000381 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/45 | &nbsp;&nbsp;&nbsp; 467 | &nbsp;&nbsp; 411327 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/45 | &nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp; 117180 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/45 | &nbsp;&nbsp;&nbsp; 475 | &nbsp;&nbsp; 418480 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/45 | &nbsp;&nbsp;&nbsp; 4581 | &nbsp;&nbsp; 4030367 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/46 | &nbsp;&nbsp;&nbsp; 1341 | &nbsp;&nbsp; 1179691 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/46 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 85963 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/46 | &nbsp;&nbsp;&nbsp; 15108 | &nbsp;&nbsp; 13235825 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/46 | &nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp; 354630 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/46 | &nbsp;&nbsp;&nbsp; 397 | &nbsp;&nbsp; 347746 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/46 | &nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp; 749020 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/46 | &nbsp;&nbsp;&nbsp; 435 | &nbsp;&nbsp; 381113 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/46 | &nbsp;&nbsp;&nbsp; 11621 | &nbsp;&nbsp; 10196772 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/46 | &nbsp;&nbsp;&nbsp; 9396 | &nbsp;&nbsp; 8336150 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/46 | &nbsp;&nbsp;&nbsp; 21551 | &nbsp;&nbsp; 18940817 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/46 | &nbsp;&nbsp;&nbsp; 22939 | &nbsp;&nbsp; 20102542 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/46 | &nbsp;&nbsp;&nbsp; $37878 | &nbsp;&nbsp; $33220602 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/47 | &nbsp;&nbsp;&nbsp; 8879 | &nbsp;&nbsp; 7786481 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 42032 | &nbsp;&nbsp; 36928885 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 762 | &nbsp;&nbsp; 667466 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 1081 | &nbsp;&nbsp; 928472 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 12463 | &nbsp;&nbsp; 10976276 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/47 | &nbsp;&nbsp;&nbsp; 12002 | &nbsp;&nbsp; 10514766 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 10918 | &nbsp;&nbsp; 9564498 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 1927 | &nbsp;&nbsp; 1688578 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 3478 | &nbsp;&nbsp; 3046931 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp; 269438 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/47 | &nbsp;&nbsp;&nbsp; 568 | &nbsp;&nbsp; 498747 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/48 | &nbsp;&nbsp;&nbsp; 2196 | &nbsp;&nbsp; 1920662 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/48 | &nbsp;&nbsp;&nbsp; 720 | &nbsp;&nbsp; 630787 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 293 | &nbsp;&nbsp; 254771 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp; 303881 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 571 | &nbsp;&nbsp; 496211 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/25 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3737 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/25 | &nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp; 133935 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1532 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/26 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5179 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/26 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20218 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp; 64158 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7066 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4454 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 28441 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 582 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/26 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 59996 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 221 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/26 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 69915 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1616 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/26 | &nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp; 83336 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/27 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5619 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 486 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 30694 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/27 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4086 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp; 101690 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24439 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7240 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5037 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 529 | &nbsp;&nbsp; 520629 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 51251 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp; 64805 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6054 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/29 | &nbsp;&nbsp;&nbsp; 459 | &nbsp;&nbsp; 452589 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/29 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7756 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/30 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7421 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 69509 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/30 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9591 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 1021 | &nbsp;&nbsp; 1003489 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 684 | &nbsp;&nbsp; 670647 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp; 87442 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 1044 | &nbsp;&nbsp; 1019930 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 1106 | &nbsp;&nbsp; 1080492 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 1050 | &nbsp;&nbsp; 1024448 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 1221 | &nbsp;&nbsp; 1190441 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 515 | &nbsp;&nbsp; 502116 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 2790 | &nbsp;&nbsp; 2727021 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; $619 | &nbsp;&nbsp; $604005 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp; 234708 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 1142 | &nbsp;&nbsp; 1111008 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 974 | &nbsp;&nbsp; 945338 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 537 | &nbsp;&nbsp; 521734 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 527 | &nbsp;&nbsp; 512872 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 5213 | &nbsp;&nbsp; 5030174 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 4505 | &nbsp;&nbsp; 4283771 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 4568 | &nbsp;&nbsp; 4341542 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/41 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7209 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/41 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9704 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/41 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 31352 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/42 | &nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp; 108478 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/42 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp; 184584 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/42 | &nbsp;&nbsp;&nbsp; 1484 | &nbsp;&nbsp; 1373752 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/42 | &nbsp;&nbsp;&nbsp; 1358 | &nbsp;&nbsp; 1256983 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/42 | &nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp; 865748 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/42 | &nbsp;&nbsp;&nbsp; 438 | &nbsp;&nbsp; 406383 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/42 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 40738 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/42 | &nbsp;&nbsp;&nbsp; 3513 | &nbsp;&nbsp; 3253788 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/42 | &nbsp;&nbsp;&nbsp; 1186 | &nbsp;&nbsp; 1098006 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/42 | &nbsp;&nbsp;&nbsp; 691 | &nbsp;&nbsp; 640301 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; 801 | &nbsp;&nbsp; 742258 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/43 | &nbsp;&nbsp;&nbsp; 741 | &nbsp;&nbsp; 685900 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/43 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 13913 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/43 | &nbsp;&nbsp;&nbsp; 2305 | &nbsp;&nbsp; 2133284 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/43 | &nbsp;&nbsp;&nbsp; 2355 | &nbsp;&nbsp; 2180299 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/43 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11291 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/43 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11257 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/44 | &nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp; 144790 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/44 | &nbsp;&nbsp;&nbsp; 345 | &nbsp;&nbsp; 316646 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/44 | &nbsp;&nbsp;&nbsp; 1206 | &nbsp;&nbsp; 1115788 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/44 | &nbsp;&nbsp;&nbsp; 7078 | &nbsp;&nbsp; 6467171 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/44 | &nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp; 418207 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/44 | &nbsp;&nbsp;&nbsp; 4454 | &nbsp;&nbsp; 4015327 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/45 | &nbsp;&nbsp;&nbsp; 808 | &nbsp;&nbsp; 741304 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/45 | &nbsp;&nbsp;&nbsp; 3551 | &nbsp;&nbsp; 3255188 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2401 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/45 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 36126 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/45 | &nbsp;&nbsp;&nbsp; 469 | &nbsp;&nbsp; 429020 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/45 | &nbsp;&nbsp;&nbsp; 10926 | &nbsp;&nbsp; 10046893 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/45 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4847 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/45 | &nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp; 276810 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/45 | &nbsp;&nbsp;&nbsp; 5437 | &nbsp;&nbsp; 4925503 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 4634 | &nbsp;&nbsp; 4220351 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 5030 | &nbsp;&nbsp; 4545698 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/46 | &nbsp;&nbsp;&nbsp; 1561 | &nbsp;&nbsp; 1413275 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 17629 | &nbsp;&nbsp; 15908559 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 4678 | &nbsp;&nbsp; 4276588 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 4797 | &nbsp;&nbsp; 4335273 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 4066 | &nbsp;&nbsp; 3693479 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 4956 | &nbsp;&nbsp; 4506812 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/46 | &nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp; 420604 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 954 | &nbsp;&nbsp; 865341 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 5597 | &nbsp;&nbsp; 5080430 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 1419 | &nbsp;&nbsp; 1286929 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 4993 | &nbsp;&nbsp; 4536626 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/47 | &nbsp;&nbsp;&nbsp; 6223 | &nbsp;&nbsp; 5643558 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 2240 | &nbsp;&nbsp; 2027335 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/47 | &nbsp;&nbsp;&nbsp; 4137 | &nbsp;&nbsp; 3746572 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/47 | &nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp; 116157 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/47 | &nbsp;&nbsp;&nbsp; $4917 | &nbsp;&nbsp; $4446809 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/47 | &nbsp;&nbsp;&nbsp; 2791 | &nbsp;&nbsp; 2531346 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/47 | &nbsp;&nbsp;&nbsp; 21012 | &nbsp;&nbsp; 18989008 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/47 | &nbsp;&nbsp;&nbsp; 681 | &nbsp;&nbsp; 615543 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/47 | &nbsp;&nbsp;&nbsp; 1676 | &nbsp;&nbsp; 1515348 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/47 | &nbsp;&nbsp;&nbsp; 5214 | &nbsp;&nbsp; 4741950 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/48 | &nbsp;&nbsp;&nbsp; 993 | &nbsp;&nbsp; 897421 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/48 | &nbsp;&nbsp;&nbsp; 2148 | &nbsp;&nbsp; 1930877 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/48 | &nbsp;&nbsp;&nbsp; 10265 | &nbsp;&nbsp; 9266486 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/48 | &nbsp;&nbsp;&nbsp; 2268 | &nbsp;&nbsp; 2054577 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/48 | &nbsp;&nbsp;&nbsp; 6843 | &nbsp;&nbsp; 6191345 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/48 | &nbsp;&nbsp;&nbsp; 2261 | &nbsp;&nbsp; 2054229 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/49 | &nbsp;&nbsp;&nbsp; 2298 | &nbsp;&nbsp; 2077452 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/49 | &nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp; 845059 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/49 | &nbsp;&nbsp;&nbsp; 988 | &nbsp;&nbsp; 893251 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/25 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 654 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/25 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16846 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/26 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 25571 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 529 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/26 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2160 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1029 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 618 | &nbsp;&nbsp; 609895 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/34 | &nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp; 116182 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp; 435874 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 1741 | &nbsp;&nbsp; 1691202 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 10576 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 451 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/39 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 20017 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/39 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 44397 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/39 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5723 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7103 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp; 57676 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/39 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10679 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16621 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/40 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 36444 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/40 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4744 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/40 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2649 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/40 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13332 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/40 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4466 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7617 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/40 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp; 84907 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/40 | &nbsp;&nbsp;&nbsp; 663 | &nbsp;&nbsp; 638638 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/41 | &nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp; 146290 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/41 | &nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp; 169653 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/41 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 31588 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/41 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 24674 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/41 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15523 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/41 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 25828 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/41 | &nbsp;&nbsp;&nbsp; 2209 | &nbsp;&nbsp; 2131768 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/41 | &nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp; 81633 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/41 | &nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp; 252396 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/41 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 52483 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/42 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25049 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/42 | &nbsp;&nbsp;&nbsp; $4260 | &nbsp;&nbsp; $4110281 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/42 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 36887 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/42 | &nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp; 120854 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/42 | &nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp; 225463 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/42 | &nbsp;&nbsp;&nbsp; 1395 | &nbsp;&nbsp; 1332829 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/43 | &nbsp;&nbsp;&nbsp; 1313 | &nbsp;&nbsp; 1247812 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp; 203565 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 104271 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/43 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2884 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/43 | &nbsp;&nbsp;&nbsp; 638 | &nbsp;&nbsp; 606077 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/44 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 43970 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/44 | &nbsp;&nbsp;&nbsp; 717 | &nbsp;&nbsp; 681945 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/44 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 13901 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/44 | &nbsp;&nbsp;&nbsp; 383 | &nbsp;&nbsp; 364296 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/44 | &nbsp;&nbsp;&nbsp; 368 | &nbsp;&nbsp; 348559 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/44 | &nbsp;&nbsp;&nbsp; 1284 | &nbsp;&nbsp; 1215287 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/44 | &nbsp;&nbsp;&nbsp; 1777 | &nbsp;&nbsp; 1684431 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/44 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19241 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/44 | &nbsp;&nbsp;&nbsp; 527 | &nbsp;&nbsp; 499608 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/44 | &nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp; 244954 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/44 | &nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp; 185177 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/44 | &nbsp;&nbsp;&nbsp; 754 | &nbsp;&nbsp; 713315 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 786 | &nbsp;&nbsp; 747231 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/45 | &nbsp;&nbsp;&nbsp; 5450 | &nbsp;&nbsp; 5159281 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/45 | &nbsp;&nbsp;&nbsp; 3648 | &nbsp;&nbsp; 3452783 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/45 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9410 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 960 | &nbsp;&nbsp; 903300 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/45 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 18470 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/45 | &nbsp;&nbsp;&nbsp; 1839 | &nbsp;&nbsp; 1729991 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/45 | &nbsp;&nbsp;&nbsp; 845 | &nbsp;&nbsp; 794967 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/45 | &nbsp;&nbsp;&nbsp; 612 | &nbsp;&nbsp; 575398 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/45 | &nbsp;&nbsp;&nbsp; 479 | &nbsp;&nbsp; 450811 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/46 | &nbsp;&nbsp;&nbsp; 838 | &nbsp;&nbsp; 786653 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/46 | &nbsp;&nbsp;&nbsp; 928 | &nbsp;&nbsp; 872625 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/46 | &nbsp;&nbsp;&nbsp; 887 | &nbsp;&nbsp; 831936 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/46 | &nbsp;&nbsp;&nbsp; 874 | &nbsp;&nbsp; 819981 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/46 | &nbsp;&nbsp;&nbsp; 3201 | &nbsp;&nbsp; 3002355 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/46 | &nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp; 95088 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/46 | &nbsp;&nbsp;&nbsp; 1809 | &nbsp;&nbsp; 1711195 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/46 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 40616 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/46 | &nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp; 745618 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/46 | &nbsp;&nbsp;&nbsp; 708 | &nbsp;&nbsp; 665944 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/46 | &nbsp;&nbsp;&nbsp; 12577 | &nbsp;&nbsp; 11796054 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/46 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 23460 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/47 | &nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp; 157085 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 3660 | &nbsp;&nbsp; 3433318 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp; 141311 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/47 | &nbsp;&nbsp;&nbsp; 2418 | &nbsp;&nbsp; 2266048 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 396 | &nbsp;&nbsp; 370278 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 2600 | &nbsp;&nbsp; 2421792 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/47 | &nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp; 75657 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 744 | &nbsp;&nbsp; 695325 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 3116 | &nbsp;&nbsp; 2911853 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/47 | &nbsp;&nbsp;&nbsp; 4128 | &nbsp;&nbsp; 3845746 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/48 | &nbsp;&nbsp;&nbsp; 2803 | &nbsp;&nbsp; 2625365 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/48 | &nbsp;&nbsp;&nbsp; 7591 | &nbsp;&nbsp; 7114260 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 983 | &nbsp;&nbsp; 913904 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/48 | &nbsp;&nbsp;&nbsp; 411 | &nbsp;&nbsp; 385229 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/48 | &nbsp;&nbsp;&nbsp; 10546 | &nbsp;&nbsp; 9870966 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 56519 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/48 | &nbsp;&nbsp;&nbsp; 1034 | &nbsp;&nbsp; 964998 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; $940 | &nbsp;&nbsp; $880523 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 7432 | &nbsp;&nbsp; 6948918 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 802 | &nbsp;&nbsp; 743203 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/48 | &nbsp;&nbsp;&nbsp; 2195 | &nbsp;&nbsp; 2050753 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 3229 | &nbsp;&nbsp; 3025920 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 15892 | &nbsp;&nbsp; 14821631 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/49 | &nbsp;&nbsp;&nbsp; 764 | &nbsp;&nbsp; 712169 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 2338 | &nbsp;&nbsp; 2160798 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/49 | &nbsp;&nbsp;&nbsp; 651 | &nbsp;&nbsp; 606921 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp; 357009 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1450 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1167 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 973 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 36134 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1837 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6055 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4799 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 25494 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1112 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 357 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 26573 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 721 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 1616 | &nbsp;&nbsp; 1598357 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 853 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24544 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/39 | &nbsp;&nbsp;&nbsp; 1791 | &nbsp;&nbsp; 1771374 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/39 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 49456 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/39 | &nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp; 121671 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/39 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 37364 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp; 176238 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 1640 | &nbsp;&nbsp; 1621425 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/39 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 39554 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/39 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 46914 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/40 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 40888 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/40 | &nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp; 226868 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/40 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6548 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/40 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 60314 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 43625 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/40 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9905 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/40 | &nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp; 38129 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/40 | &nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp; 133814 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/40 | &nbsp;&nbsp;&nbsp; 1017 | &nbsp;&nbsp; 1005545 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/40 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11203 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/40 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1123 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/41 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3004 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/41 | &nbsp;&nbsp;&nbsp; 1952 | &nbsp;&nbsp; 1924509 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/41 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 53424 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/41 | &nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 90247 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/41 | &nbsp;&nbsp;&nbsp; 2477 | &nbsp;&nbsp; 2448237 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/41 | &nbsp;&nbsp;&nbsp; 3580 | &nbsp;&nbsp; 3524164 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/41 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 56428 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/41 | &nbsp;&nbsp;&nbsp; 468 | &nbsp;&nbsp; 460478 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/41 | &nbsp;&nbsp;&nbsp; $121 | &nbsp;&nbsp; $119907 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/41 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7522 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/42 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4026 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/42 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20276 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/42 | &nbsp;&nbsp;&nbsp; 1453 | &nbsp;&nbsp; 1436420 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/43 | &nbsp;&nbsp;&nbsp; 1326 | &nbsp;&nbsp; 1302870 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/43 | &nbsp;&nbsp;&nbsp; 721 | &nbsp;&nbsp; 708433 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/43 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 134415 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/43 | &nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp; 118301 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/44 | &nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp; 92046 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/44 | &nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp; 371307 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/44 | &nbsp;&nbsp;&nbsp; 904 | &nbsp;&nbsp; 882970 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/44 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4773 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/44 | &nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp; 117340 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/44 | &nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp; 122822 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/44 | &nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp; 123804 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/44 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 20164 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/44 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 45423 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/44 | &nbsp;&nbsp;&nbsp; 329 | &nbsp;&nbsp; 323470 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/44 | &nbsp;&nbsp;&nbsp; 472 | &nbsp;&nbsp; 460391 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/44 | &nbsp;&nbsp;&nbsp; 932 | &nbsp;&nbsp; 909161 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/45 | &nbsp;&nbsp;&nbsp; 1315 | &nbsp;&nbsp; 1282136 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/45 | &nbsp;&nbsp;&nbsp; 290 | &nbsp;&nbsp; 283039 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/45 | &nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp; 180401 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/45 | &nbsp;&nbsp;&nbsp; 912 | &nbsp;&nbsp; 891273 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/45 | &nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp; 428143 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/45 | &nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp; 305175 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/45 | &nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp; 304156 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/45 | &nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp; 60461 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp; 360028 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp; 266652 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/46 | &nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp; 236113 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 934 | &nbsp;&nbsp; 902009 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 3765 | &nbsp;&nbsp; 3652821 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 1334 | &nbsp;&nbsp; 1289918 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp; 126454 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 2262 | &nbsp;&nbsp; 2194919 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 538 | &nbsp;&nbsp; 519980 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp; 119812 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/47 | &nbsp;&nbsp;&nbsp; 929 | &nbsp;&nbsp; 892070 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/47 | &nbsp;&nbsp;&nbsp; 1182 | &nbsp;&nbsp; 1133737 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/47 | &nbsp;&nbsp;&nbsp; 552 | &nbsp;&nbsp; 531508 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/47 | &nbsp;&nbsp;&nbsp; 599 | &nbsp;&nbsp; 579292 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/48 | &nbsp;&nbsp;&nbsp; 876 | &nbsp;&nbsp; 843482 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/48 | &nbsp;&nbsp;&nbsp; 1321 | &nbsp;&nbsp; 1267108 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/48 | &nbsp;&nbsp;&nbsp; 660 | &nbsp;&nbsp; 633439 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/48 | &nbsp;&nbsp;&nbsp; 1129 | &nbsp;&nbsp; 1081783 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/48 | &nbsp;&nbsp;&nbsp; 884 | &nbsp;&nbsp; 849514 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/48 | &nbsp;&nbsp;&nbsp; 4777 | &nbsp;&nbsp; 4605136 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/48 | &nbsp;&nbsp;&nbsp; 1445 | &nbsp;&nbsp; 1394781 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/48 | &nbsp;&nbsp;&nbsp; 2845 | &nbsp;&nbsp; 2732944 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/49 | &nbsp;&nbsp;&nbsp; 748 | &nbsp;&nbsp; 719193 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/49 | &nbsp;&nbsp;&nbsp; 732 | &nbsp;&nbsp; 705602 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/49 | &nbsp;&nbsp;&nbsp; 1823 | &nbsp;&nbsp; 1755098 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/25 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4619 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2845 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 920 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/33 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 128401 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 28006 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 458 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; $41 | &nbsp;&nbsp; $41167 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp; 67670 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 29039 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/33 | &nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp; 269189 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/34 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3544 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/34 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7538 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/34 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9156 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 41231 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14454 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3862 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5670 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/35 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3593 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/35 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3365 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2494 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/35 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9140 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6655 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 1673 | &nbsp;&nbsp; 1689018 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 341 | &nbsp;&nbsp; 344154 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp; 72153 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 194 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6789 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 597 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19439 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 35876 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 773 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp; 250249 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1015 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/36 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4824 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26043 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 270 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12956 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/36 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22413 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 608 | &nbsp;&nbsp; 613712 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp; 313604 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp; 279798 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11904 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3113 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 434 | &nbsp;&nbsp; 437636 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 1824 | &nbsp;&nbsp; 1838141 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 28801 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1858 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5004 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7367 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 385 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/38 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7437 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp; 261285 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/39 | &nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp; 97759 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/39 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20036 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/39 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8321 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/39 | &nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp; 38883 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1465 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/39 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12585 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/39 | &nbsp;&nbsp;&nbsp; 2451 | &nbsp;&nbsp; 2467296 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22675 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 337 | &nbsp;&nbsp; 339198 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15267 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/40 | &nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp; 186699 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/40 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 47312 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/40 | &nbsp;&nbsp;&nbsp; 749 | &nbsp;&nbsp; 752757 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/40 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $493 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/40 | &nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp; 97451 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/40 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1655 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/40 | &nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp; 104400 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/40 | &nbsp;&nbsp;&nbsp; 1337 | &nbsp;&nbsp; 1345161 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 697 | &nbsp;&nbsp; 701011 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/40 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 52633 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/41 | &nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp; 162097 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/41 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1865 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/41 | &nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp; 59938 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/41 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2300 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/41 | &nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp; 199892 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/41 | &nbsp;&nbsp;&nbsp; 977 | &nbsp;&nbsp; 981662 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/41 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp; 100716 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/41 | &nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp; 75859 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/44 | &nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp; 56238 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 2045 | &nbsp;&nbsp; 2025472 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18477 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 1043 | &nbsp;&nbsp; 1031865 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/48 | &nbsp;&nbsp;&nbsp; 643 | &nbsp;&nbsp; 634959 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 1284 | &nbsp;&nbsp; 1269708 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/48 | &nbsp;&nbsp;&nbsp; 616 | &nbsp;&nbsp; 608959 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/48 | &nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp; 195729 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 512 | &nbsp;&nbsp; 505827 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/48 | &nbsp;&nbsp;&nbsp; 2892 | &nbsp;&nbsp; 2859918 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp; 346734 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 1698 | &nbsp;&nbsp; 1674376 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 363 | &nbsp;&nbsp; 358226 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 1207 | &nbsp;&nbsp; 1193700 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp; 389897 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp; 168083 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1010 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 648 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 459 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4135 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14100 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 376 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6937 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26363 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3672 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2095 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8326 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4040 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11552 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12176 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1092 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp; 91251 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3951 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 364 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 36019 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp; 368275 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp; 130654 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; $5 | &nbsp;&nbsp; $5691 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4470 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 967 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 73314 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 441 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 833 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp; 129975 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 449 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 916 | &nbsp;&nbsp; 940966 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1389 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 260 | &nbsp;&nbsp; 266751 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6334 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp; 158656 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 417 | &nbsp;&nbsp; 428246 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 1142 | &nbsp;&nbsp; 1172572 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6863 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp; 78088 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4757 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp; 71925 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 259 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11075 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp; 240554 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13729 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 295 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6492 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24792 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2806 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/36 | &nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp; 359559 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11136 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 497 | &nbsp;&nbsp; 510106 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 68577 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 358 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9502 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4952 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp; 60735 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10649 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3189 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/37 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10635 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 35050 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4636 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5732 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12047 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6682 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21022 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 472 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3801 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 497 | &nbsp;&nbsp; 508479 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 259 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp; 232211 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21987 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 331 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; $80 | &nbsp;&nbsp; $83316 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23582 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/38 | &nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp; 70828 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/38 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24110 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11932 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 565 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp; 81937 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 289 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; 1029 | &nbsp;&nbsp; 1056147 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 54500 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 855 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15836 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/39 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13363 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/39 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21984 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp; 361499 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3849 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/39 | &nbsp;&nbsp;&nbsp; 836 | &nbsp;&nbsp; 856957 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/39 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26015 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/40 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 66204 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/40 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19622 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/40 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4797 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6862 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/40 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21454 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/41 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8885 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/41 | &nbsp;&nbsp;&nbsp; 2657 | &nbsp;&nbsp; 2726663 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 207 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 503 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/28 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1639 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3020 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1576 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1652 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 644 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2071 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 458 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 164 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 482 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 639 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/32 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12638 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1905 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 282 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8079 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2048 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 594 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 806 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 499 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 43972 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1651 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $172 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4069 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 679 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2427 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1247 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 450 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2093 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8703 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 378 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9227 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6394 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7795 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/34 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9372 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 812 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1242 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3757 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1523 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2219 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 477 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1171 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13626 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1555 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2973 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2107 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/36 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5172 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1226 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8005 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9869 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6814 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1498 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 404 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/36 | &nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp; 215891 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/36 | &nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp; 257070 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 16306 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 52288 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 288 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1253 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp; 178595 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4529 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4573 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4446 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3200 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13931 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 855 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 397 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6724 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/37 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 34327 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 42759 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1084 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 22175 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 25229 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 12016 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12948 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/38 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9952 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; $937 | &nbsp;&nbsp; $976010 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 531 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4362 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1323 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3299 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2955 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 652 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/40 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5781 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/40 | &nbsp;&nbsp;&nbsp; 2686 | &nbsp;&nbsp; 2804163 |
| &nbsp;&nbsp;&nbsp; 6.40%, 11/01/40<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.47%, 12/01/33, (1-year CMT + <br> 2.250%)<sup>(b)</sup><br>| &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 36260 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 269 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 685 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1833 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 225 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1208 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 680 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 675 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 538 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 332 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 229 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1957 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2282 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 395 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 443 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2351 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 910 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 630 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 898 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 290 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4922 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1638 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 351 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2183 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1788 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 397 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1394 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4337 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 683 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1202 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1959 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4581 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; $16 | &nbsp;&nbsp; $16820 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1696 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2151 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2020 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 487 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3546 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 407 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1158 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 925 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 22323 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 444 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/36 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9876 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 608 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2810 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6280 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2598 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13466 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 813 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12562 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1160 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1013 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 492 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1954 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 8096 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 13047 |
| &nbsp;&nbsp;&nbsp; 6.77%, 05/01/42<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp; 207675 |
| &nbsp;&nbsp;&nbsp; 6.78%, 01/01/42<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11551 |
| &nbsp;&nbsp;&nbsp; 6.89%, 11/01/40<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp; 60076 |
| &nbsp;&nbsp;&nbsp; 6.90%, 11/01/40<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 42987 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 201 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 243 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 706 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 948 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 535 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 353 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 225 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 343 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 775 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/31 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $816 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1061 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 539 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 356 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1675 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 650 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 293 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 777 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1893 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1572 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 384 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 226 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6774 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 500 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 585 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3755 |
| &nbsp;&nbsp;&nbsp; 7.02%, 12/01/38<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp; 217321 |
| &nbsp;&nbsp;&nbsp; 7.12%, 08/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 31470 |
| &nbsp;&nbsp;&nbsp; 7.25%, 05/01/43<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp; 62970 |
| &nbsp;&nbsp;&nbsp; 7.35%, 08/01/43<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12594 |
| &nbsp;&nbsp;&nbsp; 7.38%, 09/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 303 | &nbsp;&nbsp; 308167 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; 7.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; 7.50%, 04/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2958 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 424 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/01/30 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 644 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 447 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; 7.50%, 02/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 798 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 974 |
| &nbsp;&nbsp;&nbsp; 7.62%, 07/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8383 |
| &nbsp;&nbsp;&nbsp; 7.67%, 11/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp; 117976 |
| &nbsp;&nbsp;&nbsp; 8.00%, 11/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp; 8.00%, 09/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp; 8.00%, 11/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp; 8.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp; 8.00%, 05/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp; 8.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 54 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 8.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $16 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp; 8.00%, 11/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp; 8.00%, 12/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp; 8.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; 8.00%, 03/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 329 |
| &nbsp;&nbsp;&nbsp; 8.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; 8.50%, 06/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 8.50%, 09/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; 8.50%, 07/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 104 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp; 197570 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; 748 | &nbsp;&nbsp; 727217 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/31 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 20984 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 4151 | &nbsp;&nbsp; 3576364 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp; 256096 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 475 | &nbsp;&nbsp; 457787 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 83016 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp; 411258 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/51 | &nbsp;&nbsp;&nbsp; 4845 | &nbsp;&nbsp; 4412941 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 6024 | &nbsp;&nbsp; 5676782 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/57 | &nbsp;&nbsp;&nbsp; 3772 | &nbsp;&nbsp; 3464651 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/57 | &nbsp;&nbsp;&nbsp; 4203 | &nbsp;&nbsp; 3860241 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/44 | &nbsp;&nbsp;&nbsp; 731 | &nbsp;&nbsp; 713201 |
| &nbsp;&nbsp;&nbsp; 6.49%, 06/01/43<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 451 | &nbsp;&nbsp; 458203 |
| &nbsp;&nbsp;&nbsp; 6.70%, 12/01/38<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12964 |
| &nbsp;&nbsp;&nbsp; 6.71%, 02/01/42<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp; 186115 |
| &nbsp;&nbsp;&nbsp; 7.25%, 10/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 387 | &nbsp;&nbsp; 395990 |
| &nbsp;&nbsp;&nbsp; 7.32%, 09/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 20959 |
| &nbsp;&nbsp;&nbsp; 7.52%, 08/01/42<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp; 402496 |
| &nbsp;&nbsp;&nbsp; 7.54%, 08/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25218 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/20/51 | &nbsp;&nbsp;&nbsp; 4673 | &nbsp;&nbsp; 3590102 |
| &nbsp;&nbsp;&nbsp; 1.50%, 04/20/51 | &nbsp;&nbsp;&nbsp; 618 | &nbsp;&nbsp; 474517 |
| &nbsp;&nbsp;&nbsp; 1.50%, 10/20/51 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp; 75845 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/20/51 | &nbsp;&nbsp;&nbsp; 3258 | &nbsp;&nbsp; 2468421 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/20/50 | &nbsp;&nbsp;&nbsp; 9316 | &nbsp;&nbsp; 7495415 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/20/50 | &nbsp;&nbsp;&nbsp; 59413 | &nbsp;&nbsp; 47757096 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/20/50 | &nbsp;&nbsp;&nbsp; 4049 | &nbsp;&nbsp; 3256919 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/20/50 | &nbsp;&nbsp;&nbsp; 17752 | &nbsp;&nbsp; 14279463 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp; 23495 | &nbsp;&nbsp; 18896944 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/20/50 | &nbsp;&nbsp;&nbsp; 141242 | &nbsp;&nbsp; 113588617 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/20/51 | &nbsp;&nbsp;&nbsp; 27968 | &nbsp;&nbsp; 22489694 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/20/51 | &nbsp;&nbsp;&nbsp; 68426 | &nbsp;&nbsp; 55009662 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/20/51 | &nbsp;&nbsp;&nbsp; 9775 | &nbsp;&nbsp; 7857994 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/20/51 | &nbsp;&nbsp;&nbsp; 22682 | &nbsp;&nbsp; 18233572 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/20/51 | &nbsp;&nbsp;&nbsp; 3404 | &nbsp;&nbsp; 2736240 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/20/51 | &nbsp;&nbsp;&nbsp; 5203 | &nbsp;&nbsp; 4182562 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/20/51 | &nbsp;&nbsp;&nbsp; 10126 | &nbsp;&nbsp; 8139946 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/20/51 | &nbsp;&nbsp;&nbsp; 33940 | &nbsp;&nbsp; 27242879 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/20/51 | &nbsp;&nbsp;&nbsp; 10336 | &nbsp;&nbsp; 8307686 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/20/51 | &nbsp;&nbsp;&nbsp; 279886 | &nbsp;&nbsp; 224965916 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/20/51 | &nbsp;&nbsp;&nbsp; 45293 | &nbsp;&nbsp; 36404846 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/20/51 | &nbsp;&nbsp;&nbsp; 274954 | &nbsp;&nbsp; 220990835 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/20/52 | &nbsp;&nbsp;&nbsp; 158620 | &nbsp;&nbsp; 127485946 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/20/52 | &nbsp;&nbsp;&nbsp; 16599 | &nbsp;&nbsp; 13339577 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/20/52 | &nbsp;&nbsp;&nbsp; 187513 | &nbsp;&nbsp; 150690312 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/20/52 | &nbsp;&nbsp;&nbsp; 96827 | &nbsp;&nbsp; 77812306 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/20/52 | &nbsp;&nbsp;&nbsp; 1555 | &nbsp;&nbsp; 1249683 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/20/52 | &nbsp;&nbsp;&nbsp; 81259 | &nbsp;&nbsp; 65301701 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/20/52 | &nbsp;&nbsp;&nbsp; 605 | &nbsp;&nbsp; 486224 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/20/52 | &nbsp;&nbsp;&nbsp; $68 | &nbsp;&nbsp; $55009 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/27 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7272 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/20/27 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12425 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/20/27 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16965 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/28 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 65534 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/28 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 37484 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/20/30 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 48123 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/32 | &nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp; 156800 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/42 | &nbsp;&nbsp;&nbsp; 346 | &nbsp;&nbsp; 302607 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/43 | &nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp; 113324 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/45 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 19206 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/45 | &nbsp;&nbsp;&nbsp; 8146 | &nbsp;&nbsp; 7082215 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/20/46 | &nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp; 143249 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/46 | &nbsp;&nbsp;&nbsp; 9492 | &nbsp;&nbsp; 8086005 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/47 | &nbsp;&nbsp;&nbsp; 3604 | &nbsp;&nbsp; 3069875 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/20/47 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp; 75974 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/49 | &nbsp;&nbsp;&nbsp; 1718 | &nbsp;&nbsp; 1449758 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/50 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 51518 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/50 | &nbsp;&nbsp;&nbsp; 11952 | &nbsp;&nbsp; 10056628 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/20/50 | &nbsp;&nbsp;&nbsp; 14170 | &nbsp;&nbsp; 11906161 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/20/50 | &nbsp;&nbsp;&nbsp; 12954 | &nbsp;&nbsp; 10838390 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/20/50 | &nbsp;&nbsp;&nbsp; 25148 | &nbsp;&nbsp; 20999529 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/50 | &nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp; 119101 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/50 | &nbsp;&nbsp;&nbsp; 562 | &nbsp;&nbsp; 471575 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/51 | &nbsp;&nbsp;&nbsp; 73255 | &nbsp;&nbsp; 61510758 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/20/51 | &nbsp;&nbsp;&nbsp; 65045 | &nbsp;&nbsp; 54596114 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/51 | &nbsp;&nbsp;&nbsp; 916 | &nbsp;&nbsp; 768666 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/51 | &nbsp;&nbsp;&nbsp; 10738 | &nbsp;&nbsp; 9014327 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/20/51 | &nbsp;&nbsp;&nbsp; 175578 | &nbsp;&nbsp; 147376344 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/20/51 | &nbsp;&nbsp;&nbsp; 4396 | &nbsp;&nbsp; 3689221 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/20/51 | &nbsp;&nbsp;&nbsp; 226092 | &nbsp;&nbsp; 189742424 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/20/51 | &nbsp;&nbsp;&nbsp; 145970 | &nbsp;&nbsp; 122486674 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/20/51 | &nbsp;&nbsp;&nbsp; 64808 | &nbsp;&nbsp; 54378910 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/51 | &nbsp;&nbsp;&nbsp; 27300 | &nbsp;&nbsp; 22904898 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/20/51 | &nbsp;&nbsp;&nbsp; 55864 | &nbsp;&nbsp; 46865338 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/51 | &nbsp;&nbsp;&nbsp; 136361 | &nbsp;&nbsp; 114395751 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/52 | &nbsp;&nbsp;&nbsp; 74153 | &nbsp;&nbsp; 62202400 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/52 | &nbsp;&nbsp;&nbsp; 140884 | &nbsp;&nbsp; 118193227 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/52 | &nbsp;&nbsp;&nbsp; 153843 | &nbsp;&nbsp; 129065057 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/20/52 | &nbsp;&nbsp;&nbsp; 90137 | &nbsp;&nbsp; 75619368 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/20/52 | &nbsp;&nbsp;&nbsp; 6238 | &nbsp;&nbsp; 5233262 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/20/52 | &nbsp;&nbsp;&nbsp; 10380 | &nbsp;&nbsp; 8708102 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/20/52 | &nbsp;&nbsp;&nbsp; 24247 | &nbsp;&nbsp; 20341746 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/20/52 | &nbsp;&nbsp;&nbsp; 20433 | &nbsp;&nbsp; 17142135 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/52 | &nbsp;&nbsp;&nbsp; 8464 | &nbsp;&nbsp; 7101150 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/52 | &nbsp;&nbsp;&nbsp; 17216 | &nbsp;&nbsp; 14442791 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/53 | &nbsp;&nbsp;&nbsp; 1588 | &nbsp;&nbsp; 1331922 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/20/53 | &nbsp;&nbsp;&nbsp; 6192 | &nbsp;&nbsp; 5196332 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/53 | &nbsp;&nbsp;&nbsp; 4013 | &nbsp;&nbsp; 3368506 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/53 | &nbsp;&nbsp;&nbsp; 23962 | &nbsp;&nbsp; 20100053 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 1914 | &nbsp;&nbsp; 1605572 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/27 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 25730 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/15/27 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12528 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/27 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17269 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/27 | &nbsp;&nbsp;&nbsp; 712 | &nbsp;&nbsp; 701098 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/15/27 | &nbsp;&nbsp;&nbsp; 336 | &nbsp;&nbsp; 330964 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/15/27 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7166 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/27 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 31014 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/15/27 | &nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp; 110998 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/27 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5553 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/28 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4980 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/28 | &nbsp;&nbsp;&nbsp; $21 | &nbsp;&nbsp; $20360 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/28 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24883 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/28 | &nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp; 61367 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/29 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 20863 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/29 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 55192 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/30 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7463 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/31 | &nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp; 103117 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/42 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10301 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/15/42 | &nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp; 192025 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/42 | &nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp; 85342 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/42 | &nbsp;&nbsp;&nbsp; 471 | &nbsp;&nbsp; 424919 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/15/42 | &nbsp;&nbsp;&nbsp; 306 | &nbsp;&nbsp; 275093 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/42 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 114768 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/15/42 | &nbsp;&nbsp;&nbsp; 4562 | &nbsp;&nbsp; 4101572 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/42 | &nbsp;&nbsp;&nbsp; 428 | &nbsp;&nbsp; 385841 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/15/42 | &nbsp;&nbsp;&nbsp; 568 | &nbsp;&nbsp; 511092 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/42 | &nbsp;&nbsp;&nbsp; 4403 | &nbsp;&nbsp; 3969792 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/15/42 | &nbsp;&nbsp;&nbsp; 3589 | &nbsp;&nbsp; 3226059 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/42 | &nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp; 252771 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/15/42 | &nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp; 253347 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/42 | &nbsp;&nbsp;&nbsp; 4706 | &nbsp;&nbsp; 4243192 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/43 | &nbsp;&nbsp;&nbsp; 8841 | &nbsp;&nbsp; 7971028 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/15/43 | &nbsp;&nbsp;&nbsp; 448 | &nbsp;&nbsp; 396227 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/43 | &nbsp;&nbsp;&nbsp; 279 | &nbsp;&nbsp; 251706 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/15/43 | &nbsp;&nbsp;&nbsp; 209 | &nbsp;&nbsp; 185058 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/43 | &nbsp;&nbsp;&nbsp; 1205 | &nbsp;&nbsp; 1082738 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/15/43 | &nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp; 230754 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/43 | &nbsp;&nbsp;&nbsp; 3415 | &nbsp;&nbsp; 3069336 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/15/43 | &nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp; 110855 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/43 | &nbsp;&nbsp;&nbsp; 4087 | &nbsp;&nbsp; 3673651 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/15/43 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 45366 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/43 | &nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp; 703493 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/15/43 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 54778 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/43 | &nbsp;&nbsp;&nbsp; 2214 | &nbsp;&nbsp; 1989652 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/15/43 | &nbsp;&nbsp;&nbsp; 516 | &nbsp;&nbsp; 458899 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/43 | &nbsp;&nbsp;&nbsp; 848 | &nbsp;&nbsp; 762311 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/15/43 | &nbsp;&nbsp;&nbsp; 680 | &nbsp;&nbsp; 604185 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/43 | &nbsp;&nbsp;&nbsp; 1067 | &nbsp;&nbsp; 958720 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/43 | &nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp; 167243 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/43 | &nbsp;&nbsp;&nbsp; 356 | &nbsp;&nbsp; 319916 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/43 | &nbsp;&nbsp;&nbsp; 886 | &nbsp;&nbsp; 796508 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/15/44 | &nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp; 254301 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/44 | &nbsp;&nbsp;&nbsp; 3754 | &nbsp;&nbsp; 3374254 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/44 | &nbsp;&nbsp;&nbsp; 1080 | &nbsp;&nbsp; 971053 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/44 | &nbsp;&nbsp;&nbsp; 1086 | &nbsp;&nbsp; 976337 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/44 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 54833 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/44 | &nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp; 131849 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/44 | &nbsp;&nbsp;&nbsp; 537 | &nbsp;&nbsp; 476430 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/44 | &nbsp;&nbsp;&nbsp; 25531 | &nbsp;&nbsp; 22948849 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/44 | &nbsp;&nbsp;&nbsp; 522 | &nbsp;&nbsp; 463738 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/15/44 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17083 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/44 | &nbsp;&nbsp;&nbsp; 3049 | &nbsp;&nbsp; 2740927 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/44 | &nbsp;&nbsp;&nbsp; 6463 | &nbsp;&nbsp; 5737293 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/44 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 12370 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/45 | &nbsp;&nbsp;&nbsp; 3511 | &nbsp;&nbsp; 3116903 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/45 | &nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp; 176160 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/45 | &nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp; 199245 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/45 | &nbsp;&nbsp;&nbsp; 3512 | &nbsp;&nbsp; 3109989 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/45 | &nbsp;&nbsp;&nbsp; 7046 | &nbsp;&nbsp; 6251500 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/45 | &nbsp;&nbsp;&nbsp; 1121 | &nbsp;&nbsp; 991135 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/15/45 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2490 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/45 | &nbsp;&nbsp;&nbsp; $11729 | &nbsp;&nbsp; $10365880 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/15/45 | &nbsp;&nbsp;&nbsp; 1539 | &nbsp;&nbsp; 1359072 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/45 | &nbsp;&nbsp;&nbsp; 24711 | &nbsp;&nbsp; 21838416 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/45 | &nbsp;&nbsp;&nbsp; 579 | &nbsp;&nbsp; 512017 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/45 | &nbsp;&nbsp;&nbsp; 8109 | &nbsp;&nbsp; 7090009 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/45 | &nbsp;&nbsp;&nbsp; 3815 | &nbsp;&nbsp; 3316872 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/45 | &nbsp;&nbsp;&nbsp; 9406 | &nbsp;&nbsp; 8251617 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/46 | &nbsp;&nbsp;&nbsp; 4537 | &nbsp;&nbsp; 4009268 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/46 | &nbsp;&nbsp;&nbsp; 9113 | &nbsp;&nbsp; 8053662 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/46 | &nbsp;&nbsp;&nbsp; 4040 | &nbsp;&nbsp; 3567390 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/46 | &nbsp;&nbsp;&nbsp; 4202 | &nbsp;&nbsp; 3722964 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/46 | &nbsp;&nbsp;&nbsp; 13893 | &nbsp;&nbsp; 12268419 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/46 | &nbsp;&nbsp;&nbsp; 8387 | &nbsp;&nbsp; 7422863 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/15/46 | &nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp; 313475 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/46 | &nbsp;&nbsp;&nbsp; 13819 | &nbsp;&nbsp; 12220113 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/46 | &nbsp;&nbsp;&nbsp; 26431 | &nbsp;&nbsp; 23368173 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/46 | &nbsp;&nbsp;&nbsp; 19196 | &nbsp;&nbsp; 16951643 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/46 | &nbsp;&nbsp;&nbsp; 63327 | &nbsp;&nbsp; 55996305 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/15/46 | &nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp; 98478 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/46 | &nbsp;&nbsp;&nbsp; 13124 | &nbsp;&nbsp; 11597251 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/15/46 | &nbsp;&nbsp;&nbsp; 4389 | &nbsp;&nbsp; 3850233 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/46 | &nbsp;&nbsp;&nbsp; 26134 | &nbsp;&nbsp; 23095092 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/47 | &nbsp;&nbsp;&nbsp; 17154 | &nbsp;&nbsp; 15160989 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/15/47 | &nbsp;&nbsp;&nbsp; 9807 | &nbsp;&nbsp; 8659324 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/47 | &nbsp;&nbsp;&nbsp; 40057 | &nbsp;&nbsp; 35372376 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/47 | &nbsp;&nbsp;&nbsp; 13814 | &nbsp;&nbsp; 12198403 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/47 | &nbsp;&nbsp;&nbsp; 9359 | &nbsp;&nbsp; 8264209 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/47 | &nbsp;&nbsp;&nbsp; 383 | &nbsp;&nbsp; 337827 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/15/47 | &nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp; 141588 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/47 | &nbsp;&nbsp;&nbsp; 5377 | &nbsp;&nbsp; 4747100 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/47 | &nbsp;&nbsp;&nbsp; 2631 | &nbsp;&nbsp; 2318877 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/47 | &nbsp;&nbsp;&nbsp; 950 | &nbsp;&nbsp; 837401 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/15/47 | &nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp; 89596 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/47 | &nbsp;&nbsp;&nbsp; 5297 | &nbsp;&nbsp; 4672012 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/47 | &nbsp;&nbsp;&nbsp; 10476 | &nbsp;&nbsp; 9233445 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/15/47 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 17723 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/47 | &nbsp;&nbsp;&nbsp; 2556 | &nbsp;&nbsp; 2252883 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/48 | &nbsp;&nbsp;&nbsp; 33618 | &nbsp;&nbsp; 29584709 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/48 | &nbsp;&nbsp;&nbsp; 4908 | &nbsp;&nbsp; 4316572 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/48 | &nbsp;&nbsp;&nbsp; 10203 | &nbsp;&nbsp; 8993308 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/48 | &nbsp;&nbsp;&nbsp; 8966 | &nbsp;&nbsp; 7902859 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/48 | &nbsp;&nbsp;&nbsp; 2250 | &nbsp;&nbsp; 1983165 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/48 | &nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp; 68112 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/48 | &nbsp;&nbsp;&nbsp; 2048 | &nbsp;&nbsp; 1804797 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/48 | &nbsp;&nbsp;&nbsp; 1288 | &nbsp;&nbsp; 1135033 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/48 | &nbsp;&nbsp;&nbsp; 784 | &nbsp;&nbsp; 690735 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/48 | &nbsp;&nbsp;&nbsp; 1837 | &nbsp;&nbsp; 1618929 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/48 | &nbsp;&nbsp;&nbsp; 1204 | &nbsp;&nbsp; 1061392 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/49 | &nbsp;&nbsp;&nbsp; 442 | &nbsp;&nbsp; 389150 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/49 | &nbsp;&nbsp;&nbsp; 436 | &nbsp;&nbsp; 384046 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/49 | &nbsp;&nbsp;&nbsp; 3837 | &nbsp;&nbsp; 3388250 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/49 | &nbsp;&nbsp;&nbsp; 1871 | &nbsp;&nbsp; 1649448 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/49 | &nbsp;&nbsp;&nbsp; 2684 | &nbsp;&nbsp; 2365895 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/49 | &nbsp;&nbsp;&nbsp; 19300 | &nbsp;&nbsp; 16946036 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/49 | &nbsp;&nbsp;&nbsp; 20109 | &nbsp;&nbsp; 17595803 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/49 | &nbsp;&nbsp;&nbsp; 23970 | &nbsp;&nbsp; 20987112 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/15/49 | &nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp; 299363 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/49 | &nbsp;&nbsp;&nbsp; 3764 | &nbsp;&nbsp; 3293460 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/49 | &nbsp;&nbsp;&nbsp; 33137 | &nbsp;&nbsp; 29010232 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/50 | &nbsp;&nbsp;&nbsp; 19813 | &nbsp;&nbsp; 17358680 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/15/50 | &nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp; 1954715 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/50 | &nbsp;&nbsp;&nbsp; $32316 | &nbsp;&nbsp; $28271801 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/50 | &nbsp;&nbsp;&nbsp; 7393 | &nbsp;&nbsp; 6471260 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/50 | &nbsp;&nbsp;&nbsp; 2073 | &nbsp;&nbsp; 1815219 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/50 | &nbsp;&nbsp;&nbsp; 1173 | &nbsp;&nbsp; 1026689 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/50 | &nbsp;&nbsp;&nbsp; 1761 | &nbsp;&nbsp; 1534396 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/50 | &nbsp;&nbsp;&nbsp; 7619 | &nbsp;&nbsp; 6663905 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/50 | &nbsp;&nbsp;&nbsp; 2320 | &nbsp;&nbsp; 2028815 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/51 | &nbsp;&nbsp;&nbsp; 5080 | &nbsp;&nbsp; 4442273 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/51 | &nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp; 82314 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/51 | &nbsp;&nbsp;&nbsp; 1818 | &nbsp;&nbsp; 1586872 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/51 | &nbsp;&nbsp;&nbsp; 29911 | &nbsp;&nbsp; 26101120 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/51 | &nbsp;&nbsp;&nbsp; 2826 | &nbsp;&nbsp; 2466058 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/51 | &nbsp;&nbsp;&nbsp; 13977 | &nbsp;&nbsp; 12194346 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/51 | &nbsp;&nbsp;&nbsp; 30438 | &nbsp;&nbsp; 26562949 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/51 | &nbsp;&nbsp;&nbsp; 11196 | &nbsp;&nbsp; 9766212 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/51 | &nbsp;&nbsp;&nbsp; 23562 | &nbsp;&nbsp; 20551697 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/51 | &nbsp;&nbsp;&nbsp; 24361 | &nbsp;&nbsp; 21246638 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/52 | &nbsp;&nbsp;&nbsp; 1615 | &nbsp;&nbsp; 1408389 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/52 | &nbsp;&nbsp;&nbsp; 18704 | &nbsp;&nbsp; 16310226 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/52 | &nbsp;&nbsp;&nbsp; 26773 | &nbsp;&nbsp; 23229114 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/52 | &nbsp;&nbsp;&nbsp; 25269 | &nbsp;&nbsp; 22027108 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/52 | &nbsp;&nbsp;&nbsp; 59587 | &nbsp;&nbsp; 51942732 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/52 | &nbsp;&nbsp;&nbsp; 33386 | &nbsp;&nbsp; 29102840 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/52 | &nbsp;&nbsp;&nbsp; 12310 | &nbsp;&nbsp; 10730545 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/52 | &nbsp;&nbsp;&nbsp; 8456 | &nbsp;&nbsp; 7371331 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/52 | &nbsp;&nbsp;&nbsp; 16534 | &nbsp;&nbsp; 14412932 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/52 | &nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp; 42301 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/52 | &nbsp;&nbsp;&nbsp; 1692 | &nbsp;&nbsp; 1475890 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/53 | &nbsp;&nbsp;&nbsp; 15492 | &nbsp;&nbsp; 13504395 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/53 | &nbsp;&nbsp;&nbsp; 15229 | &nbsp;&nbsp; 13303572 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/53 | &nbsp;&nbsp;&nbsp; 2395 | &nbsp;&nbsp; 2093541 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/53 | &nbsp;&nbsp;&nbsp; 3521 | &nbsp;&nbsp; 3084316 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/53 | &nbsp;&nbsp;&nbsp; 2470 | &nbsp;&nbsp; 2160620 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/53 | &nbsp;&nbsp;&nbsp; 13927 | &nbsp;&nbsp; 12173364 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/54 | &nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp; 357121 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/54 | &nbsp;&nbsp;&nbsp; 949 | &nbsp;&nbsp; 830176 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/54 | &nbsp;&nbsp;&nbsp; 285 | &nbsp;&nbsp; 249850 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/54 | &nbsp;&nbsp;&nbsp; 1157 | &nbsp;&nbsp; 1009798 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/15/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1874 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/15/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2389 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/26 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14246 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/27 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3408 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/27 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10114 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/29 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3771 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/29 | &nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp; 69419 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/41 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8463 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/41 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 52244 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/41 | &nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp; 120700 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/41 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8592 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/15/41 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 46378 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/41 | &nbsp;&nbsp;&nbsp; 1326 | &nbsp;&nbsp; 1215651 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/15/41 | &nbsp;&nbsp;&nbsp; 1230 | &nbsp;&nbsp; 1128695 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/41 | &nbsp;&nbsp;&nbsp; 1051 | &nbsp;&nbsp; 963181 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/42 | &nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp; 129800 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/42 | &nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp; 239175 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/15/42 | &nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp; 273852 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/42 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 52403 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/15/42 | &nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp; 128087 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/42 | &nbsp;&nbsp;&nbsp; 7660 | &nbsp;&nbsp; 7022399 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/15/42 | &nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp; 317811 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/15/42 | &nbsp;&nbsp;&nbsp; $251 | &nbsp;&nbsp; $228833 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/42 | &nbsp;&nbsp;&nbsp; 529 | &nbsp;&nbsp; 484909 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/42 | &nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp; 97658 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/42 | &nbsp;&nbsp;&nbsp; 10327 | &nbsp;&nbsp; 9466993 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/42 | &nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp; 266102 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/15/42 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 34547 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/42 | &nbsp;&nbsp;&nbsp; 796 | &nbsp;&nbsp; 729502 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/42 | &nbsp;&nbsp;&nbsp; 892 | &nbsp;&nbsp; 816495 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/42 | &nbsp;&nbsp;&nbsp; 12835 | &nbsp;&nbsp; 11766064 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/42 | &nbsp;&nbsp;&nbsp; 666 | &nbsp;&nbsp; 608467 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/42 | &nbsp;&nbsp;&nbsp; 10921 | &nbsp;&nbsp; 10011740 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/15/42 | &nbsp;&nbsp;&nbsp; 334 | &nbsp;&nbsp; 305793 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/42 | &nbsp;&nbsp;&nbsp; 11434 | &nbsp;&nbsp; 10481796 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/42 | &nbsp;&nbsp;&nbsp; 8544 | &nbsp;&nbsp; 7832355 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/43 | &nbsp;&nbsp;&nbsp; 260 | &nbsp;&nbsp; 238053 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/43 | &nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp; 1558298 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/15/43 | &nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp; 57318 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/15/43 | &nbsp;&nbsp;&nbsp; 487 | &nbsp;&nbsp; 445382 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/43 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 25571 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/15/43 | &nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp; 86318 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/43 | &nbsp;&nbsp;&nbsp; 5518 | &nbsp;&nbsp; 5056037 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/15/43 | &nbsp;&nbsp;&nbsp; 762 | &nbsp;&nbsp; 696591 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/43 | &nbsp;&nbsp;&nbsp; 10820 | &nbsp;&nbsp; 9914528 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/43 | &nbsp;&nbsp;&nbsp; 7520 | &nbsp;&nbsp; 6846798 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/43 | &nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp; 172709 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/15/43 | &nbsp;&nbsp;&nbsp; 181 | &nbsp;&nbsp; 165903 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/43 | &nbsp;&nbsp;&nbsp; 552 | &nbsp;&nbsp; 505425 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/43 | &nbsp;&nbsp;&nbsp; 5911 | &nbsp;&nbsp; 5416506 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/43 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 48009 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/43 | &nbsp;&nbsp;&nbsp; 1010 | &nbsp;&nbsp; 925022 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/43 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 105754 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/44 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2032 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/44 | &nbsp;&nbsp;&nbsp; 686 | &nbsp;&nbsp; 628376 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/44 | &nbsp;&nbsp;&nbsp; 1453 | &nbsp;&nbsp; 1331037 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/44 | &nbsp;&nbsp;&nbsp; 1667 | &nbsp;&nbsp; 1523630 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/44 | &nbsp;&nbsp;&nbsp; 345 | &nbsp;&nbsp; 315399 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/44 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3580 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/44 | &nbsp;&nbsp;&nbsp; 2397 | &nbsp;&nbsp; 2191283 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/44 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 32706 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/44 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 49156 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/44 | &nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp; 311870 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/44 | &nbsp;&nbsp;&nbsp; 5529 | &nbsp;&nbsp; 5053931 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/44 | &nbsp;&nbsp;&nbsp; 3477 | &nbsp;&nbsp; 3177431 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/44 | &nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp; 731055 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/15/44 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 59118 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/44 | &nbsp;&nbsp;&nbsp; 1770 | &nbsp;&nbsp; 1617966 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/45 | &nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp; 105902 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/45 | &nbsp;&nbsp;&nbsp; 764 | &nbsp;&nbsp; 698431 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/45 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 21710 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/15/45 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 21302 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/45 | &nbsp;&nbsp;&nbsp; 589 | &nbsp;&nbsp; 534746 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/15/45 | &nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp; 280316 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/45 | &nbsp;&nbsp;&nbsp; 6767 | &nbsp;&nbsp; 6145871 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/45 | &nbsp;&nbsp;&nbsp; 2009 | &nbsp;&nbsp; 1825763 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/45 | &nbsp;&nbsp;&nbsp; 5756 | &nbsp;&nbsp; 5227452 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/45 | &nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp; 121467 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/45 | &nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp; 162640 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/45 | &nbsp;&nbsp;&nbsp; 3923 | &nbsp;&nbsp; 3562642 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/45 | &nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp; 130847 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/45 | &nbsp;&nbsp;&nbsp; 12114 | &nbsp;&nbsp; 11001649 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/45 | &nbsp;&nbsp;&nbsp; 5420 | &nbsp;&nbsp; 4922125 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/46 | &nbsp;&nbsp;&nbsp; $1687 | &nbsp;&nbsp; $1532658 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/46 | &nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp; 182944 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/46 | &nbsp;&nbsp;&nbsp; 13823 | &nbsp;&nbsp; 12553576 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/46 | &nbsp;&nbsp;&nbsp; 12361 | &nbsp;&nbsp; 11195420 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/46 | &nbsp;&nbsp;&nbsp; 4149 | &nbsp;&nbsp; 3757689 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/46 | &nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp; 160501 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/46 | &nbsp;&nbsp;&nbsp; 39757 | &nbsp;&nbsp; 36008892 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/46 | &nbsp;&nbsp;&nbsp; 1504 | &nbsp;&nbsp; 1360427 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/46 | &nbsp;&nbsp;&nbsp; 2459 | &nbsp;&nbsp; 2226842 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/15/46 | &nbsp;&nbsp;&nbsp; 2854 | &nbsp;&nbsp; 2584303 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/46 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 58765 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/46 | &nbsp;&nbsp;&nbsp; 2235 | &nbsp;&nbsp; 2023888 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/46 | &nbsp;&nbsp;&nbsp; 5779 | &nbsp;&nbsp; 5233880 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/46 | &nbsp;&nbsp;&nbsp; 809 | &nbsp;&nbsp; 732602 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/46 | &nbsp;&nbsp;&nbsp; 297 | &nbsp;&nbsp; 269345 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/46 | &nbsp;&nbsp;&nbsp; 5240 | &nbsp;&nbsp; 4746865 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/46 | &nbsp;&nbsp;&nbsp; 7387 | &nbsp;&nbsp; 6690531 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/47 | &nbsp;&nbsp;&nbsp; 23948 | &nbsp;&nbsp; 21690179 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/47 | &nbsp;&nbsp;&nbsp; 43457 | &nbsp;&nbsp; 39324345 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/47 | &nbsp;&nbsp;&nbsp; 12050 | &nbsp;&nbsp; 10910989 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/47 | &nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp; 7696697 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/47 | &nbsp;&nbsp;&nbsp; 1475 | &nbsp;&nbsp; 1335358 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/47 | &nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp; 737655 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/47 | &nbsp;&nbsp;&nbsp; 3285 | &nbsp;&nbsp; 2974925 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/47 | &nbsp;&nbsp;&nbsp; 3465 | &nbsp;&nbsp; 3135422 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/47 | &nbsp;&nbsp;&nbsp; 16377 | &nbsp;&nbsp; 14828599 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/47 | &nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp; 314486 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/47 | &nbsp;&nbsp;&nbsp; 37180 | &nbsp;&nbsp; 33535369 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/47 | &nbsp;&nbsp;&nbsp; 1067 | &nbsp;&nbsp; 959661 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/47 | &nbsp;&nbsp;&nbsp; 18699 | &nbsp;&nbsp; 16890282 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/15/47 | &nbsp;&nbsp;&nbsp; 1990 | &nbsp;&nbsp; 1799469 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/47 | &nbsp;&nbsp;&nbsp; 15818 | &nbsp;&nbsp; 14323393 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/15/47 | &nbsp;&nbsp;&nbsp; 3231 | &nbsp;&nbsp; 2923209 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/47 | &nbsp;&nbsp;&nbsp; 22641 | &nbsp;&nbsp; 20455892 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/48 | &nbsp;&nbsp;&nbsp; 3929 | &nbsp;&nbsp; 3523998 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/48 | &nbsp;&nbsp;&nbsp; 17610 | &nbsp;&nbsp; 15924048 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/15/48 | &nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp; 115968 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/48 | &nbsp;&nbsp;&nbsp; 16028 | &nbsp;&nbsp; 14513224 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/48 | &nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp; 61757 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/15/48 | &nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp; 248362 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/48 | &nbsp;&nbsp;&nbsp; 13514 | &nbsp;&nbsp; 12220415 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/15/48 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 39525 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/48 | &nbsp;&nbsp;&nbsp; 15615 | &nbsp;&nbsp; 14138743 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/48 | &nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp; 150508 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/48 | &nbsp;&nbsp;&nbsp; 1018 | &nbsp;&nbsp; 911286 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/48 | &nbsp;&nbsp;&nbsp; 4318 | &nbsp;&nbsp; 3897630 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/48 | &nbsp;&nbsp;&nbsp; 13795 | &nbsp;&nbsp; 12470229 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/48 | &nbsp;&nbsp;&nbsp; 12495 | &nbsp;&nbsp; 11294392 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/48 | &nbsp;&nbsp;&nbsp; 612 | &nbsp;&nbsp; 553533 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/49 | &nbsp;&nbsp;&nbsp; 2257 | &nbsp;&nbsp; 2043416 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/49 | &nbsp;&nbsp;&nbsp; 1729 | &nbsp;&nbsp; 1563303 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/49 | &nbsp;&nbsp;&nbsp; 17366 | &nbsp;&nbsp; 15698154 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/49 | &nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp; 246206 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/49 | &nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp; 247232 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/49 | &nbsp;&nbsp;&nbsp; 2289 | &nbsp;&nbsp; 2060108 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/49 | &nbsp;&nbsp;&nbsp; 1477 | &nbsp;&nbsp; 1329482 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/49 | &nbsp;&nbsp;&nbsp; 13488 | &nbsp;&nbsp; 12143654 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/49 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 10903 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/49 | &nbsp;&nbsp;&nbsp; 799 | &nbsp;&nbsp; 719503 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/15/49 | &nbsp;&nbsp;&nbsp; 270 | &nbsp;&nbsp; 243020 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/49 | &nbsp;&nbsp;&nbsp; 1637 | &nbsp;&nbsp; 1474220 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/49 | &nbsp;&nbsp;&nbsp; $5451 | &nbsp;&nbsp; $4907970 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/50 | &nbsp;&nbsp;&nbsp; 28278 | &nbsp;&nbsp; 25459216 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/50 | &nbsp;&nbsp;&nbsp; 857 | &nbsp;&nbsp; 771670 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/50 | &nbsp;&nbsp;&nbsp; 929 | &nbsp;&nbsp; 836826 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/50 | &nbsp;&nbsp;&nbsp; 1177 | &nbsp;&nbsp; 1059390 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/50 | &nbsp;&nbsp;&nbsp; 7337 | &nbsp;&nbsp; 6605593 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/50 | &nbsp;&nbsp;&nbsp; 5283 | &nbsp;&nbsp; 4758931 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/50 | &nbsp;&nbsp;&nbsp; 1070 | &nbsp;&nbsp; 963389 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/50 | &nbsp;&nbsp;&nbsp; 3678 | &nbsp;&nbsp; 3313006 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/50 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 44837 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/50 | &nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp; 841599 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/50 | &nbsp;&nbsp;&nbsp; 990 | &nbsp;&nbsp; 891403 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/50 | &nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp; 173548 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/51 | &nbsp;&nbsp;&nbsp; 1472 | &nbsp;&nbsp; 1325723 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/51 | &nbsp;&nbsp;&nbsp; 4409 | &nbsp;&nbsp; 3971361 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/51 | &nbsp;&nbsp;&nbsp; 8454 | &nbsp;&nbsp; 7615057 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/51 | &nbsp;&nbsp;&nbsp; 575 | &nbsp;&nbsp; 518206 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/51 | &nbsp;&nbsp;&nbsp; 637 | &nbsp;&nbsp; 571198 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/51 | &nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp; 396714 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/51 | &nbsp;&nbsp;&nbsp; 901 | &nbsp;&nbsp; 807136 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/52 | &nbsp;&nbsp;&nbsp; 3493 | &nbsp;&nbsp; 3130621 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/52 | &nbsp;&nbsp;&nbsp; 4386 | &nbsp;&nbsp; 3931188 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/52 | &nbsp;&nbsp;&nbsp; 5568 | &nbsp;&nbsp; 4974715 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/52 | &nbsp;&nbsp;&nbsp; 4992 | &nbsp;&nbsp; 4464243 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/52 | &nbsp;&nbsp;&nbsp; 9496 | &nbsp;&nbsp; 8490652 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/52 | &nbsp;&nbsp;&nbsp; 4144 | &nbsp;&nbsp; 3705211 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/52 | &nbsp;&nbsp;&nbsp; 981 | &nbsp;&nbsp; 877065 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/52 | &nbsp;&nbsp;&nbsp; 2385 | &nbsp;&nbsp; 2131920 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/52 | &nbsp;&nbsp;&nbsp; 6435 | &nbsp;&nbsp; 5751821 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/52 | &nbsp;&nbsp;&nbsp; 28907 | &nbsp;&nbsp; 25835823 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/52 | &nbsp;&nbsp;&nbsp; 878 | &nbsp;&nbsp; 784583 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/52 | &nbsp;&nbsp;&nbsp; 3612 | &nbsp;&nbsp; 3229295 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/53 | &nbsp;&nbsp;&nbsp; 9396 | &nbsp;&nbsp; 8399399 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/53 | &nbsp;&nbsp;&nbsp; 17741 | &nbsp;&nbsp; 15981390 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/53 | &nbsp;&nbsp;&nbsp; 1634 | &nbsp;&nbsp; 1472043 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/53 | &nbsp;&nbsp;&nbsp; 6973 | &nbsp;&nbsp; 6278101 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/53 | &nbsp;&nbsp;&nbsp; 27940 | &nbsp;&nbsp; 25168661 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/53 | &nbsp;&nbsp;&nbsp; 14627 | &nbsp;&nbsp; 13176406 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/53 | &nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp; 184638 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/53 | &nbsp;&nbsp;&nbsp; 693 | &nbsp;&nbsp; 624045 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/53 | &nbsp;&nbsp;&nbsp; 2033 | &nbsp;&nbsp; 1830565 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/53 | &nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp; 109489 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/53 | &nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp; 199825 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/54 | &nbsp;&nbsp;&nbsp; 6015 | &nbsp;&nbsp; 5415375 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 959 | &nbsp;&nbsp; 863303 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/54 | &nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp; 805904 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/54 | &nbsp;&nbsp;&nbsp; 952 | &nbsp;&nbsp; 857468 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 22625 | &nbsp;&nbsp; 20126148 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/54 | &nbsp;&nbsp;&nbsp; 14722 | &nbsp;&nbsp; 13094572 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/15/25 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1403 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2045 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1403 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/39 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 41893 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/39 | &nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp; 219840 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/39 | &nbsp;&nbsp;&nbsp; 8428 | &nbsp;&nbsp; 8165060 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/39 | &nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp; 485535 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/40 | &nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp; 300069 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/40 | &nbsp;&nbsp;&nbsp; 332 | &nbsp;&nbsp; 314518 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/40 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 26669 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/40 | &nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp; 317321 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/40 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 120599 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/40 | &nbsp;&nbsp;&nbsp; $158 | &nbsp;&nbsp; $150038 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/40 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 92357 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/40 | &nbsp;&nbsp;&nbsp; 991 | &nbsp;&nbsp; 939999 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/15/40 | &nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp; 59103 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/40 | &nbsp;&nbsp;&nbsp; 747 | &nbsp;&nbsp; 708452 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/15/40 | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 42590 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/40 | &nbsp;&nbsp;&nbsp; 5737 | &nbsp;&nbsp; 5439137 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/41 | &nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp; 126736 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/41 | &nbsp;&nbsp;&nbsp; 1001 | &nbsp;&nbsp; 949191 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/15/41 | &nbsp;&nbsp;&nbsp; 1648 | &nbsp;&nbsp; 1554569 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/41 | &nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp; 83242 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/15/41 | &nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp; 231150 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/41 | &nbsp;&nbsp;&nbsp; 1092 | &nbsp;&nbsp; 1031266 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/41 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 67289 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/41 | &nbsp;&nbsp;&nbsp; 287 | &nbsp;&nbsp; 271198 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/41 | &nbsp;&nbsp;&nbsp; 436 | &nbsp;&nbsp; 413187 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/41 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/15/41 | &nbsp;&nbsp;&nbsp; 544 | &nbsp;&nbsp; 513510 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/41 | &nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp; 186750 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/41 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 34740 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/41 | &nbsp;&nbsp;&nbsp; 1259 | &nbsp;&nbsp; 1194209 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/41 | &nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp; 157088 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/41 | &nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp; 69575 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/41 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 20939 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/41 | &nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp; 52665 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/15/41 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11070 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/41 | &nbsp;&nbsp;&nbsp; 2276 | &nbsp;&nbsp; 2157867 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/15/41 | &nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp; 359004 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/41 | &nbsp;&nbsp;&nbsp; 521 | &nbsp;&nbsp; 493582 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/42 | &nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp; 251512 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/42 | &nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp; 758665 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/15/42 | &nbsp;&nbsp;&nbsp; 1154 | &nbsp;&nbsp; 1090435 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/42 | &nbsp;&nbsp;&nbsp; 1603 | &nbsp;&nbsp; 1519631 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/15/42 | &nbsp;&nbsp;&nbsp; 1839 | &nbsp;&nbsp; 1738727 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/42 | &nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp; 162405 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/42 | &nbsp;&nbsp;&nbsp; 1132 | &nbsp;&nbsp; 1070462 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/42 | &nbsp;&nbsp;&nbsp; 617 | &nbsp;&nbsp; 585503 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/42 | &nbsp;&nbsp;&nbsp; 346 | &nbsp;&nbsp; 327327 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/42 | &nbsp;&nbsp;&nbsp; 1058 | &nbsp;&nbsp; 1003257 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/42 | &nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp; 133739 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/42 | &nbsp;&nbsp;&nbsp; 347 | &nbsp;&nbsp; 329170 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/42 | &nbsp;&nbsp;&nbsp; 333 | &nbsp;&nbsp; 314559 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/42 | &nbsp;&nbsp;&nbsp; 1540 | &nbsp;&nbsp; 1460230 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/42 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 26201 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/42 | &nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp; 179222 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/42 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 27079 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/42 | &nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp; 383286 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/42 | &nbsp;&nbsp;&nbsp; 2878 | &nbsp;&nbsp; 2729806 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/43 | &nbsp;&nbsp;&nbsp; 297 | &nbsp;&nbsp; 281487 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/43 | &nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp; 165952 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/43 | &nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp; 148483 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/43 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4002 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/43 | &nbsp;&nbsp;&nbsp; 817 | &nbsp;&nbsp; 773972 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/43 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 20425 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/43 | &nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp; 73822 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/43 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17383 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/43 | &nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp; 357922 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/43 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 24273 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/44 | &nbsp;&nbsp;&nbsp; 789 | &nbsp;&nbsp; 747171 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/44 | &nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp; 350985 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/15/44 | &nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp; 77806 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/44 | &nbsp;&nbsp;&nbsp; $180 | &nbsp;&nbsp; $169860 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/44 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13428 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/44 | &nbsp;&nbsp;&nbsp; 861 | &nbsp;&nbsp; 813107 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/44 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 62990 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/44 | &nbsp;&nbsp;&nbsp; 345 | &nbsp;&nbsp; 325390 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/15/44 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 24251 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/44 | &nbsp;&nbsp;&nbsp; 1580 | &nbsp;&nbsp; 1491129 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/44 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12039 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/44 | &nbsp;&nbsp;&nbsp; 2414 | &nbsp;&nbsp; 2278835 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/44 | &nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp; 181561 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/44 | &nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp; 229440 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/44 | &nbsp;&nbsp;&nbsp; 3331 | &nbsp;&nbsp; 3144668 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/45 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 11864 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/45 | &nbsp;&nbsp;&nbsp; 3556 | &nbsp;&nbsp; 3356889 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/15/45 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1683 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/45 | &nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp; 217819 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/15/45 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 18925 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/45 | &nbsp;&nbsp;&nbsp; 896 | &nbsp;&nbsp; 845991 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/45 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 31465 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/45 | &nbsp;&nbsp;&nbsp; 463 | &nbsp;&nbsp; 437395 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/45 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 30046 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/45 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9557 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/45 | &nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp; 131103 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/45 | &nbsp;&nbsp;&nbsp; 1535 | &nbsp;&nbsp; 1446701 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/15/45 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 39983 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/45 | &nbsp;&nbsp;&nbsp; 803 | &nbsp;&nbsp; 756233 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/45 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 20980 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/45 | &nbsp;&nbsp;&nbsp; 590 | &nbsp;&nbsp; 556367 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/45 | &nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp; 209357 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/45 | &nbsp;&nbsp;&nbsp; 5300 | &nbsp;&nbsp; 4994043 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/45 | &nbsp;&nbsp;&nbsp; 502 | &nbsp;&nbsp; 472988 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/15/45 | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 28295 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/45 | &nbsp;&nbsp;&nbsp; 3555 | &nbsp;&nbsp; 3349695 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/45 | &nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp; 191801 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/46 | &nbsp;&nbsp;&nbsp; 916 | &nbsp;&nbsp; 862712 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/46 | &nbsp;&nbsp;&nbsp; 6993 | &nbsp;&nbsp; 6589444 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/46 | &nbsp;&nbsp;&nbsp; 339 | &nbsp;&nbsp; 317469 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/46 | &nbsp;&nbsp;&nbsp; 3449 | &nbsp;&nbsp; 3249854 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/46 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4233 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/46 | &nbsp;&nbsp;&nbsp; 2295 | &nbsp;&nbsp; 2162843 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/46 | &nbsp;&nbsp;&nbsp; 594 | &nbsp;&nbsp; 558130 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/46 | &nbsp;&nbsp;&nbsp; 829 | &nbsp;&nbsp; 778818 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/46 | &nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp; 43211 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/46 | &nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp; 70588 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/46 | &nbsp;&nbsp;&nbsp; 3403 | &nbsp;&nbsp; 3198005 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/46 | &nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp; 65149 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/15/46 | &nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp; 115000 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/46 | &nbsp;&nbsp;&nbsp; 3212 | &nbsp;&nbsp; 3018039 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/15/46 | &nbsp;&nbsp;&nbsp; 1043 | &nbsp;&nbsp; 980238 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/46 | &nbsp;&nbsp;&nbsp; 1509 | &nbsp;&nbsp; 1418229 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/47 | &nbsp;&nbsp;&nbsp; 4860 | &nbsp;&nbsp; 4564976 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/47 | &nbsp;&nbsp;&nbsp; 579 | &nbsp;&nbsp; 544286 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/47 | &nbsp;&nbsp;&nbsp; 1321 | &nbsp;&nbsp; 1241155 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/47 | &nbsp;&nbsp;&nbsp; 20180 | &nbsp;&nbsp; 18835987 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/47 | &nbsp;&nbsp;&nbsp; 2557 | &nbsp;&nbsp; 2387024 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/47 | &nbsp;&nbsp;&nbsp; 20997 | &nbsp;&nbsp; 19598681 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/47 | &nbsp;&nbsp;&nbsp; 26205 | &nbsp;&nbsp; 24474335 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/47 | &nbsp;&nbsp;&nbsp; 6576 | &nbsp;&nbsp; 6139963 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/47 | &nbsp;&nbsp;&nbsp; 5692 | &nbsp;&nbsp; 5316375 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/47 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 20621 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/47 | &nbsp;&nbsp;&nbsp; 845 | &nbsp;&nbsp; 789047 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/47 | &nbsp;&nbsp;&nbsp; $28403 | &nbsp;&nbsp; $26527569 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/47 | &nbsp;&nbsp;&nbsp; 8544 | &nbsp;&nbsp; 7974492 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/48 | &nbsp;&nbsp;&nbsp; 1349 | &nbsp;&nbsp; 1248213 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/48 | &nbsp;&nbsp;&nbsp; 5561 | &nbsp;&nbsp; 5170166 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/48 | &nbsp;&nbsp;&nbsp; 20082 | &nbsp;&nbsp; 18744654 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/48 | &nbsp;&nbsp;&nbsp; 18065 | &nbsp;&nbsp; 16853654 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/48 | &nbsp;&nbsp;&nbsp; 10515 | &nbsp;&nbsp; 9799491 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/48 | &nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp; 80582 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/48 | &nbsp;&nbsp;&nbsp; 2472 | &nbsp;&nbsp; 2294770 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/48 | &nbsp;&nbsp;&nbsp; 11171 | &nbsp;&nbsp; 10410976 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/48 | &nbsp;&nbsp;&nbsp; 3965 | &nbsp;&nbsp; 3695484 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/48 | &nbsp;&nbsp;&nbsp; 11245 | &nbsp;&nbsp; 10486219 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/48 | &nbsp;&nbsp;&nbsp; 20484 | &nbsp;&nbsp; 19113774 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/48 | &nbsp;&nbsp;&nbsp; 3484 | &nbsp;&nbsp; 3249187 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/48 | &nbsp;&nbsp;&nbsp; 12378 | &nbsp;&nbsp; 11532356 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/48 | &nbsp;&nbsp;&nbsp; 3203 | &nbsp;&nbsp; 2986728 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/49 | &nbsp;&nbsp;&nbsp; 9089 | &nbsp;&nbsp; 8471179 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/49 | &nbsp;&nbsp;&nbsp; 7485 | &nbsp;&nbsp; 6976845 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/49 | &nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp; 230153 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/49 | &nbsp;&nbsp;&nbsp; 3971 | &nbsp;&nbsp; 3689710 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/49 | &nbsp;&nbsp;&nbsp; 4171 | &nbsp;&nbsp; 3873679 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/49 | &nbsp;&nbsp;&nbsp; 3526 | &nbsp;&nbsp; 3272314 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/49 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 60557 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/49 | &nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp; 182784 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/49 | &nbsp;&nbsp;&nbsp; 367 | &nbsp;&nbsp; 341049 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/49 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 25194 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/50 | &nbsp;&nbsp;&nbsp; 20415 | &nbsp;&nbsp; 18982452 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/50 | &nbsp;&nbsp;&nbsp; 9770 | &nbsp;&nbsp; 9084547 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/50 | &nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp; 270723 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/50 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6708 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/50 | &nbsp;&nbsp;&nbsp; 2274 | &nbsp;&nbsp; 2114416 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/50 | &nbsp;&nbsp;&nbsp; 1739 | &nbsp;&nbsp; 1617259 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/50 | &nbsp;&nbsp;&nbsp; 4932 | &nbsp;&nbsp; 4586286 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/50 | &nbsp;&nbsp;&nbsp; 2317 | &nbsp;&nbsp; 2154169 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/50 | &nbsp;&nbsp;&nbsp; 2156 | &nbsp;&nbsp; 2004745 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/50 | &nbsp;&nbsp;&nbsp; 422 | &nbsp;&nbsp; 392555 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/50 | &nbsp;&nbsp;&nbsp; 1139 | &nbsp;&nbsp; 1059373 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/51 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 43323 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/52 | &nbsp;&nbsp;&nbsp; 792 | &nbsp;&nbsp; 730509 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/52 | &nbsp;&nbsp;&nbsp; 7969 | &nbsp;&nbsp; 7351196 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/52 | &nbsp;&nbsp;&nbsp; 10335 | &nbsp;&nbsp; 9533095 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/52 | &nbsp;&nbsp;&nbsp; 16868 | &nbsp;&nbsp; 15559616 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/52 | &nbsp;&nbsp;&nbsp; 53334 | &nbsp;&nbsp; 49197527 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/52 | &nbsp;&nbsp;&nbsp; 52978 | &nbsp;&nbsp; 48869923 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/52 | &nbsp;&nbsp;&nbsp; 8798 | &nbsp;&nbsp; 8115546 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/52 | &nbsp;&nbsp;&nbsp; 8807 | &nbsp;&nbsp; 8124161 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/53 | &nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp; 599836 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/53 | &nbsp;&nbsp;&nbsp; 3442 | &nbsp;&nbsp; 3174693 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/53 | &nbsp;&nbsp;&nbsp; 904 | &nbsp;&nbsp; 833806 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/53 | &nbsp;&nbsp;&nbsp; 3514 | &nbsp;&nbsp; 3242803 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/53 | &nbsp;&nbsp;&nbsp; 1535 | &nbsp;&nbsp; 1416160 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/53 | &nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp; 251597 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/53 | &nbsp;&nbsp;&nbsp; 17935 | &nbsp;&nbsp; 16551246 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/53 | &nbsp;&nbsp;&nbsp; 453 | &nbsp;&nbsp; 418184 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/54 | &nbsp;&nbsp;&nbsp; 2503 | &nbsp;&nbsp; 2309784 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/54 | &nbsp;&nbsp;&nbsp; 1996 | &nbsp;&nbsp; 1841394 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/54 | &nbsp;&nbsp;&nbsp; 2728 | &nbsp;&nbsp; 2507644 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/54 | &nbsp;&nbsp;&nbsp; 4464 | &nbsp;&nbsp; 4102772 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/54 | &nbsp;&nbsp;&nbsp; 3112 | &nbsp;&nbsp; 2859863 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/54 | &nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp; 258222 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/54 | &nbsp;&nbsp;&nbsp; 5348 | &nbsp;&nbsp; 4900548 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/54 | &nbsp;&nbsp;&nbsp; $990 | &nbsp;&nbsp; $907984 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/54 | &nbsp;&nbsp;&nbsp; 10653 | &nbsp;&nbsp; 9762144 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/55 | &nbsp;&nbsp;&nbsp; 8125 | &nbsp;&nbsp; 7445585 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/55 | &nbsp;&nbsp;&nbsp; 477 | &nbsp;&nbsp; 436859 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 893 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 779 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/33 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6081 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1439 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1337 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 352 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/35 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10607 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3214 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/15/39 | &nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp; 63101 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/39 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24029 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/15/39 | &nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp; 198934 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/39 | &nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp; 63610 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/39 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 56615 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/39 | &nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp; 228076 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/39 | &nbsp;&nbsp;&nbsp; 919 | &nbsp;&nbsp; 904524 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/39 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 28469 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/15/39 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5288 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/15/39 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24150 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/39 | &nbsp;&nbsp;&nbsp; 347 | &nbsp;&nbsp; 339785 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/15/39 | &nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp; 47361 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/39 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 32387 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/40 | &nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp; 109731 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/40 | &nbsp;&nbsp;&nbsp; 565 | &nbsp;&nbsp; 553297 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/15/40 | &nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 88879 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/15/40 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 59777 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/15/40 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 28423 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/40 | &nbsp;&nbsp;&nbsp; 808 | &nbsp;&nbsp; 792735 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/40 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18113 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/40 | &nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp; 294912 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/40 | &nbsp;&nbsp;&nbsp; 1952 | &nbsp;&nbsp; 1912787 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/40 | &nbsp;&nbsp;&nbsp; 5764 | &nbsp;&nbsp; 5653116 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/40 | &nbsp;&nbsp;&nbsp; 705 | &nbsp;&nbsp; 690136 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/40 | &nbsp;&nbsp;&nbsp; 2069 | &nbsp;&nbsp; 2029245 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/40 | &nbsp;&nbsp;&nbsp; 2382 | &nbsp;&nbsp; 2333225 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/40 | &nbsp;&nbsp;&nbsp; 594 | &nbsp;&nbsp; 582648 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/40 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 125035 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/15/40 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 52950 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/40 | &nbsp;&nbsp;&nbsp; 3091 | &nbsp;&nbsp; 3031450 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/40 | &nbsp;&nbsp;&nbsp; 931 | &nbsp;&nbsp; 912913 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/15/40 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10403 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/41 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3183 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/41 | &nbsp;&nbsp;&nbsp; 6978 | &nbsp;&nbsp; 6843959 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/15/41 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4382 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/41 | &nbsp;&nbsp;&nbsp; 4037 | &nbsp;&nbsp; 3971006 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/15/41 | &nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp; 62914 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/41 | &nbsp;&nbsp;&nbsp; 1459 | &nbsp;&nbsp; 1434833 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/15/41 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15070 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/41 | &nbsp;&nbsp;&nbsp; 7970 | &nbsp;&nbsp; 7839739 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/41 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 32686 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/41 | &nbsp;&nbsp;&nbsp; 4404 | &nbsp;&nbsp; 4332020 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/41 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 37720 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/41 | &nbsp;&nbsp;&nbsp; 6374 | &nbsp;&nbsp; 6270367 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/41 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 25673 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/41 | &nbsp;&nbsp;&nbsp; 4908 | &nbsp;&nbsp; 4827158 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/41 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 41945 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/41 | &nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp; 73825 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/41 | &nbsp;&nbsp;&nbsp; $14 | &nbsp;&nbsp; $13503 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/41 | &nbsp;&nbsp;&nbsp; 1058 | &nbsp;&nbsp; 1040290 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/41 | &nbsp;&nbsp;&nbsp; 1040 | &nbsp;&nbsp; 1023166 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/41 | &nbsp;&nbsp;&nbsp; 444 | &nbsp;&nbsp; 436536 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/42 | &nbsp;&nbsp;&nbsp; 3752 | &nbsp;&nbsp; 3691193 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/42 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 41514 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/42 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9794 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/42 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18303 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/42 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12598 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/43 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7083 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/43 | &nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp; 204772 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/43 | &nbsp;&nbsp;&nbsp; 391 | &nbsp;&nbsp; 380719 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/44 | &nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp; 109257 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/44 | &nbsp;&nbsp;&nbsp; 2266 | &nbsp;&nbsp; 2206986 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/44 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2130 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/44 | &nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp; 204793 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/44 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9602 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/44 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14492 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/44 | &nbsp;&nbsp;&nbsp; 3135 | &nbsp;&nbsp; 3046708 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/44 | &nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp; 172598 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/44 | &nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp; 143132 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/45 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 32488 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/45 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2122 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/45 | &nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp; 105536 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/45 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14448 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/45 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5966 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/15/45 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 40413 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/45 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 49906 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/45 | &nbsp;&nbsp;&nbsp; 4913 | &nbsp;&nbsp; 4775085 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/45 | &nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp; 119631 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/46 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 39058 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/15/46 | &nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp; 105207 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/46 | &nbsp;&nbsp;&nbsp; 544 | &nbsp;&nbsp; 528741 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/46 | &nbsp;&nbsp;&nbsp; 7970 | &nbsp;&nbsp; 7761620 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/46 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 95380 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/46 | &nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp; 182570 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/46 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14750 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/46 | &nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp; 275759 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/46 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 55340 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/46 | &nbsp;&nbsp;&nbsp; 1386 | &nbsp;&nbsp; 1355475 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/15/46 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9606 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/46 | &nbsp;&nbsp;&nbsp; 1455 | &nbsp;&nbsp; 1417364 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/46 | &nbsp;&nbsp;&nbsp; 651 | &nbsp;&nbsp; 633948 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/46 | &nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp; 115265 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/47 | &nbsp;&nbsp;&nbsp; 446 | &nbsp;&nbsp; 433324 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/47 | &nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp; 223139 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/47 | &nbsp;&nbsp;&nbsp; 322 | &nbsp;&nbsp; 311626 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/47 | &nbsp;&nbsp;&nbsp; 705 | &nbsp;&nbsp; 682299 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/47 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 55735 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/47 | &nbsp;&nbsp;&nbsp; 756 | &nbsp;&nbsp; 732450 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/47 | &nbsp;&nbsp;&nbsp; 6906 | &nbsp;&nbsp; 6688251 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/47 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19660 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/47 | &nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp; 484545 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/47 | &nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp; 116630 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/47 | &nbsp;&nbsp;&nbsp; 1354 | &nbsp;&nbsp; 1309302 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/47 | &nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp; 130018 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/47 | &nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp; 218011 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/48 | &nbsp;&nbsp;&nbsp; 1759 | &nbsp;&nbsp; 1695143 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/48 | &nbsp;&nbsp;&nbsp; 2778 | &nbsp;&nbsp; 2677882 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/48 | &nbsp;&nbsp;&nbsp; 3351 | &nbsp;&nbsp; 3229871 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/48 | &nbsp;&nbsp;&nbsp; 11728 | &nbsp;&nbsp; 11304550 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/48 | &nbsp;&nbsp;&nbsp; $438 | &nbsp;&nbsp; $421751 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/48 | &nbsp;&nbsp;&nbsp; 10241 | &nbsp;&nbsp; 9856292 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/48 | &nbsp;&nbsp;&nbsp; 15963 | &nbsp;&nbsp; 15364014 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/48 | &nbsp;&nbsp;&nbsp; 12076 | &nbsp;&nbsp; 11622568 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/48 | &nbsp;&nbsp;&nbsp; 5260 | &nbsp;&nbsp; 5062298 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/48 | &nbsp;&nbsp;&nbsp; 1433 | &nbsp;&nbsp; 1379575 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/48 | &nbsp;&nbsp;&nbsp; 7476 | &nbsp;&nbsp; 7195906 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/48 | &nbsp;&nbsp;&nbsp; 5786 | &nbsp;&nbsp; 5569617 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/49 | &nbsp;&nbsp;&nbsp; 15864 | &nbsp;&nbsp; 15268204 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/49 | &nbsp;&nbsp;&nbsp; 2153 | &nbsp;&nbsp; 2072927 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/49 | &nbsp;&nbsp;&nbsp; 5479 | &nbsp;&nbsp; 5273532 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/49 | &nbsp;&nbsp;&nbsp; 2711 | &nbsp;&nbsp; 2609470 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/49 | &nbsp;&nbsp;&nbsp; 9528 | &nbsp;&nbsp; 9170668 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/49 | &nbsp;&nbsp;&nbsp; 796 | &nbsp;&nbsp; 765875 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/49 | &nbsp;&nbsp;&nbsp; 3116 | &nbsp;&nbsp; 2999413 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/49 | &nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp; 218850 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/49 | &nbsp;&nbsp;&nbsp; 452 | &nbsp;&nbsp; 435161 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/49 | &nbsp;&nbsp;&nbsp; 734 | &nbsp;&nbsp; 706143 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/49 | &nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp; 138461 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/50 | &nbsp;&nbsp;&nbsp; 7336 | &nbsp;&nbsp; 7060539 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/50 | &nbsp;&nbsp;&nbsp; 2923 | &nbsp;&nbsp; 2813756 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/50 | &nbsp;&nbsp;&nbsp; 2578 | &nbsp;&nbsp; 2482130 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/50 | &nbsp;&nbsp;&nbsp; 2068 | &nbsp;&nbsp; 1989965 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/50 | &nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp; 314388 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/50 | &nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp; 127086 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/51 | &nbsp;&nbsp;&nbsp; 1709 | &nbsp;&nbsp; 1645259 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/51 | &nbsp;&nbsp;&nbsp; 1779 | &nbsp;&nbsp; 1712343 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/51 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 42197 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/51 | &nbsp;&nbsp;&nbsp; 2184 | &nbsp;&nbsp; 2105048 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/51 | &nbsp;&nbsp;&nbsp; 3754 | &nbsp;&nbsp; 3613527 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/52 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16436 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/52 | &nbsp;&nbsp;&nbsp; 5970 | &nbsp;&nbsp; 5678695 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/52 | &nbsp;&nbsp;&nbsp; 16763 | &nbsp;&nbsp; 15957435 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/52 | &nbsp;&nbsp;&nbsp; 39043 | &nbsp;&nbsp; 37135327 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/52 | &nbsp;&nbsp;&nbsp; 4342 | &nbsp;&nbsp; 4130152 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/52 | &nbsp;&nbsp;&nbsp; 4668 | &nbsp;&nbsp; 4439452 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/52 | &nbsp;&nbsp;&nbsp; 4982 | &nbsp;&nbsp; 4738154 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/53 | &nbsp;&nbsp;&nbsp; 42842 | &nbsp;&nbsp; 40748640 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/53 | &nbsp;&nbsp;&nbsp; 40406 | &nbsp;&nbsp; 38312648 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/53 | &nbsp;&nbsp;&nbsp; 22817 | &nbsp;&nbsp; 21635386 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/53 | &nbsp;&nbsp;&nbsp; 9829 | &nbsp;&nbsp; 9319541 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 22587 | &nbsp;&nbsp; 21416539 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/54 | &nbsp;&nbsp;&nbsp; 23555 | &nbsp;&nbsp; 22279388 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/54 | &nbsp;&nbsp;&nbsp; 4863 | &nbsp;&nbsp; 4595929 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 50582 | &nbsp;&nbsp; 47713971 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/54 | &nbsp;&nbsp;&nbsp; 4014 | &nbsp;&nbsp; 3794663 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/54 | &nbsp;&nbsp;&nbsp; 31995 | &nbsp;&nbsp; 30217682 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/54 | &nbsp;&nbsp;&nbsp; 59751 | &nbsp;&nbsp; 56431227 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/54 | &nbsp;&nbsp;&nbsp; 25086 | &nbsp;&nbsp; 23691984 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/55 | &nbsp;&nbsp;&nbsp; 9914 | &nbsp;&nbsp; 9355660 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2163 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/33 | &nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp; 99534 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3576 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/33 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11177 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 684 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/33 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 42751 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/33 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22886 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 392 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/33 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16396 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 415 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 527 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/34 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $877 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/34 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17605 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1408 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1478 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 501 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/34 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 16568 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/34 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10481 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1308 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4810 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 921 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/35 | &nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp; 459208 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/35 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13824 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5188 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/35 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 37144 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/15/35 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7338 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7299 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/36 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16767 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/36 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12000 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/36 | &nbsp;&nbsp;&nbsp; 1741 | &nbsp;&nbsp; 1764505 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 514 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1862 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 484 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3388 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/38 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8965 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 461 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/38 | &nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp; 86028 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/38 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 55306 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1084 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/38 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20487 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/38 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9251 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1666 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/38 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22586 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/38 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7372 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/38 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9630 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/38 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9682 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 496 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4188 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/39 | &nbsp;&nbsp;&nbsp; 779 | &nbsp;&nbsp; 789800 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/39 | &nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp; 221452 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/39 | &nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp; 48770 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 378 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/39 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 30090 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/39 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10409 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/39 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4143 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/39 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 55518 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/39 | &nbsp;&nbsp;&nbsp; 2229 | &nbsp;&nbsp; 2243842 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/39 | &nbsp;&nbsp;&nbsp; 1767 | &nbsp;&nbsp; 1788928 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/39 | &nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp; 563358 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/39 | &nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp; 68749 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/39 | &nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp; 214664 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/39 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 25479 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/39 | &nbsp;&nbsp;&nbsp; 644 | &nbsp;&nbsp; 648285 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/15/39 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 34847 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/39 | &nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp; 102044 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/39 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11303 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/40 | &nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp; 213300 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/40 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23134 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/40 | &nbsp;&nbsp;&nbsp; $2 | &nbsp;&nbsp; $2447 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/40 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8594 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/40 | &nbsp;&nbsp;&nbsp; 423 | &nbsp;&nbsp; 428490 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/40 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7676 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/40 | &nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp; 81881 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/40 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 20855 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/40 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25578 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/40 | &nbsp;&nbsp;&nbsp; 2043 | &nbsp;&nbsp; 2058134 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/40 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8102 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/40 | &nbsp;&nbsp;&nbsp; 648 | &nbsp;&nbsp; 652854 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/40 | &nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp; 49300 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/41 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 41638 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/41 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17778 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/41 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8169 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/41 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 846 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/41 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26561 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/41 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5209 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/41 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6493 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/41 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9432 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/41 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5466 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/41 | &nbsp;&nbsp;&nbsp; 1853 | &nbsp;&nbsp; 1866503 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/41 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12114 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/42 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 54851 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/42 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10482 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/42 | &nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp; 354216 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/42 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16577 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/42 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1079 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/43 | &nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 92334 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/43 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 23800 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/43 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15454 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/43 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 54272 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/44 | &nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp; 74421 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/44 | &nbsp;&nbsp;&nbsp; 1417 | &nbsp;&nbsp; 1430699 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/44 | &nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp; 163985 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/44 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23161 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/44 | &nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp; 126142 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/44 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 61788 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/44 | &nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp; 382445 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/45 | &nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp; 86122 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/45 | &nbsp;&nbsp;&nbsp; 397 | &nbsp;&nbsp; 400151 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/45 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2039 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/45 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11016 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/45 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7985 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/45 | &nbsp;&nbsp;&nbsp; 184 | &nbsp;&nbsp; 185558 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/45 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3757 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/46 | &nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp; 448007 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/46 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6073 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/46 | &nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp; 73442 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/46 | &nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp; 52990 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/46 | &nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp; 145002 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/46 | &nbsp;&nbsp;&nbsp; 982 | &nbsp;&nbsp; 989500 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/46 | &nbsp;&nbsp;&nbsp; 1673 | &nbsp;&nbsp; 1685339 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/46 | &nbsp;&nbsp;&nbsp; 791 | &nbsp;&nbsp; 797089 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/47 | &nbsp;&nbsp;&nbsp; 2048 | &nbsp;&nbsp; 2063002 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/47 | &nbsp;&nbsp;&nbsp; 1413 | &nbsp;&nbsp; 1422976 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/47 | &nbsp;&nbsp;&nbsp; 1651 | &nbsp;&nbsp; 1663476 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/47 | &nbsp;&nbsp;&nbsp; 406 | &nbsp;&nbsp; 408540 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/47 | &nbsp;&nbsp;&nbsp; 631 | &nbsp;&nbsp; 628148 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/47 | &nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp; 122703 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/47 | &nbsp;&nbsp;&nbsp; 279 | &nbsp;&nbsp; 275698 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/47 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 27367 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/47 | &nbsp;&nbsp;&nbsp; $140 | &nbsp;&nbsp; $137791 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/47 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 64876 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/47 | &nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp; 237938 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/47 | &nbsp;&nbsp;&nbsp; 1393 | &nbsp;&nbsp; 1385259 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/47 | &nbsp;&nbsp;&nbsp; 306 | &nbsp;&nbsp; 304836 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/47 | &nbsp;&nbsp;&nbsp; 368 | &nbsp;&nbsp; 365783 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/48 | &nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp; 263822 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/48 | &nbsp;&nbsp;&nbsp; 2215 | &nbsp;&nbsp; 2200930 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/48 | &nbsp;&nbsp;&nbsp; 4197 | &nbsp;&nbsp; 4171828 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/48 | &nbsp;&nbsp;&nbsp; 2128 | &nbsp;&nbsp; 2113779 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/48 | &nbsp;&nbsp;&nbsp; 1479 | &nbsp;&nbsp; 1458780 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/48 | &nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp; 304211 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/48 | &nbsp;&nbsp;&nbsp; 3153 | &nbsp;&nbsp; 3105820 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/48 | &nbsp;&nbsp;&nbsp; 877 | &nbsp;&nbsp; 863110 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/48 | &nbsp;&nbsp;&nbsp; 3971 | &nbsp;&nbsp; 3910549 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/48 | &nbsp;&nbsp;&nbsp; 5092 | &nbsp;&nbsp; 5014403 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/48 | &nbsp;&nbsp;&nbsp; 1775 | &nbsp;&nbsp; 1745938 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/49 | &nbsp;&nbsp;&nbsp; 10446 | &nbsp;&nbsp; 10286581 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/49 | &nbsp;&nbsp;&nbsp; 680 | &nbsp;&nbsp; 669720 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/49 | &nbsp;&nbsp;&nbsp; 7738 | &nbsp;&nbsp; 7620119 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/49 | &nbsp;&nbsp;&nbsp; 4171 | &nbsp;&nbsp; 4107352 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/49 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3544 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/49 | &nbsp;&nbsp;&nbsp; 1230 | &nbsp;&nbsp; 1212656 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/49 | &nbsp;&nbsp;&nbsp; 947 | &nbsp;&nbsp; 935570 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/49 | &nbsp;&nbsp;&nbsp; 499 | &nbsp;&nbsp; 492496 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/49 | &nbsp;&nbsp;&nbsp; 3769 | &nbsp;&nbsp; 3717004 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/49 | &nbsp;&nbsp;&nbsp; 1950 | &nbsp;&nbsp; 1925990 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/49 | &nbsp;&nbsp;&nbsp; 4272 | &nbsp;&nbsp; 4213545 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/49 | &nbsp;&nbsp;&nbsp; 566 | &nbsp;&nbsp; 558084 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/50 | &nbsp;&nbsp;&nbsp; 460 | &nbsp;&nbsp; 456943 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/50 | &nbsp;&nbsp;&nbsp; 863 | &nbsp;&nbsp; 856995 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/50 | &nbsp;&nbsp;&nbsp; 1452 | &nbsp;&nbsp; 1443683 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/50 | &nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp; 165687 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/51 | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 44610 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/51 | &nbsp;&nbsp;&nbsp; 806 | &nbsp;&nbsp; 793985 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/51 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 30995 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/51 | &nbsp;&nbsp;&nbsp; 6110 | &nbsp;&nbsp; 5981179 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/51 | &nbsp;&nbsp;&nbsp; 3953 | &nbsp;&nbsp; 3870020 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/52 | &nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp; 131146 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/52 | &nbsp;&nbsp;&nbsp; 3388 | &nbsp;&nbsp; 3299247 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/52 | &nbsp;&nbsp;&nbsp; 19317 | &nbsp;&nbsp; 18810454 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/52 | &nbsp;&nbsp;&nbsp; 989 | &nbsp;&nbsp; 962965 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/52 | &nbsp;&nbsp;&nbsp; 14619 | &nbsp;&nbsp; 14236035 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/53 | &nbsp;&nbsp;&nbsp; 3801 | &nbsp;&nbsp; 3700905 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/53 | &nbsp;&nbsp;&nbsp; 7208 | &nbsp;&nbsp; 7026281 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/53 | &nbsp;&nbsp;&nbsp; 1076 | &nbsp;&nbsp; 1047127 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/53 | &nbsp;&nbsp;&nbsp; 26931 | &nbsp;&nbsp; 26239837 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/53 | &nbsp;&nbsp;&nbsp; 64589 | &nbsp;&nbsp; 62930770 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/53 | &nbsp;&nbsp;&nbsp; 7231 | &nbsp;&nbsp; 7045330 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/53 | &nbsp;&nbsp;&nbsp; 69215 | &nbsp;&nbsp; 67437283 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/53 | &nbsp;&nbsp;&nbsp; 4459 | &nbsp;&nbsp; 4344861 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/53 | &nbsp;&nbsp;&nbsp; 43022 | &nbsp;&nbsp; 41917141 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/53 | &nbsp;&nbsp;&nbsp; 1318 | &nbsp;&nbsp; 1285541 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/53 | &nbsp;&nbsp;&nbsp; 4899 | &nbsp;&nbsp; 4773355 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/53 | &nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp; 210530 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/54 | &nbsp;&nbsp;&nbsp; 554 | &nbsp;&nbsp; 539368 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/54 | &nbsp;&nbsp;&nbsp; 2917 | &nbsp;&nbsp; 2837971 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/54 | &nbsp;&nbsp;&nbsp; 449 | &nbsp;&nbsp; 435708 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/54 | &nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp; 282030 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/54 | &nbsp;&nbsp;&nbsp; 5561 | &nbsp;&nbsp; 5396790 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 179287 | &nbsp;&nbsp; 173907506 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/54 | &nbsp;&nbsp;&nbsp; $39274 | &nbsp;&nbsp; $38130476 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/54 | &nbsp;&nbsp;&nbsp; 74959 | &nbsp;&nbsp; 72742243 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/54 | &nbsp;&nbsp;&nbsp; 166019 | &nbsp;&nbsp; 161109240 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/54 | &nbsp;&nbsp;&nbsp; 79976 | &nbsp;&nbsp; 77611078 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/55 | &nbsp;&nbsp;&nbsp; 9912 | &nbsp;&nbsp; 9619293 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/55 | &nbsp;&nbsp;&nbsp; 1318 | &nbsp;&nbsp; 1278980 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/55 | &nbsp;&nbsp;&nbsp; 22000 | &nbsp;&nbsp; 21347615 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/31 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8948 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 366 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 958 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1502 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/33 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4515 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/33 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4887 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 379 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/33 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6987 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/33 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 20050 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/33 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12826 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1297 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3857 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/15/33 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19561 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 304 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/15/33 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6506 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2482 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/33 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 27907 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/33 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5504 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/34 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19044 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/34 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6736 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/34 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10478 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/34 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22387 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 372 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/34 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11927 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5904 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/34 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3159 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6191 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/34 | &nbsp;&nbsp;&nbsp; 562 | &nbsp;&nbsp; 578340 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/34 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3172 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/35 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12729 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/35 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9628 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/35 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10076 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5954 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/35 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14218 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/35 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12235 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/15/35 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3668 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/15/35 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11478 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6396 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2503 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/35 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9294 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3561 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1059 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/36 | &nbsp;&nbsp;&nbsp; 437 | &nbsp;&nbsp; 451124 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/36 | &nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp; 125725 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1973 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 431 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/36 | &nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp; 247574 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 457 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/36 | &nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp; 175928 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 323 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/36 | &nbsp;&nbsp;&nbsp; $4 | &nbsp;&nbsp; $3720 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/37 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 33110 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/37 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10875 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1053 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1598 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 623 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 573 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8022 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2325 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7923 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 245 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/38 | &nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp; 60335 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 272 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/38 | &nbsp;&nbsp;&nbsp; 658 | &nbsp;&nbsp; 678777 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/38 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18190 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 457 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/38 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7715 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/15/38 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 25924 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/15/38 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8718 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/20/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5129 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/38 | &nbsp;&nbsp;&nbsp; 383 | &nbsp;&nbsp; 396062 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/38 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 22085 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/38 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12734 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7552 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/38 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18301 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/39 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 17339 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 223 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/39 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8112 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3270 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/39 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 33087 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/39 | &nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp; 494752 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/39 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6668 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1198 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2666 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/39 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 119044 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/40 | &nbsp;&nbsp;&nbsp; 1072 | &nbsp;&nbsp; 1109720 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/40 | &nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp; 231246 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/40 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14804 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/40 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25956 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/40 | &nbsp;&nbsp;&nbsp; 1076 | &nbsp;&nbsp; 1109919 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/40 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11885 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/40 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5511 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/41 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18240 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/41 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15030 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/41 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13784 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/42 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3642 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/42 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp; 205938 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/42 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4079 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/42 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26694 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/43 | &nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp; 72035 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/43 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14647 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/44 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 26006 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/20/44 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 27612 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/47 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15763 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/47 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18585 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/47 | &nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp; 225969 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/48 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 117770 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/48 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 55342 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/48 | &nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp; 199026 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/48 | &nbsp;&nbsp;&nbsp; $155 | &nbsp;&nbsp; $155815 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/48 | &nbsp;&nbsp;&nbsp; 2006 | &nbsp;&nbsp; 2016030 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/48 | &nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp; 283803 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/49 | &nbsp;&nbsp;&nbsp; 1882 | &nbsp;&nbsp; 1891505 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/49 | &nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp; 82790 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/49 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21228 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/49 | &nbsp;&nbsp;&nbsp; 2557 | &nbsp;&nbsp; 2572933 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/52 | &nbsp;&nbsp;&nbsp; 1341 | &nbsp;&nbsp; 1346596 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/52 | &nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp; 307701 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/52 | &nbsp;&nbsp;&nbsp; 251 | &nbsp;&nbsp; 250563 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/20/52 | &nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp; 736125 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/52 | &nbsp;&nbsp;&nbsp; 1975 | &nbsp;&nbsp; 1972326 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/52 | &nbsp;&nbsp;&nbsp; 2475 | &nbsp;&nbsp; 2470490 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/52 | &nbsp;&nbsp;&nbsp; 56848 | &nbsp;&nbsp; 56785280 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/53 | &nbsp;&nbsp;&nbsp; 41094 | &nbsp;&nbsp; 41016899 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/53 | &nbsp;&nbsp;&nbsp; 1873 | &nbsp;&nbsp; 1869648 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/53 | &nbsp;&nbsp;&nbsp; 9814 | &nbsp;&nbsp; 9796806 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/53 | &nbsp;&nbsp;&nbsp; 16977 | &nbsp;&nbsp; 16943383 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/53 | &nbsp;&nbsp;&nbsp; 759 | &nbsp;&nbsp; 757163 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/53 | &nbsp;&nbsp;&nbsp; 18711 | &nbsp;&nbsp; 18696989 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/20/53 | &nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp; 369919 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/20/53 | &nbsp;&nbsp;&nbsp; 107742 | &nbsp;&nbsp; 107549248 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/53 | &nbsp;&nbsp;&nbsp; 43147 | &nbsp;&nbsp; 43021048 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/53 | &nbsp;&nbsp;&nbsp; 13505 | &nbsp;&nbsp; 13465970 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/53 | &nbsp;&nbsp;&nbsp; 2628 | &nbsp;&nbsp; 2620597 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/54 | &nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp; 423808 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 3947 | &nbsp;&nbsp; 3929486 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/54 | &nbsp;&nbsp;&nbsp; 2583 | &nbsp;&nbsp; 2567083 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/54 | &nbsp;&nbsp;&nbsp; 19057 | &nbsp;&nbsp; 18964332 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/54 | &nbsp;&nbsp;&nbsp; 18741 | &nbsp;&nbsp; 18645433 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 56433 | &nbsp;&nbsp; 56025183 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/54 | &nbsp;&nbsp;&nbsp; 6795 | &nbsp;&nbsp; 6762262 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/20/54 | &nbsp;&nbsp;&nbsp; 28676 | &nbsp;&nbsp; 28497299 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/20/54 | &nbsp;&nbsp;&nbsp; 9731 | &nbsp;&nbsp; 9670447 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/54 | &nbsp;&nbsp;&nbsp; 62871 | &nbsp;&nbsp; 62478484 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/54 | &nbsp;&nbsp;&nbsp; 69612 | &nbsp;&nbsp; 69178270 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/54 | &nbsp;&nbsp;&nbsp; 36427 | &nbsp;&nbsp; 36200141 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/55 | &nbsp;&nbsp;&nbsp; 54736 | &nbsp;&nbsp; 54372355 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/55 | &nbsp;&nbsp;&nbsp; 9974 | &nbsp;&nbsp; 9907706 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 491 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/20/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3144 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/29 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13732 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 979 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1557 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/20/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 595 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/20/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 909 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 113 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/31 | &nbsp;&nbsp;&nbsp; $2 | &nbsp;&nbsp; $1707 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 196 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 619 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1586 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1164 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 280 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3138 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 600 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 537 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 876 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 940 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1656 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 674 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/32 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6313 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/32 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 19468 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 625 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/33 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7795 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/33 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11893 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1242 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/15/33 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26939 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1599 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/33 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 33617 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5332 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2389 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1027 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/34 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7022 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/15/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1357 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1291 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6412 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 604 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1986 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3468 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/36 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6676 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2675 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/36 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9509 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1750 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/36 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9992 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/37 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14066 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 855 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1234 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/37 | &nbsp;&nbsp;&nbsp; 913 | &nbsp;&nbsp; 959975 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/37 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 21389 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 221 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/37 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 16447 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2280 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1132 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/20/37 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15285 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 202 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/20/37 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 15085 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4350 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/38 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12754 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 356 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7454 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 915 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11278 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2054 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/20/38 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10182 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5704 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/38 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $412 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/38 | &nbsp;&nbsp;&nbsp; 1021 | &nbsp;&nbsp; 1071358 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 586 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2611 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/38 | &nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp; 277362 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/39 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 56008 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3424 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/39 | &nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp; 73292 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/39 | &nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp; 177042 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2925 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/20/40 | &nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp; 110015 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/40 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5146 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/20/40 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3177 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/20/41 | &nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp; 175991 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/20/41 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1481 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/42 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10715 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/20/42 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2017 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/20/43 | &nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp; 304921 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/20/45 | &nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp; 89530 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/46 | &nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp; 278813 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/20/47 | &nbsp;&nbsp;&nbsp; 1821 | &nbsp;&nbsp; 1910079 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/20/52 | &nbsp;&nbsp;&nbsp; 1452 | &nbsp;&nbsp; 1476279 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/20/52 | &nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp; 129898 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/20/53 | &nbsp;&nbsp;&nbsp; 6898 | &nbsp;&nbsp; 7003390 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/20/53 | &nbsp;&nbsp;&nbsp; 383 | &nbsp;&nbsp; 388343 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/20/53 | &nbsp;&nbsp;&nbsp; 2755 | &nbsp;&nbsp; 2797174 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/53 | &nbsp;&nbsp;&nbsp; 13585 | &nbsp;&nbsp; 13792242 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/20/53 | &nbsp;&nbsp;&nbsp; 20257 | &nbsp;&nbsp; 20567185 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/20/53 | &nbsp;&nbsp;&nbsp; 8125 | &nbsp;&nbsp; 8249272 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/54 | &nbsp;&nbsp;&nbsp; 1681 | &nbsp;&nbsp; 1706527 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/20/54 | &nbsp;&nbsp;&nbsp; 8618 | &nbsp;&nbsp; 8723747 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 81750 | &nbsp;&nbsp; 82529346 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/20/54 | &nbsp;&nbsp;&nbsp; 28544 | &nbsp;&nbsp; 28924974 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/20/54 | &nbsp;&nbsp;&nbsp; 60508 | &nbsp;&nbsp; 61224941 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/20/54 | &nbsp;&nbsp;&nbsp; 93258 | &nbsp;&nbsp; 94362674 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/54 | &nbsp;&nbsp;&nbsp; 57463 | &nbsp;&nbsp; 58074167 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/20/54 | &nbsp;&nbsp;&nbsp; 4190 | &nbsp;&nbsp; 4235996 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/20/54 | &nbsp;&nbsp;&nbsp; 2818 | &nbsp;&nbsp; 2851819 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/55 | &nbsp;&nbsp;&nbsp; 37952 | &nbsp;&nbsp; 38365519 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 403 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 693 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/28 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2049 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 529 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/20/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/28 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1697 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2429 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 545 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 604 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/20/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 77 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/29 | &nbsp;&nbsp;&nbsp; $6 | &nbsp;&nbsp; $5945 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 759 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3088 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/15/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1241 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 505 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2423 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/31 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7915 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/31 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3059 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 670 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 681 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/20/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3113 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3666 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/20/32 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5020 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 903 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1770 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3661 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 861 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 616 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/33 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2658 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 416 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1785 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 790 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1101 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 925 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/20/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 522 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1313 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1357 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/36 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12388 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/36 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13938 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1075 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 265 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3838 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 934 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1265 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/20/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5710 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3128 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/20/38 | &nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp; 495290 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/38 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6303 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/38 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6071 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/20/52 | &nbsp;&nbsp;&nbsp; 427 | &nbsp;&nbsp; 436625 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/20/53 | &nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp; 573295 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/20/53 | &nbsp;&nbsp;&nbsp; 26944 | &nbsp;&nbsp; 27562395 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/20/53 | &nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp; 326995 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/20/53 | &nbsp;&nbsp;&nbsp; 23587 | &nbsp;&nbsp; 24127853 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/20/53 | &nbsp;&nbsp;&nbsp; 369 | &nbsp;&nbsp; 377702 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp; 297888 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 167219 | &nbsp;&nbsp; 170737615 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/20/54 | &nbsp;&nbsp;&nbsp; 44579 | &nbsp;&nbsp; 45616725 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/20/54 | &nbsp;&nbsp;&nbsp; 143323 | &nbsp;&nbsp; 146397735 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/20/54 | &nbsp;&nbsp;&nbsp; 30668 | &nbsp;&nbsp; 31302822 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/20/54 | &nbsp;&nbsp;&nbsp; $1075 | &nbsp;&nbsp; $1098514 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/20/54 | &nbsp;&nbsp;&nbsp; 5601 | &nbsp;&nbsp; 5721497 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/20/55 | &nbsp;&nbsp;&nbsp; 44272 | &nbsp;&nbsp; 45221156 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/20/55 | &nbsp;&nbsp;&nbsp; 105044 | &nbsp;&nbsp; 107297325 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/20/55 | &nbsp;&nbsp;&nbsp; 31713 | &nbsp;&nbsp; 32500223 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/27 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 533 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 288 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1137 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 376 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 687 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/15/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 923 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 750 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 320 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/15/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1507 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 214 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 457 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 269 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 488 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/15/31 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2335 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 744 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/15/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 759 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/15/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1920 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 750 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/15/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 709 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/15/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 965 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/15/28 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $130 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 607 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/15/30 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2123 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp; 8.00%, 07/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 8.00%, 09/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp; 8.00%, 05/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 8.00%, 09/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp; 8.00%, 02/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 220 |
| &nbsp;&nbsp;&nbsp; 8.00%, 12/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/20/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp; 8.00%, 09/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp; 8.00%, 01/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; 8.00%, 02/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/20/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; 8.00%, 12/15/30 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1640 |
| &nbsp;&nbsp;&nbsp; 8.00%, 07/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp; 8.00%, 03/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 510 |
| &nbsp;&nbsp;&nbsp; 8.50%, 09/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; 8.50%, 01/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; 8.50%, 08/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp; 8.50%, 07/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp; 8.50%, 04/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 31 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 670 | &nbsp;&nbsp; 593974 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 1678 | &nbsp;&nbsp; 1487719 |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 5048 | &nbsp;&nbsp; 4474472 |
| &nbsp;&nbsp;&nbsp; 1.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 3341 | &nbsp;&nbsp; 2959155 |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp; 100162 |
| &nbsp;&nbsp;&nbsp; 1.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 11741 | &nbsp;&nbsp; 10353986 |
| &nbsp;&nbsp;&nbsp; 1.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 1160 | &nbsp;&nbsp; 1022130 |
| &nbsp;&nbsp;&nbsp; 1.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 812 | &nbsp;&nbsp; 716704 |
| &nbsp;&nbsp;&nbsp; 1.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1710 | &nbsp;&nbsp; 1508495 |
| &nbsp;&nbsp;&nbsp; 1.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 7289 | &nbsp;&nbsp; 6424546 |
| &nbsp;&nbsp;&nbsp; 1.50%, 10/01/36 | &nbsp;&nbsp;&nbsp; 17142 | &nbsp;&nbsp; 15100316 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 12534 | &nbsp;&nbsp; 11044567 |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 2268 | &nbsp;&nbsp; 1998782 |
| &nbsp;&nbsp;&nbsp; 1.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 17729 | &nbsp;&nbsp; 15594788 |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 94189 | &nbsp;&nbsp; 82820403 |
| &nbsp;&nbsp;&nbsp; 1.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 101179 | &nbsp;&nbsp; 88773186 |
| &nbsp;&nbsp;&nbsp; 1.50%, 04/01/37 | &nbsp;&nbsp;&nbsp; 17366 | &nbsp;&nbsp; 15236469 |
| &nbsp;&nbsp;&nbsp; 1.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 1344 | &nbsp;&nbsp; 1178828 |
| &nbsp;&nbsp;&nbsp; 1.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 18810 | &nbsp;&nbsp; 16503487 |
| &nbsp;&nbsp;&nbsp; 1.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 5064 | &nbsp;&nbsp; 4452489 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 10377 | &nbsp;&nbsp; 9105024 |
| &nbsp;&nbsp;&nbsp; 1.50%, 06/15/39<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 28517 | &nbsp;&nbsp; 24993511 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/50 | &nbsp;&nbsp;&nbsp; 49961 | &nbsp;&nbsp; 36945430 |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 1497 | &nbsp;&nbsp; 1121493 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 1.50%, 01/01/51 | &nbsp;&nbsp;&nbsp; $22967 | &nbsp;&nbsp; $16980784 |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/01/51 | &nbsp;&nbsp;&nbsp; 1198 | &nbsp;&nbsp; 888861 |
| &nbsp;&nbsp;&nbsp; 1.50%, 05/01/51 | &nbsp;&nbsp;&nbsp; 74849 | &nbsp;&nbsp; 55367014 |
| &nbsp;&nbsp;&nbsp; 1.50%, 07/01/51 | &nbsp;&nbsp;&nbsp; 63107 | &nbsp;&nbsp; 46679694 |
| &nbsp;&nbsp;&nbsp; 1.50%, 10/01/51 | &nbsp;&nbsp;&nbsp; 2129 | &nbsp;&nbsp; 1574246 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/51 | &nbsp;&nbsp;&nbsp; 90213 | &nbsp;&nbsp; 66690050 |
| &nbsp;&nbsp;&nbsp; 1.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 22925 | &nbsp;&nbsp; 16884470 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/26 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 50603 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/28 | &nbsp;&nbsp;&nbsp; 4822 | &nbsp;&nbsp; 4690677 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/28 | &nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp; 77418 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16241 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3311 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp; 81858 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 20226 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/30 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 32979 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; 905 | &nbsp;&nbsp; 864931 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/30 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19757 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 4423 | &nbsp;&nbsp; 4257982 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp; 206692 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/32 | &nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp; 84823 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 20526 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp; 133559 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp; 68763 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12027 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5596 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 2123 | &nbsp;&nbsp; 1934870 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 24147 | &nbsp;&nbsp; 22003442 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 16501 | &nbsp;&nbsp; 15062288 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 8403 | &nbsp;&nbsp; 7650194 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 30266 | &nbsp;&nbsp; 27610404 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 42104 | &nbsp;&nbsp; 38419884 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 86099 | &nbsp;&nbsp; 78385684 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 39338 | &nbsp;&nbsp; 35759134 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/36 | &nbsp;&nbsp;&nbsp; 167855 | &nbsp;&nbsp; 153016597 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 107667 | &nbsp;&nbsp; 97687347 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/36 | &nbsp;&nbsp;&nbsp; 13951 | &nbsp;&nbsp; 12650627 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 127122 | &nbsp;&nbsp; 115453378 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 105523 | &nbsp;&nbsp; 95636639 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 37190 | &nbsp;&nbsp; 33702167 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 68234 | &nbsp;&nbsp; 61816368 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/36 | &nbsp;&nbsp;&nbsp; 31112 | &nbsp;&nbsp; 28142170 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 67724 | &nbsp;&nbsp; 61309024 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 65119 | &nbsp;&nbsp; 58945640 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 157347 | &nbsp;&nbsp; 142515475 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 102666 | &nbsp;&nbsp; 92925701 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 53856 | &nbsp;&nbsp; 48675187 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 105451 | &nbsp;&nbsp; 95214226 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 32334 | &nbsp;&nbsp; 29198066 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 83524 | &nbsp;&nbsp; 75482414 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 2878 | &nbsp;&nbsp; 2598715 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 5369 | &nbsp;&nbsp; 4847501 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 12201 | &nbsp;&nbsp; 11017757 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/15/39<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 60296 | &nbsp;&nbsp; 54437592 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/50 | &nbsp;&nbsp;&nbsp; 45272 | &nbsp;&nbsp; 35592887 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/50 | &nbsp;&nbsp;&nbsp; 74381 | &nbsp;&nbsp; 58455800 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/50 | &nbsp;&nbsp;&nbsp; 66893 | &nbsp;&nbsp; 52567491 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/50 | &nbsp;&nbsp;&nbsp; 53502 | &nbsp;&nbsp; 42019743 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/50 | &nbsp;&nbsp;&nbsp; 48963 | &nbsp;&nbsp; 38577958 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/50 | &nbsp;&nbsp;&nbsp; 162598 | &nbsp;&nbsp; 128108833 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/50 | &nbsp;&nbsp;&nbsp; 73191 | &nbsp;&nbsp; 57705455 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/50 | &nbsp;&nbsp;&nbsp; 203201 | &nbsp;&nbsp; 160024443 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/51 | &nbsp;&nbsp;&nbsp; $75143 | &nbsp;&nbsp; $59124979 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/51 | &nbsp;&nbsp;&nbsp; 605476 | &nbsp;&nbsp; 474338216 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/51 | &nbsp;&nbsp;&nbsp; 516519 | &nbsp;&nbsp; 404838252 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/51 | &nbsp;&nbsp;&nbsp; 609693 | &nbsp;&nbsp; 477413957 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/51<sup>(d)</sup> | &nbsp;&nbsp;&nbsp; 392871 | &nbsp;&nbsp; 307365919 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/51 | &nbsp;&nbsp;&nbsp; 178948 | &nbsp;&nbsp; 140403403 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/51 | &nbsp;&nbsp;&nbsp; 272084 | &nbsp;&nbsp; 213584085 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/51 | &nbsp;&nbsp;&nbsp; 507665 | &nbsp;&nbsp; 398500727 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/51 | &nbsp;&nbsp;&nbsp; 143977 | &nbsp;&nbsp; 112691723 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/51 | &nbsp;&nbsp;&nbsp; 179054 | &nbsp;&nbsp; 140005259 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/51 | &nbsp;&nbsp;&nbsp; 448899 | &nbsp;&nbsp; 351730422 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/51 | &nbsp;&nbsp;&nbsp; 552431 | &nbsp;&nbsp; 432497556 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/51 | &nbsp;&nbsp;&nbsp; 717871 | &nbsp;&nbsp; 561183675 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/52 | &nbsp;&nbsp;&nbsp; 263932 | &nbsp;&nbsp; 206205665 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/52 | &nbsp;&nbsp;&nbsp; 679821 | &nbsp;&nbsp; 529920368 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/52 | &nbsp;&nbsp;&nbsp; 263692 | &nbsp;&nbsp; 205465094 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/52 | &nbsp;&nbsp;&nbsp; 247080 | &nbsp;&nbsp; 193068446 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/52 | &nbsp;&nbsp;&nbsp; 125544 | &nbsp;&nbsp; 98296735 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 102914 | &nbsp;&nbsp; 80429502 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/52 | &nbsp;&nbsp;&nbsp; 10094 | &nbsp;&nbsp; 7880572 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/52 | &nbsp;&nbsp;&nbsp; 6204 | &nbsp;&nbsp; 4840461 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/52 | &nbsp;&nbsp;&nbsp; 39718 | &nbsp;&nbsp; 31030324 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 164275 | &nbsp;&nbsp; 127612357 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2055 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 112552 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/27 | &nbsp;&nbsp;&nbsp; 575 | &nbsp;&nbsp; 564693 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/27 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8131 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/27 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp; 196428 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/27 | &nbsp;&nbsp;&nbsp; 675 | &nbsp;&nbsp; 661168 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/27 | &nbsp;&nbsp;&nbsp; 363 | &nbsp;&nbsp; 355018 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/27 | &nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp; 130364 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 1139 | &nbsp;&nbsp; 1113594 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/28 | &nbsp;&nbsp;&nbsp; 434 | &nbsp;&nbsp; 423358 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/28 | &nbsp;&nbsp;&nbsp; 1135 | &nbsp;&nbsp; 1109264 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/28 | &nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp; 775326 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/28 | &nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp; 301723 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/28 | &nbsp;&nbsp;&nbsp; 718 | &nbsp;&nbsp; 700221 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp; 184975 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/28 | &nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp; 178050 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/28 | &nbsp;&nbsp;&nbsp; 1126 | &nbsp;&nbsp; 1096970 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp; 113879 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 42598 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/29 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6499 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp; 124414 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp; 113745 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/29 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6144 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/29 | &nbsp;&nbsp;&nbsp; 437 | &nbsp;&nbsp; 426036 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/30 | &nbsp;&nbsp;&nbsp; 1069 | &nbsp;&nbsp; 1033793 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/30 | &nbsp;&nbsp;&nbsp; 1868 | &nbsp;&nbsp; 1799843 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/30 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3979 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/30 | &nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp; 733143 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/30 | &nbsp;&nbsp;&nbsp; 7101 | &nbsp;&nbsp; 6847257 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 15504 | &nbsp;&nbsp; 14940654 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/30 | &nbsp;&nbsp;&nbsp; 5620 | &nbsp;&nbsp; 5415234 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 2370 | &nbsp;&nbsp; 2297321 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/30 | &nbsp;&nbsp;&nbsp; 638 | &nbsp;&nbsp; 614175 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/30 | &nbsp;&nbsp;&nbsp; 977 | &nbsp;&nbsp; 938691 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/30 | &nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp; 223454 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/30 | &nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp; 507687 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24154 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/31 | &nbsp;&nbsp;&nbsp; 662 | &nbsp;&nbsp; 637703 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/31 | &nbsp;&nbsp;&nbsp; $1267 | &nbsp;&nbsp; $1226386 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 1509 | &nbsp;&nbsp; 1448908 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 1901 | &nbsp;&nbsp; 1822031 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp; 427482 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 1494 | &nbsp;&nbsp; 1429317 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 1094 | &nbsp;&nbsp; 1047702 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 1439 | &nbsp;&nbsp; 1375428 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/31 | &nbsp;&nbsp;&nbsp; 6234 | &nbsp;&nbsp; 6000502 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 5414 | &nbsp;&nbsp; 5181383 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 2544 | &nbsp;&nbsp; 2431991 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 7362 | &nbsp;&nbsp; 7032773 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 7290 | &nbsp;&nbsp; 6969091 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 3750 | &nbsp;&nbsp; 3575773 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 7199 | &nbsp;&nbsp; 6886237 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 9064 | &nbsp;&nbsp; 8666297 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 886 | &nbsp;&nbsp; 846789 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 5895 | &nbsp;&nbsp; 5648520 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5538 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp; 570847 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 1580 | &nbsp;&nbsp; 1499196 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 1091 | &nbsp;&nbsp; 1034453 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 1856 | &nbsp;&nbsp; 1758896 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 12416 | &nbsp;&nbsp; 11933251 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 722 | &nbsp;&nbsp; 695537 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp; 321605 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 3007 | &nbsp;&nbsp; 2877913 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 247 | &nbsp;&nbsp; 232522 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 66778 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp; 132836 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 4229 | &nbsp;&nbsp; 3954863 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 4959 | &nbsp;&nbsp; 4646695 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 10536 | &nbsp;&nbsp; 9849310 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 3432 | &nbsp;&nbsp; 3200235 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 6747 | &nbsp;&nbsp; 6315970 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 8729 | &nbsp;&nbsp; 8281070 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 14283 | &nbsp;&nbsp; 13300026 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 25138 | &nbsp;&nbsp; 23394747 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 13024 | &nbsp;&nbsp; 12125249 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 17526 | &nbsp;&nbsp; 16302343 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 28021 | &nbsp;&nbsp; 26105305 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 20210 | &nbsp;&nbsp; 18803445 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 24216 | &nbsp;&nbsp; 22542263 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 18701 | &nbsp;&nbsp; 17390977 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 5043 | &nbsp;&nbsp; 4687980 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 45386 | &nbsp;&nbsp; 42120947 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 1944 | &nbsp;&nbsp; 1802523 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 7258 | &nbsp;&nbsp; 6742859 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 5716 | &nbsp;&nbsp; 5308443 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/36 | &nbsp;&nbsp;&nbsp; 2822 | &nbsp;&nbsp; 2616922 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/36 | &nbsp;&nbsp;&nbsp; 2877 | &nbsp;&nbsp; 2664633 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 16113 | &nbsp;&nbsp; 14950049 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 2769 | &nbsp;&nbsp; 2567675 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 22422 | &nbsp;&nbsp; 20733311 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 1172 | &nbsp;&nbsp; 1084587 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 38921 | &nbsp;&nbsp; 36000109 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 13215 | &nbsp;&nbsp; 12244625 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 4869 | &nbsp;&nbsp; 4509601 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 36263 | &nbsp;&nbsp; 33573579 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 132499 | &nbsp;&nbsp; 122521818 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/37 | &nbsp;&nbsp;&nbsp; 56946 | &nbsp;&nbsp; 52625689 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 48364 | &nbsp;&nbsp; 44635980 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; $20426 | &nbsp;&nbsp; $18890713 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 15393 | &nbsp;&nbsp; 14206342 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 8714 | &nbsp;&nbsp; 8042438 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 3766 | &nbsp;&nbsp; 3475784 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 735 | &nbsp;&nbsp; 678211 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 2920 | &nbsp;&nbsp; 2695307 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/15/39<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 54741 | &nbsp;&nbsp; 50528686 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/42 | &nbsp;&nbsp;&nbsp; 306 | &nbsp;&nbsp; 267364 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/42 | &nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp; 163325 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/42 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 23518 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; 704 | &nbsp;&nbsp; 613929 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/43 | &nbsp;&nbsp;&nbsp; 1766 | &nbsp;&nbsp; 1539985 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/43 | &nbsp;&nbsp;&nbsp; 805 | &nbsp;&nbsp; 698447 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/43 | &nbsp;&nbsp;&nbsp; 3746 | &nbsp;&nbsp; 3252427 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/43 | &nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp; 331495 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/43 | &nbsp;&nbsp;&nbsp; 2154 | &nbsp;&nbsp; 1870097 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/43 | &nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp; 240897 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/43 | &nbsp;&nbsp;&nbsp; 290 | &nbsp;&nbsp; 251725 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp; 169241 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/45 | &nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp; 196569 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/45 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 29803 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 1520 | &nbsp;&nbsp; 1280162 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp; 78127 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 271 | &nbsp;&nbsp; 228304 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp; 116171 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 387 | &nbsp;&nbsp; 326285 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp; 153152 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/46 | &nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp; 108269 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4497 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 3813 | &nbsp;&nbsp; 3210081 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 1025 | &nbsp;&nbsp; 839152 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 41225 | &nbsp;&nbsp; 33748867 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 2906 | &nbsp;&nbsp; 2448613 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/47 | &nbsp;&nbsp;&nbsp; 12551 | &nbsp;&nbsp; 10600405 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/48 | &nbsp;&nbsp;&nbsp; 3896 | &nbsp;&nbsp; 3282260 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/49 | &nbsp;&nbsp;&nbsp; 5595 | &nbsp;&nbsp; 4711065 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/49 | &nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp; 94252 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/49 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 21992 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/49 | &nbsp;&nbsp;&nbsp; 4899 | &nbsp;&nbsp; 4050570 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/49 | &nbsp;&nbsp;&nbsp; 1853 | &nbsp;&nbsp; 1531963 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/50 | &nbsp;&nbsp;&nbsp; 28890 | &nbsp;&nbsp; 23885555 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/50 | &nbsp;&nbsp;&nbsp; 2144 | &nbsp;&nbsp; 1790723 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/50 | &nbsp;&nbsp;&nbsp; 54047 | &nbsp;&nbsp; 44623967 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/50 | &nbsp;&nbsp;&nbsp; 41987 | &nbsp;&nbsp; 34624458 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/50 | &nbsp;&nbsp;&nbsp; 60105 | &nbsp;&nbsp; 49742641 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/50 | &nbsp;&nbsp;&nbsp; 118324 | &nbsp;&nbsp; 98299698 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/50 | &nbsp;&nbsp;&nbsp; 224707 | &nbsp;&nbsp; 186231914 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/50 | &nbsp;&nbsp;&nbsp; 280916 | &nbsp;&nbsp; 231929930 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/50 | &nbsp;&nbsp;&nbsp; 402843 | &nbsp;&nbsp; 332324676 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 102758 | &nbsp;&nbsp; 84536851 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/51 | &nbsp;&nbsp;&nbsp; 185348 | &nbsp;&nbsp; 152336523 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/51 | &nbsp;&nbsp;&nbsp; 67378 | &nbsp;&nbsp; 55593383 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/51 | &nbsp;&nbsp;&nbsp; 58472 | &nbsp;&nbsp; 47775835 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/51 | &nbsp;&nbsp;&nbsp; 38327 | &nbsp;&nbsp; 31508037 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/51 | &nbsp;&nbsp;&nbsp; 102402 | &nbsp;&nbsp; 84204053 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/51 | &nbsp;&nbsp;&nbsp; 49490 | &nbsp;&nbsp; 40912230 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/51 | &nbsp;&nbsp;&nbsp; 282682 | &nbsp;&nbsp; 232482026 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/51 | &nbsp;&nbsp;&nbsp; 225170 | &nbsp;&nbsp; 185613643 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/51 | &nbsp;&nbsp;&nbsp; 223212 | &nbsp;&nbsp; 183693212 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/51 | &nbsp;&nbsp;&nbsp; 256620 | &nbsp;&nbsp; 211005078 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/51 | &nbsp;&nbsp;&nbsp; 175824 | &nbsp;&nbsp; 144789363 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/51 | &nbsp;&nbsp;&nbsp; $416224 | &nbsp;&nbsp; $341664591 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/52 | &nbsp;&nbsp;&nbsp; 409685 | &nbsp;&nbsp; 335728364 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/52 | &nbsp;&nbsp;&nbsp; 231545 | &nbsp;&nbsp; 189841269 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/52 | &nbsp;&nbsp;&nbsp; 202001 | &nbsp;&nbsp; 165544393 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/52 | &nbsp;&nbsp;&nbsp; 377626 | &nbsp;&nbsp; 309635402 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/52 | &nbsp;&nbsp;&nbsp; 105027 | &nbsp;&nbsp; 86606801 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/52 | &nbsp;&nbsp;&nbsp; 126537 | &nbsp;&nbsp; 103410363 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/52 | &nbsp;&nbsp;&nbsp; 94488 | &nbsp;&nbsp; 77201537 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 77446 | &nbsp;&nbsp; 63440189 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/52 | &nbsp;&nbsp;&nbsp; 9305 | &nbsp;&nbsp; 7602910 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/53 | &nbsp;&nbsp;&nbsp; 86086 | &nbsp;&nbsp; 70416438 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/53 | &nbsp;&nbsp;&nbsp; 6165 | &nbsp;&nbsp; 5042837 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/54 | &nbsp;&nbsp;&nbsp; 36151 | &nbsp;&nbsp; 29570343 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp; 40608603 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/25 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 863 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/25 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1127 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/26 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 20254 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/26 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 31163 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 474 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/26 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7321 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1473 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/26 | &nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp; 189317 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/26 | &nbsp;&nbsp;&nbsp; 358 | &nbsp;&nbsp; 353443 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/27 | &nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp; 346401 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/27 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10799 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 32663 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/27 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 16605 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/27 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 42965 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/27 | &nbsp;&nbsp;&nbsp; 184 | &nbsp;&nbsp; 181110 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/27 | &nbsp;&nbsp;&nbsp; 384 | &nbsp;&nbsp; 377948 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/27 | &nbsp;&nbsp;&nbsp; 696 | &nbsp;&nbsp; 685254 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 736 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/27 | &nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp; 115438 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; 1071 | &nbsp;&nbsp; 1052632 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/28 | &nbsp;&nbsp;&nbsp; 279 | &nbsp;&nbsp; 274498 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/28 | &nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp; 61703 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp; 193885 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/28 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 133516 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/28 | &nbsp;&nbsp;&nbsp; 697 | &nbsp;&nbsp; 682554 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/28 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 95851 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 851 | &nbsp;&nbsp; 833396 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/28 | &nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp; 225714 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 321 | &nbsp;&nbsp; 314391 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp; 159454 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp; 198521 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/29 | &nbsp;&nbsp;&nbsp; 1693 | &nbsp;&nbsp; 1654816 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 611 | &nbsp;&nbsp; 598128 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp; 299535 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 319 | &nbsp;&nbsp; 311199 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/29 | &nbsp;&nbsp;&nbsp; 551 | &nbsp;&nbsp; 537588 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/29 | &nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp; 181790 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/29 | &nbsp;&nbsp;&nbsp; 1388 | &nbsp;&nbsp; 1354970 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/29 | &nbsp;&nbsp;&nbsp; 2007 | &nbsp;&nbsp; 1959638 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/29 | &nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp; 121398 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 268 | &nbsp;&nbsp; 261041 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 1110 | &nbsp;&nbsp; 1082966 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/30 | &nbsp;&nbsp;&nbsp; 10037 | &nbsp;&nbsp; 9821687 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/30 | &nbsp;&nbsp;&nbsp; 3797 | &nbsp;&nbsp; 3692266 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/30 | &nbsp;&nbsp;&nbsp; 2356 | &nbsp;&nbsp; 2291037 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/30 | &nbsp;&nbsp;&nbsp; 868 | &nbsp;&nbsp; 846266 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; $2470 | &nbsp;&nbsp; $2404675 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/30 | &nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp; 246059 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/30 | &nbsp;&nbsp;&nbsp; 1391 | &nbsp;&nbsp; 1351643 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/30 | &nbsp;&nbsp;&nbsp; 1311 | &nbsp;&nbsp; 1276543 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/30 | &nbsp;&nbsp;&nbsp; 797 | &nbsp;&nbsp; 773326 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/31 | &nbsp;&nbsp;&nbsp; 2190 | &nbsp;&nbsp; 2132933 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 2706 | &nbsp;&nbsp; 2631695 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/31 | &nbsp;&nbsp;&nbsp; 5215 | &nbsp;&nbsp; 5059758 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/31 | &nbsp;&nbsp;&nbsp; 678 | &nbsp;&nbsp; 658281 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 5031 | &nbsp;&nbsp; 4883051 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/31 | &nbsp;&nbsp;&nbsp; 3076 | &nbsp;&nbsp; 2986456 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/31 | &nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp; 402535 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/31 | &nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp; 68097 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/31 | &nbsp;&nbsp;&nbsp; 3901 | &nbsp;&nbsp; 3778325 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 246 | &nbsp;&nbsp; 238316 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/31 | &nbsp;&nbsp;&nbsp; 1652 | &nbsp;&nbsp; 1606404 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/32 | &nbsp;&nbsp;&nbsp; 3723 | &nbsp;&nbsp; 3600776 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 6096 | &nbsp;&nbsp; 5900777 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 1978 | &nbsp;&nbsp; 1911909 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 2114 | &nbsp;&nbsp; 2038494 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 663 | &nbsp;&nbsp; 642919 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 3673 | &nbsp;&nbsp; 3554198 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 391 | &nbsp;&nbsp; 377276 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/32 | &nbsp;&nbsp;&nbsp; 1817 | &nbsp;&nbsp; 1750100 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/32 | &nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp; 4561943 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp; 474064 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 2182 | &nbsp;&nbsp; 2102438 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 9344 | &nbsp;&nbsp; 9012173 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; 1156 | &nbsp;&nbsp; 1111887 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; 1885 | &nbsp;&nbsp; 1813693 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 773 | &nbsp;&nbsp; 741487 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/33 | &nbsp;&nbsp;&nbsp; 303 | &nbsp;&nbsp; 292559 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 1502 | &nbsp;&nbsp; 1435915 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/33 | &nbsp;&nbsp;&nbsp; 286 | &nbsp;&nbsp; 273427 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/33 | &nbsp;&nbsp;&nbsp; 6934 | &nbsp;&nbsp; 6629720 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 907 | &nbsp;&nbsp; 879233 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 3775 | &nbsp;&nbsp; 3623350 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp; 71704 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/34 | &nbsp;&nbsp;&nbsp; 3135 | &nbsp;&nbsp; 3031603 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp; 385931 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 1989 | &nbsp;&nbsp; 1900157 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/34 | &nbsp;&nbsp;&nbsp; 6696 | &nbsp;&nbsp; 6399790 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 1878 | &nbsp;&nbsp; 1795381 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 10549 | &nbsp;&nbsp; 10064281 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 2017 | &nbsp;&nbsp; 1923225 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 5317 | &nbsp;&nbsp; 5067096 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 1027 | &nbsp;&nbsp; 978616 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/35 | &nbsp;&nbsp;&nbsp; 3613 | &nbsp;&nbsp; 3441280 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/35 | &nbsp;&nbsp;&nbsp; 8247 | &nbsp;&nbsp; 7838630 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/35 | &nbsp;&nbsp;&nbsp; 14143 | &nbsp;&nbsp; 13463833 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/35 | &nbsp;&nbsp;&nbsp; 9235 | &nbsp;&nbsp; 8809102 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/35 | &nbsp;&nbsp;&nbsp; 19144 | &nbsp;&nbsp; 18234753 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 2660 | &nbsp;&nbsp; 2532195 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 12111 | &nbsp;&nbsp; 11530885 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 492 | &nbsp;&nbsp; 468729 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 286 | &nbsp;&nbsp; 272374 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 4247 | &nbsp;&nbsp; 4043399 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 9431 | &nbsp;&nbsp; 9056825 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 1712 | &nbsp;&nbsp; 1630016 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/36 | &nbsp;&nbsp;&nbsp; 712 | &nbsp;&nbsp; 672259 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 1141 | &nbsp;&nbsp; 1078520 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; $1361 | &nbsp;&nbsp; $1295644 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 523 | &nbsp;&nbsp; 494800 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/36 | &nbsp;&nbsp;&nbsp; 3839 | &nbsp;&nbsp; 3623736 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 1796 | &nbsp;&nbsp; 1690946 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 5765 | &nbsp;&nbsp; 5402584 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 4606 | &nbsp;&nbsp; 4297739 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 89321 | &nbsp;&nbsp; 84496149 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 11537 | &nbsp;&nbsp; 10877491 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 118935 | &nbsp;&nbsp; 112391585 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 27238 | &nbsp;&nbsp; 25792060 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 5403 | &nbsp;&nbsp; 5111148 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 8113 | &nbsp;&nbsp; 7656573 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 1859 | &nbsp;&nbsp; 1752626 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 23362 | &nbsp;&nbsp; 22026084 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/37 | &nbsp;&nbsp;&nbsp; 848 | &nbsp;&nbsp; 799762 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 5376 | &nbsp;&nbsp; 5068965 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 2050 | &nbsp;&nbsp; 1932734 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/38 | &nbsp;&nbsp;&nbsp; 9843 | &nbsp;&nbsp; 9280497 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/41 | &nbsp;&nbsp;&nbsp; 551 | &nbsp;&nbsp; 481923 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/42 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 17166 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/42 | &nbsp;&nbsp;&nbsp; 774 | &nbsp;&nbsp; 695605 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/42 | &nbsp;&nbsp;&nbsp; 2636 | &nbsp;&nbsp; 2370677 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/42 | &nbsp;&nbsp;&nbsp; 3085 | &nbsp;&nbsp; 2773904 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/42 | &nbsp;&nbsp;&nbsp; 14207 | &nbsp;&nbsp; 12771527 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/42 | &nbsp;&nbsp;&nbsp; 23912 | &nbsp;&nbsp; 21497022 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/43 | &nbsp;&nbsp;&nbsp; 12137 | &nbsp;&nbsp; 10911593 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/43 | &nbsp;&nbsp;&nbsp; 5330 | &nbsp;&nbsp; 4788236 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/43 | &nbsp;&nbsp;&nbsp; 8804 | &nbsp;&nbsp; 7835357 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/43 | &nbsp;&nbsp;&nbsp; 9102 | &nbsp;&nbsp; 8150084 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/43 | &nbsp;&nbsp;&nbsp; 8936 | &nbsp;&nbsp; 7990422 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/43 | &nbsp;&nbsp;&nbsp; 3647 | &nbsp;&nbsp; 3262576 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/43 | &nbsp;&nbsp;&nbsp; 2882 | &nbsp;&nbsp; 2576374 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 8990 | &nbsp;&nbsp; 8038352 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/43 | &nbsp;&nbsp;&nbsp; 14583 | &nbsp;&nbsp; 13043412 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 473 | &nbsp;&nbsp; 423308 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/43 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 36992 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/43 | &nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp; 446517 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/44 | &nbsp;&nbsp;&nbsp; 10939 | &nbsp;&nbsp; 9782013 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/44 | &nbsp;&nbsp;&nbsp; 10498 | &nbsp;&nbsp; 9388563 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/44 | &nbsp;&nbsp;&nbsp; 36501 | &nbsp;&nbsp; 32640306 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/44 | &nbsp;&nbsp;&nbsp; 25823 | &nbsp;&nbsp; 23091957 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/44 | &nbsp;&nbsp;&nbsp; 15180 | &nbsp;&nbsp; 13574516 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/44 | &nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp; 98509 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 3329 | &nbsp;&nbsp; 2977864 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/45 | &nbsp;&nbsp;&nbsp; 2640 | &nbsp;&nbsp; 2329986 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/45 | &nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp; 608454 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/45 | &nbsp;&nbsp;&nbsp; 2040 | &nbsp;&nbsp; 1795101 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/45 | &nbsp;&nbsp;&nbsp; 13054 | &nbsp;&nbsp; 11549826 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/45 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 17438 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 4484 | &nbsp;&nbsp; 3968593 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/45 | &nbsp;&nbsp;&nbsp; 5430 | &nbsp;&nbsp; 4835393 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/45 | &nbsp;&nbsp;&nbsp; 694 | &nbsp;&nbsp; 611193 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/45 | &nbsp;&nbsp;&nbsp; 360 | &nbsp;&nbsp; 316666 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/45 | &nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp; 540524 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/46 | &nbsp;&nbsp;&nbsp; 3338 | &nbsp;&nbsp; 2933421 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/46 | &nbsp;&nbsp;&nbsp; 1257 | &nbsp;&nbsp; 1103699 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/46 | &nbsp;&nbsp;&nbsp; 534 | &nbsp;&nbsp; 468560 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/46 | &nbsp;&nbsp;&nbsp; 2474 | &nbsp;&nbsp; 2171013 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/46 | &nbsp;&nbsp;&nbsp; 2553 | &nbsp;&nbsp; 2223568 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/46 | &nbsp;&nbsp;&nbsp; 17439 | &nbsp;&nbsp; 15458384 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/46 | &nbsp;&nbsp;&nbsp; 54861 | &nbsp;&nbsp; 48204923 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/46 | &nbsp;&nbsp;&nbsp; $19925 | &nbsp;&nbsp; $17569816 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/46 | &nbsp;&nbsp;&nbsp; 12433 | &nbsp;&nbsp; 10904091 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/46 | &nbsp;&nbsp;&nbsp; 35115 | &nbsp;&nbsp; 30762042 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/46 | &nbsp;&nbsp;&nbsp; 48262 | &nbsp;&nbsp; 42293877 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/46 | &nbsp;&nbsp;&nbsp; 74203 | &nbsp;&nbsp; 64971368 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/47 | &nbsp;&nbsp;&nbsp; 41769 | &nbsp;&nbsp; 36635073 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 76808 | &nbsp;&nbsp; 67802192 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 15162 | &nbsp;&nbsp; 13293804 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 23087 | &nbsp;&nbsp; 20093199 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 744 | &nbsp;&nbsp; 649600 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 13406 | &nbsp;&nbsp; 11730478 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp; 783128 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/47 | &nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp; 299095 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 286 | &nbsp;&nbsp; 252109 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp; 127865 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/47 | &nbsp;&nbsp;&nbsp; 28002 | &nbsp;&nbsp; 24574741 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/48 | &nbsp;&nbsp;&nbsp; 30324 | &nbsp;&nbsp; 26438756 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/48 | &nbsp;&nbsp;&nbsp; 30429 | &nbsp;&nbsp; 26767349 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 8588 | &nbsp;&nbsp; 7678896 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/48 | &nbsp;&nbsp;&nbsp; 211 | &nbsp;&nbsp; 183718 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 2210 | &nbsp;&nbsp; 1933676 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; 34354 | &nbsp;&nbsp; 30235636 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 30999 | &nbsp;&nbsp; 27095871 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 44913 | &nbsp;&nbsp; 39297382 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 1915 | &nbsp;&nbsp; 1676204 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 3705 | &nbsp;&nbsp; 3220774 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/49 | &nbsp;&nbsp;&nbsp; 9914 | &nbsp;&nbsp; 8623168 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/49 | &nbsp;&nbsp;&nbsp; 1727 | &nbsp;&nbsp; 1495030 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/49 | &nbsp;&nbsp;&nbsp; 1713 | &nbsp;&nbsp; 1471400 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/49 | &nbsp;&nbsp;&nbsp; 15196 | &nbsp;&nbsp; 13168256 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/49 | &nbsp;&nbsp;&nbsp; 16018 | &nbsp;&nbsp; 13784942 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/49 | &nbsp;&nbsp;&nbsp; 29432 | &nbsp;&nbsp; 25350868 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/49 | &nbsp;&nbsp;&nbsp; 23499 | &nbsp;&nbsp; 20315045 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/49 | &nbsp;&nbsp;&nbsp; 22261 | &nbsp;&nbsp; 19284212 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/50 | &nbsp;&nbsp;&nbsp; 96716 | &nbsp;&nbsp; 83616367 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/50 | &nbsp;&nbsp;&nbsp; 66399 | &nbsp;&nbsp; 57540149 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/50 | &nbsp;&nbsp;&nbsp; 101978 | &nbsp;&nbsp; 88305049 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/50 | &nbsp;&nbsp;&nbsp; 18774 | &nbsp;&nbsp; 16230916 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/50 | &nbsp;&nbsp;&nbsp; 22535 | &nbsp;&nbsp; 19435627 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/50 | &nbsp;&nbsp;&nbsp; 44507 | &nbsp;&nbsp; 38483033 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/50 | &nbsp;&nbsp;&nbsp; 145727 | &nbsp;&nbsp; 126853477 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/50 | &nbsp;&nbsp;&nbsp; 106177 | &nbsp;&nbsp; 91455207 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/50 | &nbsp;&nbsp;&nbsp; 10685 | &nbsp;&nbsp; 9183644 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/50 | &nbsp;&nbsp;&nbsp; 69366 | &nbsp;&nbsp; 59944684 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/50 | &nbsp;&nbsp;&nbsp; 46446 | &nbsp;&nbsp; 40211580 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/50 | &nbsp;&nbsp;&nbsp; 7240 | &nbsp;&nbsp; 6199684 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/51 | &nbsp;&nbsp;&nbsp; 13939 | &nbsp;&nbsp; 12096786 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/51 | &nbsp;&nbsp;&nbsp; 107861 | &nbsp;&nbsp; 92020820 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/51 | &nbsp;&nbsp;&nbsp; 32665 | &nbsp;&nbsp; 28090895 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/51 | &nbsp;&nbsp;&nbsp; 28004 | &nbsp;&nbsp; 23965531 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/51 | &nbsp;&nbsp;&nbsp; 24359 | &nbsp;&nbsp; 21118753 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/51 | &nbsp;&nbsp;&nbsp; 39755 | &nbsp;&nbsp; 34169218 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/51 | &nbsp;&nbsp;&nbsp; 56179 | &nbsp;&nbsp; 48383004 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/51 | &nbsp;&nbsp;&nbsp; 18845 | &nbsp;&nbsp; 16208743 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/51 | &nbsp;&nbsp;&nbsp; 3669 | &nbsp;&nbsp; 3157751 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/51 | &nbsp;&nbsp;&nbsp; 188569 | &nbsp;&nbsp; 160638105 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/51 | &nbsp;&nbsp;&nbsp; 47038 | &nbsp;&nbsp; 40589410 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/51 | &nbsp;&nbsp;&nbsp; 37323 | &nbsp;&nbsp; 32098392 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/52 | &nbsp;&nbsp;&nbsp; 49932 | &nbsp;&nbsp; 42871582 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/52 | &nbsp;&nbsp;&nbsp; 18632 | &nbsp;&nbsp; 15995943 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/52 | &nbsp;&nbsp;&nbsp; 14413 | &nbsp;&nbsp; 12423198 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/52 | &nbsp;&nbsp;&nbsp; $57461 | &nbsp;&nbsp; $49333180 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/52 | &nbsp;&nbsp;&nbsp; 173422 | &nbsp;&nbsp; 149588197 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 67511 | &nbsp;&nbsp; 57742424 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/52 | &nbsp;&nbsp;&nbsp; 20178 | &nbsp;&nbsp; 17314950 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/52 | &nbsp;&nbsp;&nbsp; 68695 | &nbsp;&nbsp; 58710317 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/25 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8348 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/25 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8341 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/25 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2446 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp; 39269 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/26 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8043 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/26 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7540 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6410 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 23530 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4733 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2971 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 771 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/26 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14232 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 598 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/26 | &nbsp;&nbsp;&nbsp; 788 | &nbsp;&nbsp; 781059 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/26 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17367 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/26 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5401 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 454 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/27 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 65828 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/27 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2760 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp; 92006 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/27 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 97462 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/27 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 34698 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp; 93621 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 54012 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/28 | &nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp; 191519 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp; 169707 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/28 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 32058 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp; 53068 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/29 | &nbsp;&nbsp;&nbsp; 639 | &nbsp;&nbsp; 630411 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp; 152444 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/29 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 22687 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2625 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8648 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 96590 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/29 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9058 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/29 | &nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp; 738590 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/29 | &nbsp;&nbsp;&nbsp; 501 | &nbsp;&nbsp; 493086 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/30 | &nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp; 104196 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp; 215628 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp; 115097 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/30 | &nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp; 158448 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/31 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17478 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/31 | &nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp; 788079 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp; 211511 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp; 116377 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 2845 | &nbsp;&nbsp; 2794760 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 951 | &nbsp;&nbsp; 933848 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp; 607599 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp; 48246 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; $4 | &nbsp;&nbsp; $4394 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 478 | &nbsp;&nbsp; 468109 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 2423 | &nbsp;&nbsp; 2372335 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 511 | &nbsp;&nbsp; 499240 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp; 257852 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 1231 | &nbsp;&nbsp; 1201439 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 2558 | &nbsp;&nbsp; 2498161 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 2210 | &nbsp;&nbsp; 2156100 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 1688 | &nbsp;&nbsp; 1645909 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 644 | &nbsp;&nbsp; 628763 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp; 257095 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 2483 | &nbsp;&nbsp; 2426729 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 1187 | &nbsp;&nbsp; 1156294 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 478 | &nbsp;&nbsp; 466269 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 1230 | &nbsp;&nbsp; 1199153 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 6494 | &nbsp;&nbsp; 6315756 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 1362 | &nbsp;&nbsp; 1322394 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/33 | &nbsp;&nbsp;&nbsp; 1726 | &nbsp;&nbsp; 1680167 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 1015 | &nbsp;&nbsp; 987012 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp; 191504 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 269 | &nbsp;&nbsp; 261555 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp; 317077 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 1778 | &nbsp;&nbsp; 1724643 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 821 | &nbsp;&nbsp; 795889 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 2671 | &nbsp;&nbsp; 2583235 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; 6893 | &nbsp;&nbsp; 6679813 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 4494 | &nbsp;&nbsp; 4342102 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 1576 | &nbsp;&nbsp; 1523552 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; 3098 | &nbsp;&nbsp; 3014932 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 559 | &nbsp;&nbsp; 538843 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp; 361054 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 1377 | &nbsp;&nbsp; 1330542 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 5638 | &nbsp;&nbsp; 5449561 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 5267 | &nbsp;&nbsp; 5090016 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 217 | &nbsp;&nbsp; 209307 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 2636 | &nbsp;&nbsp; 2545338 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 2703 | &nbsp;&nbsp; 2600430 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 631 | &nbsp;&nbsp; 609181 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 4148 | &nbsp;&nbsp; 4012108 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 6090 | &nbsp;&nbsp; 5859688 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 2456 | &nbsp;&nbsp; 2370364 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 587 | &nbsp;&nbsp; 566243 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 1814 | &nbsp;&nbsp; 1751276 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 1341 | &nbsp;&nbsp; 1294716 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 3075 | &nbsp;&nbsp; 2968525 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 3763 | &nbsp;&nbsp; 3617065 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 319 | &nbsp;&nbsp; 305119 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; 4796 | &nbsp;&nbsp; 4624006 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 16293 | &nbsp;&nbsp; 15604800 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 5464 | &nbsp;&nbsp; 5243903 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 9332 | &nbsp;&nbsp; 8938155 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 4117 | &nbsp;&nbsp; 3943289 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 1428 | &nbsp;&nbsp; 1367966 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 3521 | &nbsp;&nbsp; 3354649 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 1386 | &nbsp;&nbsp; 1318187 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 19852 | &nbsp;&nbsp; 19013647 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 1442 | &nbsp;&nbsp; 1376753 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/39 | &nbsp;&nbsp;&nbsp; 977 | &nbsp;&nbsp; 932247 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/39 | &nbsp;&nbsp;&nbsp; 38221 | &nbsp;&nbsp; 36495438 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/40 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12114 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/40 | &nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp; 198192 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/40 | &nbsp;&nbsp;&nbsp; $466 | &nbsp;&nbsp; $430947 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/41 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 33830 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/41 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10510 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/41 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 26358 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/41 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 16560 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/41 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7488 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/41 | &nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp; 124413 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/41 | &nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp; 134772 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/42 | &nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp; 693923 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/42 | &nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp; 682982 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/42 | &nbsp;&nbsp;&nbsp; 10117 | &nbsp;&nbsp; 9357889 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/42 | &nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp; 254965 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/42 | &nbsp;&nbsp;&nbsp; 2053 | &nbsp;&nbsp; 1899702 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/42 | &nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp; 153344 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/42 | &nbsp;&nbsp;&nbsp; 1588 | &nbsp;&nbsp; 1468161 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/42 | &nbsp;&nbsp;&nbsp; 11383 | &nbsp;&nbsp; 10530475 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/42 | &nbsp;&nbsp;&nbsp; 3497 | &nbsp;&nbsp; 3234346 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/42 | &nbsp;&nbsp;&nbsp; 9744 | &nbsp;&nbsp; 9012879 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/42 | &nbsp;&nbsp;&nbsp; 1317 | &nbsp;&nbsp; 1218190 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/42 | &nbsp;&nbsp;&nbsp; 8487 | &nbsp;&nbsp; 7849514 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; 632 | &nbsp;&nbsp; 584704 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/43 | &nbsp;&nbsp;&nbsp; 4016 | &nbsp;&nbsp; 3711554 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/43 | &nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp; 456439 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/43 | &nbsp;&nbsp;&nbsp; 1301 | &nbsp;&nbsp; 1203020 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/43 | &nbsp;&nbsp;&nbsp; 6545 | &nbsp;&nbsp; 6048440 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/43 | &nbsp;&nbsp;&nbsp; 12189 | &nbsp;&nbsp; 11275750 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/43 | &nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp; 182275 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/43 | &nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp; 170637 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/43 | &nbsp;&nbsp;&nbsp; 1693 | &nbsp;&nbsp; 1565403 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/43 | &nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp; 168906 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/43 | &nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp; 132471 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/44 | &nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp; 226960 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/44 | &nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp; 272823 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/44 | &nbsp;&nbsp;&nbsp; 6061 | &nbsp;&nbsp; 5602845 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/44 | &nbsp;&nbsp;&nbsp; 1689 | &nbsp;&nbsp; 1560879 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/44 | &nbsp;&nbsp;&nbsp; 596 | &nbsp;&nbsp; 546347 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/44 | &nbsp;&nbsp;&nbsp; 1044 | &nbsp;&nbsp; 956215 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/44 | &nbsp;&nbsp;&nbsp; 3982 | &nbsp;&nbsp; 3623559 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/44 | &nbsp;&nbsp;&nbsp; 12224 | &nbsp;&nbsp; 11192132 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/44 | &nbsp;&nbsp;&nbsp; 794 | &nbsp;&nbsp; 717767 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/45 | &nbsp;&nbsp;&nbsp; 12032 | &nbsp;&nbsp; 11029422 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/45 | &nbsp;&nbsp;&nbsp; 9240 | &nbsp;&nbsp; 8499667 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/45 | &nbsp;&nbsp;&nbsp; 1696 | &nbsp;&nbsp; 1528250 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 1603 | &nbsp;&nbsp; 1464804 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/45 | &nbsp;&nbsp;&nbsp; 747 | &nbsp;&nbsp; 679615 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/45 | &nbsp;&nbsp;&nbsp; 4563 | &nbsp;&nbsp; 4167507 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/45 | &nbsp;&nbsp;&nbsp; 7333 | &nbsp;&nbsp; 6701067 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/45 | &nbsp;&nbsp;&nbsp; 17115 | &nbsp;&nbsp; 15763913 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/45 | &nbsp;&nbsp;&nbsp; 15625 | &nbsp;&nbsp; 14388274 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/45 | &nbsp;&nbsp;&nbsp; 4007 | &nbsp;&nbsp; 3686230 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/45 | &nbsp;&nbsp;&nbsp; 7047 | &nbsp;&nbsp; 6428282 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/45 | &nbsp;&nbsp;&nbsp; 5777 | &nbsp;&nbsp; 5260104 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 16726 | &nbsp;&nbsp; 15334570 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/46 | &nbsp;&nbsp;&nbsp; 27054 | &nbsp;&nbsp; 24623217 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 8059 | &nbsp;&nbsp; 7320925 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/46 | &nbsp;&nbsp;&nbsp; 11826 | &nbsp;&nbsp; 10793968 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 3846 | &nbsp;&nbsp; 3477091 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 7627 | &nbsp;&nbsp; 6924063 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 88387 | &nbsp;&nbsp; 80773611 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 2836 | &nbsp;&nbsp; 2576154 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 8025 | &nbsp;&nbsp; 7229569 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/46 | &nbsp;&nbsp;&nbsp; $13895 | &nbsp;&nbsp; $12653892 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 15665 | &nbsp;&nbsp; 14201878 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 41953 | &nbsp;&nbsp; 38282294 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 27018 | &nbsp;&nbsp; 24531928 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 16723 | &nbsp;&nbsp; 15172354 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/47 | &nbsp;&nbsp;&nbsp; 1955 | &nbsp;&nbsp; 1783069 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 6571 | &nbsp;&nbsp; 5953715 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/47 | &nbsp;&nbsp;&nbsp; 17296 | &nbsp;&nbsp; 15719430 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/47 | &nbsp;&nbsp;&nbsp; 4243 | &nbsp;&nbsp; 3857134 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/47 | &nbsp;&nbsp;&nbsp; 57608 | &nbsp;&nbsp; 52873106 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/47 | &nbsp;&nbsp;&nbsp; 20405 | &nbsp;&nbsp; 18573484 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/47 | &nbsp;&nbsp;&nbsp; 28518 | &nbsp;&nbsp; 25859345 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/47 | &nbsp;&nbsp;&nbsp; 8290 | &nbsp;&nbsp; 7506680 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/47 | &nbsp;&nbsp;&nbsp; 18435 | &nbsp;&nbsp; 16678230 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/47 | &nbsp;&nbsp;&nbsp; 29719 | &nbsp;&nbsp; 26958991 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/48 | &nbsp;&nbsp;&nbsp; 40689 | &nbsp;&nbsp; 36783436 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/48 | &nbsp;&nbsp;&nbsp; 26016 | &nbsp;&nbsp; 23552736 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/48 | &nbsp;&nbsp;&nbsp; 22903 | &nbsp;&nbsp; 20789804 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/48 | &nbsp;&nbsp;&nbsp; 8597 | &nbsp;&nbsp; 7772760 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/48 | &nbsp;&nbsp;&nbsp; 39090 | &nbsp;&nbsp; 35917750 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/48 | &nbsp;&nbsp;&nbsp; 6183 | &nbsp;&nbsp; 5583708 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/48 | &nbsp;&nbsp;&nbsp; 14013 | &nbsp;&nbsp; 12688897 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/48 | &nbsp;&nbsp;&nbsp; 897 | &nbsp;&nbsp; 803165 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/48 | &nbsp;&nbsp;&nbsp; 1517 | &nbsp;&nbsp; 1370276 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/48 | &nbsp;&nbsp;&nbsp; 27234 | &nbsp;&nbsp; 24753786 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/49 | &nbsp;&nbsp;&nbsp; 4691 | &nbsp;&nbsp; 4239356 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/49 | &nbsp;&nbsp;&nbsp; 3809 | &nbsp;&nbsp; 3433083 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/49 | &nbsp;&nbsp;&nbsp; 2723 | &nbsp;&nbsp; 2439826 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/49 | &nbsp;&nbsp;&nbsp; 5763 | &nbsp;&nbsp; 5152547 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/49 | &nbsp;&nbsp;&nbsp; 33071 | &nbsp;&nbsp; 29804865 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/49 | &nbsp;&nbsp;&nbsp; 80749 | &nbsp;&nbsp; 72952469 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/49 | &nbsp;&nbsp;&nbsp; 62515 | &nbsp;&nbsp; 56325703 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/49 | &nbsp;&nbsp;&nbsp; 16134 | &nbsp;&nbsp; 14374188 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/49 | &nbsp;&nbsp;&nbsp; 1135 | &nbsp;&nbsp; 1019326 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/49 | &nbsp;&nbsp;&nbsp; 10812 | &nbsp;&nbsp; 9780233 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/49 | &nbsp;&nbsp;&nbsp; 19427 | &nbsp;&nbsp; 17482494 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/50 | &nbsp;&nbsp;&nbsp; 7135 | &nbsp;&nbsp; 6438104 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/50 | &nbsp;&nbsp;&nbsp; 7706 | &nbsp;&nbsp; 6938434 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/50 | &nbsp;&nbsp;&nbsp; 4768 | &nbsp;&nbsp; 4311375 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/50 | &nbsp;&nbsp;&nbsp; 17349 | &nbsp;&nbsp; 15616629 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/50 | &nbsp;&nbsp;&nbsp; 3958 | &nbsp;&nbsp; 3576132 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/50 | &nbsp;&nbsp;&nbsp; 26264 | &nbsp;&nbsp; 23640505 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/50 | &nbsp;&nbsp;&nbsp; 3601 | &nbsp;&nbsp; 3246096 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/50 | &nbsp;&nbsp;&nbsp; 46244 | &nbsp;&nbsp; 41687675 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/50 | &nbsp;&nbsp;&nbsp; 37225 | &nbsp;&nbsp; 33407537 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/50 | &nbsp;&nbsp;&nbsp; 1730 | &nbsp;&nbsp; 1561604 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp; 150176 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/51 | &nbsp;&nbsp;&nbsp; 30233 | &nbsp;&nbsp; 27230592 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/51 | &nbsp;&nbsp;&nbsp; 1892 | &nbsp;&nbsp; 1684497 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/51 | &nbsp;&nbsp;&nbsp; 3990 | &nbsp;&nbsp; 3586184 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/51 | &nbsp;&nbsp;&nbsp; 11970 | &nbsp;&nbsp; 10717830 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/51 | &nbsp;&nbsp;&nbsp; 8918 | &nbsp;&nbsp; 7938365 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/51 | &nbsp;&nbsp;&nbsp; 1123 | &nbsp;&nbsp; 1002306 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/51 | &nbsp;&nbsp;&nbsp; 6446 | &nbsp;&nbsp; 5759565 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/51 | &nbsp;&nbsp;&nbsp; 4759 | &nbsp;&nbsp; 4255579 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/51 | &nbsp;&nbsp;&nbsp; 57904 | &nbsp;&nbsp; 52227278 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/51 | &nbsp;&nbsp;&nbsp; 14755 | &nbsp;&nbsp; 13172217 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/52 | &nbsp;&nbsp;&nbsp; 39512 | &nbsp;&nbsp; 35378703 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/52 | &nbsp;&nbsp;&nbsp; 46762 | &nbsp;&nbsp; 41734477 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/52 | &nbsp;&nbsp;&nbsp; 24379 | &nbsp;&nbsp; 21676562 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/52 | &nbsp;&nbsp;&nbsp; 54055 | &nbsp;&nbsp; 48442059 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/52 | &nbsp;&nbsp;&nbsp; $42176 | &nbsp;&nbsp; $37558971 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/52 | &nbsp;&nbsp;&nbsp; 142104 | &nbsp;&nbsp; 126929306 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/52 | &nbsp;&nbsp;&nbsp; 17617 | &nbsp;&nbsp; 15741505 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/52 | &nbsp;&nbsp;&nbsp; 93095 | &nbsp;&nbsp; 83218938 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 40400 | &nbsp;&nbsp; 36197904 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/52 | &nbsp;&nbsp;&nbsp; 50620 | &nbsp;&nbsp; 44967825 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/53 | &nbsp;&nbsp;&nbsp; 12841 | &nbsp;&nbsp; 11493164 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/53 | &nbsp;&nbsp;&nbsp; 8879 | &nbsp;&nbsp; 7947482 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 3725 | &nbsp;&nbsp; 3301364 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/54 | &nbsp;&nbsp;&nbsp; 62231 | &nbsp;&nbsp; 55220859 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/55 | &nbsp;&nbsp;&nbsp; 29496 | &nbsp;&nbsp; 26158072 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/25 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1629 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 189 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/25 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9629 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/25 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10252 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/25 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1108 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 357 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 777 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 27222 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1416 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/26 | &nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp; 230486 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/26 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12533 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2202 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/26 | &nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp; 200582 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 96965 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/27 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4868 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6036 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 393 | &nbsp;&nbsp; 388984 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/31 | &nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp; 241802 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp; 171562 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/31 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9212 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/31 | &nbsp;&nbsp;&nbsp; 592 | &nbsp;&nbsp; 585212 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 1558 | &nbsp;&nbsp; 1540068 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3728 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 812 | &nbsp;&nbsp; 802021 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3722 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp; 279097 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9174 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp; 70987 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/33 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 60190 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/33 | &nbsp;&nbsp;&nbsp; 426 | &nbsp;&nbsp; 419416 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 751 | &nbsp;&nbsp; 738042 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 1227 | &nbsp;&nbsp; 1208178 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 640 | &nbsp;&nbsp; 629888 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 39549 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/33 | &nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp; 104500 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/34 | &nbsp;&nbsp;&nbsp; 269 | &nbsp;&nbsp; 264251 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/34 | &nbsp;&nbsp;&nbsp; 458 | &nbsp;&nbsp; 450841 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/34 | &nbsp;&nbsp;&nbsp; 393 | &nbsp;&nbsp; 386891 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp; 367570 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 947 | &nbsp;&nbsp; 929669 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/34 | &nbsp;&nbsp;&nbsp; 878 | &nbsp;&nbsp; 863428 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 526 | &nbsp;&nbsp; 516540 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 3145 | &nbsp;&nbsp; 3093563 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp; 732833 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; $1040 | &nbsp;&nbsp; $1020017 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 2572 | &nbsp;&nbsp; 2530415 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10829 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 2324 | &nbsp;&nbsp; 2259006 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 6442 | &nbsp;&nbsp; 6264508 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 8690 | &nbsp;&nbsp; 8449786 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 14155 | &nbsp;&nbsp; 13752894 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 9074 | &nbsp;&nbsp; 8821841 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 1963 | &nbsp;&nbsp; 1909133 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 1680 | &nbsp;&nbsp; 1633797 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 4170 | &nbsp;&nbsp; 4051796 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 1152 | &nbsp;&nbsp; 1118859 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 2638 | &nbsp;&nbsp; 2562694 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/38 | &nbsp;&nbsp;&nbsp; 1507 | &nbsp;&nbsp; 1463757 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 5428 | &nbsp;&nbsp; 5273054 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/38 | &nbsp;&nbsp;&nbsp; 1136 | &nbsp;&nbsp; 1103697 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/38 | &nbsp;&nbsp;&nbsp; 937 | &nbsp;&nbsp; 910522 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/39 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11119 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 24322 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/39 | &nbsp;&nbsp;&nbsp; 331 | &nbsp;&nbsp; 317854 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/39<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 20425 | &nbsp;&nbsp; 19769008 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/39 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 12973 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/39 | &nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp; 221688 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19524 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 429 | &nbsp;&nbsp; 415424 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/39 | &nbsp;&nbsp;&nbsp; 41394 | &nbsp;&nbsp; 40084705 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 39036 | &nbsp;&nbsp; 37802012 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/40 | &nbsp;&nbsp;&nbsp; 13747 | &nbsp;&nbsp; 13312689 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/40 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13239 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/40 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 29827 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/40 | &nbsp;&nbsp;&nbsp; 765 | &nbsp;&nbsp; 734149 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 681 | &nbsp;&nbsp; 653382 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/40 | &nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp; 281986 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/40 | &nbsp;&nbsp;&nbsp; 4247 | &nbsp;&nbsp; 4079076 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/40 | &nbsp;&nbsp;&nbsp; 1570 | &nbsp;&nbsp; 1508388 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/41 | &nbsp;&nbsp;&nbsp; 7709 | &nbsp;&nbsp; 7404519 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/41 | &nbsp;&nbsp;&nbsp; 718 | &nbsp;&nbsp; 687571 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/41 | &nbsp;&nbsp;&nbsp; 595 | &nbsp;&nbsp; 573011 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/41 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 27251 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/41 | &nbsp;&nbsp;&nbsp; 909 | &nbsp;&nbsp; 875018 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/41 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1341 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/41 | &nbsp;&nbsp;&nbsp; 1685 | &nbsp;&nbsp; 1623869 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/41 | &nbsp;&nbsp;&nbsp; 2221 | &nbsp;&nbsp; 2139673 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/41 | &nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp; 102725 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/41 | &nbsp;&nbsp;&nbsp; 654 | &nbsp;&nbsp; 630197 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/42 | &nbsp;&nbsp;&nbsp; 925 | &nbsp;&nbsp; 890849 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/42 | &nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp; 152944 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/42 | &nbsp;&nbsp;&nbsp; 4343 | &nbsp;&nbsp; 4144996 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/42 | &nbsp;&nbsp;&nbsp; 715 | &nbsp;&nbsp; 681915 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/42 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 27651 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/42 | &nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp; 294420 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/42 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1966 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/42 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3974 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/42 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 64323 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/43 | &nbsp;&nbsp;&nbsp; 1543 | &nbsp;&nbsp; 1473406 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15330 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/43 | &nbsp;&nbsp;&nbsp; 965 | &nbsp;&nbsp; 915909 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp; 123100 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/43 | &nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp; 235968 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/43 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3909 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/44 | &nbsp;&nbsp;&nbsp; 710 | &nbsp;&nbsp; 674231 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/44 | &nbsp;&nbsp;&nbsp; $8 | &nbsp;&nbsp; $7682 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/44 | &nbsp;&nbsp;&nbsp; 918 | &nbsp;&nbsp; 870705 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/44 | &nbsp;&nbsp;&nbsp; 844 | &nbsp;&nbsp; 802279 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/44 | &nbsp;&nbsp;&nbsp; 7724 | &nbsp;&nbsp; 7386209 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/44 | &nbsp;&nbsp;&nbsp; 2232 | &nbsp;&nbsp; 2145441 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/44 | &nbsp;&nbsp;&nbsp; 6251 | &nbsp;&nbsp; 5909635 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/44 | &nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp; 150307 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/44 | &nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp; 131922 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/44 | &nbsp;&nbsp;&nbsp; 10566 | &nbsp;&nbsp; 9993102 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/44 | &nbsp;&nbsp;&nbsp; 4024 | &nbsp;&nbsp; 3803025 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/44 | &nbsp;&nbsp;&nbsp; 2184 | &nbsp;&nbsp; 2050062 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 7499 | &nbsp;&nbsp; 7132797 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/45 | &nbsp;&nbsp;&nbsp; 6034 | &nbsp;&nbsp; 5720527 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/45 | &nbsp;&nbsp;&nbsp; 10023 | &nbsp;&nbsp; 9573095 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/45 | &nbsp;&nbsp;&nbsp; 785 | &nbsp;&nbsp; 737202 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/45 | &nbsp;&nbsp;&nbsp; 5468 | &nbsp;&nbsp; 5177589 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 10813 | &nbsp;&nbsp; 10214716 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/45 | &nbsp;&nbsp;&nbsp; 269 | &nbsp;&nbsp; 252200 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/45 | &nbsp;&nbsp;&nbsp; 10862 | &nbsp;&nbsp; 10206540 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/45 | &nbsp;&nbsp;&nbsp; 2503 | &nbsp;&nbsp; 2353818 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/45 | &nbsp;&nbsp;&nbsp; 6102 | &nbsp;&nbsp; 5732387 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/45 | &nbsp;&nbsp;&nbsp; 643 | &nbsp;&nbsp; 603654 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/46 | &nbsp;&nbsp;&nbsp; 1711 | &nbsp;&nbsp; 1607162 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/46 | &nbsp;&nbsp;&nbsp; 3184 | &nbsp;&nbsp; 2989446 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/46 | &nbsp;&nbsp;&nbsp; 8300 | &nbsp;&nbsp; 7819312 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/46 | &nbsp;&nbsp;&nbsp; 5050 | &nbsp;&nbsp; 4737231 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/46 | &nbsp;&nbsp;&nbsp; 6843 | &nbsp;&nbsp; 6411250 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/46 | &nbsp;&nbsp;&nbsp; 11986 | &nbsp;&nbsp; 11308357 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/46 | &nbsp;&nbsp;&nbsp; 1175 | &nbsp;&nbsp; 1101471 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/46 | &nbsp;&nbsp;&nbsp; 6657 | &nbsp;&nbsp; 6241060 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/46 | &nbsp;&nbsp;&nbsp; 11564 | &nbsp;&nbsp; 10896429 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/46 | &nbsp;&nbsp;&nbsp; 2325 | &nbsp;&nbsp; 2213615 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/46 | &nbsp;&nbsp;&nbsp; 16302 | &nbsp;&nbsp; 15360011 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/47 | &nbsp;&nbsp;&nbsp; 3440 | &nbsp;&nbsp; 3222064 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 2562 | &nbsp;&nbsp; 2403881 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 6894 | &nbsp;&nbsp; 6445216 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 21444 | &nbsp;&nbsp; 20039932 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 8841 | &nbsp;&nbsp; 8267962 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/47 | &nbsp;&nbsp;&nbsp; 30575 | &nbsp;&nbsp; 28569150 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 10965 | &nbsp;&nbsp; 10263931 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 20505 | &nbsp;&nbsp; 19182032 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/47 | &nbsp;&nbsp;&nbsp; 22643 | &nbsp;&nbsp; 21157516 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 23232 | &nbsp;&nbsp; 21695545 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 19365 | &nbsp;&nbsp; 18104497 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/47 | &nbsp;&nbsp;&nbsp; 7576 | &nbsp;&nbsp; 7085406 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/48 | &nbsp;&nbsp;&nbsp; 7567 | &nbsp;&nbsp; 7068554 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/48 | &nbsp;&nbsp;&nbsp; 33263 | &nbsp;&nbsp; 31065120 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/48 | &nbsp;&nbsp;&nbsp; 2462 | &nbsp;&nbsp; 2295929 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 14507 | &nbsp;&nbsp; 13513285 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/48 | &nbsp;&nbsp;&nbsp; 4961 | &nbsp;&nbsp; 4602265 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/48 | &nbsp;&nbsp;&nbsp; 2370 | &nbsp;&nbsp; 2213624 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 9289 | &nbsp;&nbsp; 8655577 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/48 | &nbsp;&nbsp;&nbsp; 3625 | &nbsp;&nbsp; 3382641 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; 15062 | &nbsp;&nbsp; 14035834 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 21923 | &nbsp;&nbsp; 20324214 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 27163 | &nbsp;&nbsp; 25303067 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/48 | &nbsp;&nbsp;&nbsp; 9606 | &nbsp;&nbsp; 8959702 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 26679 | &nbsp;&nbsp; 24921019 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 5629 | &nbsp;&nbsp; 5241066 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/49 | &nbsp;&nbsp;&nbsp; 25324 | &nbsp;&nbsp; 23522789 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 24264 | &nbsp;&nbsp; 22561828 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/49 | &nbsp;&nbsp;&nbsp; $15570 | &nbsp;&nbsp; $14586312 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/49 | &nbsp;&nbsp;&nbsp; 31292 | &nbsp;&nbsp; 29199217 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/49 | &nbsp;&nbsp;&nbsp; 21077 | &nbsp;&nbsp; 19708991 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/49 | &nbsp;&nbsp;&nbsp; 581 | &nbsp;&nbsp; 539558 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/49 | &nbsp;&nbsp;&nbsp; 22185 | &nbsp;&nbsp; 20697447 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/49 | &nbsp;&nbsp;&nbsp; 18683 | &nbsp;&nbsp; 17467089 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/49 | &nbsp;&nbsp;&nbsp; 42218 | &nbsp;&nbsp; 39024080 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/49 | &nbsp;&nbsp;&nbsp; 17588 | &nbsp;&nbsp; 16378838 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/50 | &nbsp;&nbsp;&nbsp; 23873 | &nbsp;&nbsp; 22231303 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/50 | &nbsp;&nbsp;&nbsp; 1156 | &nbsp;&nbsp; 1074872 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/50 | &nbsp;&nbsp;&nbsp; 3176 | &nbsp;&nbsp; 2941809 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/50 | &nbsp;&nbsp;&nbsp; 7975 | &nbsp;&nbsp; 7412032 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/50 | &nbsp;&nbsp;&nbsp; 13532 | &nbsp;&nbsp; 12556948 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/50 | &nbsp;&nbsp;&nbsp; 1554 | &nbsp;&nbsp; 1435775 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/50 | &nbsp;&nbsp;&nbsp; 660 | &nbsp;&nbsp; 611445 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/50 | &nbsp;&nbsp;&nbsp; 10032 | &nbsp;&nbsp; 9319309 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/50 | &nbsp;&nbsp;&nbsp; 7394 | &nbsp;&nbsp; 6843927 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/51 | &nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp; 640612 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/51 | &nbsp;&nbsp;&nbsp; 766 | &nbsp;&nbsp; 711182 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/51 | &nbsp;&nbsp;&nbsp; 19623 | &nbsp;&nbsp; 18280402 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/51 | &nbsp;&nbsp;&nbsp; 19274 | &nbsp;&nbsp; 17903455 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/51 | &nbsp;&nbsp;&nbsp; 15542 | &nbsp;&nbsp; 14380015 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/51 | &nbsp;&nbsp;&nbsp; 7302 | &nbsp;&nbsp; 6783073 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/51 | &nbsp;&nbsp;&nbsp; 8303 | &nbsp;&nbsp; 7703267 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/51 | &nbsp;&nbsp;&nbsp; 1709 | &nbsp;&nbsp; 1581466 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/52 | &nbsp;&nbsp;&nbsp; 2414 | &nbsp;&nbsp; 2220109 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/52 | &nbsp;&nbsp;&nbsp; 39845 | &nbsp;&nbsp; 36771789 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 116105 | &nbsp;&nbsp; 107571392 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/52 | &nbsp;&nbsp;&nbsp; 27134 | &nbsp;&nbsp; 25027966 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/52 | &nbsp;&nbsp;&nbsp; 177458 | &nbsp;&nbsp; 163279919 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/52 | &nbsp;&nbsp;&nbsp; 13866 | &nbsp;&nbsp; 12789586 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/52 | &nbsp;&nbsp;&nbsp; 83611 | &nbsp;&nbsp; 77106089 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/52 | &nbsp;&nbsp;&nbsp; 27408 | &nbsp;&nbsp; 25208415 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/52 | &nbsp;&nbsp;&nbsp; 12643 | &nbsp;&nbsp; 11610782 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/53 | &nbsp;&nbsp;&nbsp; 2254 | &nbsp;&nbsp; 2088942 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/53 | &nbsp;&nbsp;&nbsp; 74649 | &nbsp;&nbsp; 69313825 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/53 | &nbsp;&nbsp;&nbsp; 19159 | &nbsp;&nbsp; 17588269 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/53 | &nbsp;&nbsp;&nbsp; 16250 | &nbsp;&nbsp; 14997805 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/53 | &nbsp;&nbsp;&nbsp; 53016 | &nbsp;&nbsp; 48914116 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/53 | &nbsp;&nbsp;&nbsp; 396 | &nbsp;&nbsp; 364780 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/53 | &nbsp;&nbsp;&nbsp; 10536 | &nbsp;&nbsp; 9744916 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/53 | &nbsp;&nbsp;&nbsp; 23083 | &nbsp;&nbsp; 21164015 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/55 | &nbsp;&nbsp;&nbsp; 24509 | &nbsp;&nbsp; 22466242 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/25 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1864 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/25 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4267 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/25 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 759 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/26 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17802 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/27 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11709 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 323 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 854 | &nbsp;&nbsp; 853968 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp; 289350 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 31269 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 21288 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4502 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10695 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 16568 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp; 222479 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 945 | &nbsp;&nbsp; 947171 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp; 257438 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1289 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $436 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5085 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp; 221327 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 854 | &nbsp;&nbsp; 850725 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp; 81070 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1952 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 784 | &nbsp;&nbsp; 780265 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 301 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1222 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 767 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5416 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1246 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24551 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1367 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2346 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2173 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 421 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp; 95684 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; 4337 | &nbsp;&nbsp; 4280212 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 1026 | &nbsp;&nbsp; 1015600 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 15882 | &nbsp;&nbsp; 15671771 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/38 | &nbsp;&nbsp;&nbsp; 8489 | &nbsp;&nbsp; 8400771 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2278 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; 4584 | &nbsp;&nbsp; 4523163 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 540 | &nbsp;&nbsp; 532015 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 35067 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 1115 | &nbsp;&nbsp; 1101204 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/39 | &nbsp;&nbsp;&nbsp; 1664 | &nbsp;&nbsp; 1641672 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/39 | &nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp; 114686 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/39 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 125767 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/39 | &nbsp;&nbsp;&nbsp; 1830 | &nbsp;&nbsp; 1806943 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 53342 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 3850 | &nbsp;&nbsp; 3801101 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/39 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22378 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/39 | &nbsp;&nbsp;&nbsp; 15169 | &nbsp;&nbsp; 14947530 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/40 | &nbsp;&nbsp;&nbsp; 1243 | &nbsp;&nbsp; 1228142 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/40 | &nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp; 231315 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/40 | &nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp; 194990 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/40 | &nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp; 77653 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp; 116459 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/40 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 20421 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/40 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 40108 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/40 | &nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp; 93970 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/40 | &nbsp;&nbsp;&nbsp; 1624 | &nbsp;&nbsp; 1603847 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/40 | &nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp; 214868 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/40 | &nbsp;&nbsp;&nbsp; 1659 | &nbsp;&nbsp; 1637199 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/41 | &nbsp;&nbsp;&nbsp; 1642 | &nbsp;&nbsp; 1620582 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/41 | &nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp; 302206 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/41 | &nbsp;&nbsp;&nbsp; 1832 | &nbsp;&nbsp; 1802392 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/41 | &nbsp;&nbsp;&nbsp; 11197 | &nbsp;&nbsp; 11017929 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/41 | &nbsp;&nbsp;&nbsp; 9878 | &nbsp;&nbsp; 9722799 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/41 | &nbsp;&nbsp;&nbsp; 4086 | &nbsp;&nbsp; 4018239 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/41 | &nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp; 250463 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/41 | &nbsp;&nbsp;&nbsp; 2619 | &nbsp;&nbsp; 2574675 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/41 | &nbsp;&nbsp;&nbsp; 4097 | &nbsp;&nbsp; 4027913 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/41 | &nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp; 73890 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/41 | &nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp; 215222 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/41 | &nbsp;&nbsp;&nbsp; $2060 | &nbsp;&nbsp; $2025709 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/42 | &nbsp;&nbsp;&nbsp; 2205 | &nbsp;&nbsp; 2168501 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/42 | &nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp; 81903 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/42 | &nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp; 2204029 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/42 | &nbsp;&nbsp;&nbsp; 1168 | &nbsp;&nbsp; 1146006 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/42 | &nbsp;&nbsp;&nbsp; 1483 | &nbsp;&nbsp; 1461776 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp; 112341 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/43 | &nbsp;&nbsp;&nbsp; 1964 | &nbsp;&nbsp; 1927810 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/43 | &nbsp;&nbsp;&nbsp; 606 | &nbsp;&nbsp; 596035 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/43 | &nbsp;&nbsp;&nbsp; 1635 | &nbsp;&nbsp; 1603581 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/43 | &nbsp;&nbsp;&nbsp; 1016 | &nbsp;&nbsp; 997059 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/44 | &nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp; 215728 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/44 | &nbsp;&nbsp;&nbsp; 392 | &nbsp;&nbsp; 384121 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/44 | &nbsp;&nbsp;&nbsp; 5778 | &nbsp;&nbsp; 5669622 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/44 | &nbsp;&nbsp;&nbsp; 8152 | &nbsp;&nbsp; 7991496 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/44 | &nbsp;&nbsp;&nbsp; 442 | &nbsp;&nbsp; 428872 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/44 | &nbsp;&nbsp;&nbsp; 1174 | &nbsp;&nbsp; 1150266 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/44 | &nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp; 181986 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/44 | &nbsp;&nbsp;&nbsp; 841 | &nbsp;&nbsp; 819090 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/44 | &nbsp;&nbsp;&nbsp; 5849 | &nbsp;&nbsp; 5739300 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/44 | &nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp; 159009 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/44 | &nbsp;&nbsp;&nbsp; 7816 | &nbsp;&nbsp; 7669982 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/44 | &nbsp;&nbsp;&nbsp; 5881 | &nbsp;&nbsp; 5728643 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/45 | &nbsp;&nbsp;&nbsp; 711 | &nbsp;&nbsp; 692328 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/45 | &nbsp;&nbsp;&nbsp; 7087 | &nbsp;&nbsp; 6897801 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/45 | &nbsp;&nbsp;&nbsp; 943 | &nbsp;&nbsp; 912846 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4166 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/45 | &nbsp;&nbsp;&nbsp; 1748 | &nbsp;&nbsp; 1702904 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/45 | &nbsp;&nbsp;&nbsp; 293 | &nbsp;&nbsp; 284925 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/45 | &nbsp;&nbsp;&nbsp; 4388 | &nbsp;&nbsp; 4274680 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/45 | &nbsp;&nbsp;&nbsp; 356 | &nbsp;&nbsp; 346663 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/45 | &nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp; 99028 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp; 75053 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/46 | &nbsp;&nbsp;&nbsp; 5402 | &nbsp;&nbsp; 5295701 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 16678 | &nbsp;&nbsp; 16455968 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/46 | &nbsp;&nbsp;&nbsp; 3897 | &nbsp;&nbsp; 3776263 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 788 | &nbsp;&nbsp; 763309 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 931 | &nbsp;&nbsp; 913478 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 769 | &nbsp;&nbsp; 741810 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 5176 | &nbsp;&nbsp; 5054834 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 459 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp; 143443 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/46 | &nbsp;&nbsp;&nbsp; 622 | &nbsp;&nbsp; 598683 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp; 73674 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 396 | &nbsp;&nbsp; 381523 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 574 | &nbsp;&nbsp; 551784 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp; 339154 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/47 | &nbsp;&nbsp;&nbsp; 955 | &nbsp;&nbsp; 919657 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 10957 | &nbsp;&nbsp; 10704303 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/47 | &nbsp;&nbsp;&nbsp; 1383 | &nbsp;&nbsp; 1330267 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/47 | &nbsp;&nbsp;&nbsp; 6745 | &nbsp;&nbsp; 6479191 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/47 | &nbsp;&nbsp;&nbsp; 1817 | &nbsp;&nbsp; 1746863 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/47 | &nbsp;&nbsp;&nbsp; 3941 | &nbsp;&nbsp; 3806788 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/47 | &nbsp;&nbsp;&nbsp; 3014 | &nbsp;&nbsp; 2892085 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/47 | &nbsp;&nbsp;&nbsp; 5296 | &nbsp;&nbsp; 5098574 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/47 | &nbsp;&nbsp;&nbsp; 1823 | &nbsp;&nbsp; 1755446 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/47 | &nbsp;&nbsp;&nbsp; 601 | &nbsp;&nbsp; 579236 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/48 | &nbsp;&nbsp;&nbsp; 1371 | &nbsp;&nbsp; 1317063 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/48 | &nbsp;&nbsp;&nbsp; 4037 | &nbsp;&nbsp; 3883678 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/48 | &nbsp;&nbsp;&nbsp; 475 | &nbsp;&nbsp; 456972 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/48 | &nbsp;&nbsp;&nbsp; 11160 | &nbsp;&nbsp; 10715946 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/48 | &nbsp;&nbsp;&nbsp; $2700 | &nbsp;&nbsp; $2595409 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/48 | &nbsp;&nbsp;&nbsp; 3216 | &nbsp;&nbsp; 3083594 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/48 | &nbsp;&nbsp;&nbsp; 3022 | &nbsp;&nbsp; 2895686 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/48 | &nbsp;&nbsp;&nbsp; 24017 | &nbsp;&nbsp; 23081836 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/48 | &nbsp;&nbsp;&nbsp; 9504 | &nbsp;&nbsp; 9132649 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/48 | &nbsp;&nbsp;&nbsp; 12273 | &nbsp;&nbsp; 11783970 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/48 | &nbsp;&nbsp;&nbsp; 7201 | &nbsp;&nbsp; 6924940 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/48 | &nbsp;&nbsp;&nbsp; 32404 | &nbsp;&nbsp; 31134551 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/49 | &nbsp;&nbsp;&nbsp; 14861 | &nbsp;&nbsp; 14279877 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/49 | &nbsp;&nbsp;&nbsp; 12572 | &nbsp;&nbsp; 12071314 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/49 | &nbsp;&nbsp;&nbsp; 7631 | &nbsp;&nbsp; 7296774 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/49 | &nbsp;&nbsp;&nbsp; 8201 | &nbsp;&nbsp; 7891241 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/49 | &nbsp;&nbsp;&nbsp; 9301 | &nbsp;&nbsp; 8920903 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/49 | &nbsp;&nbsp;&nbsp; 1585 | &nbsp;&nbsp; 1516732 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/49 | &nbsp;&nbsp;&nbsp; 2936 | &nbsp;&nbsp; 2809838 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/49 | &nbsp;&nbsp;&nbsp; 1807 | &nbsp;&nbsp; 1725441 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/49 | &nbsp;&nbsp;&nbsp; 5467 | &nbsp;&nbsp; 5229541 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/49 | &nbsp;&nbsp;&nbsp; 1797 | &nbsp;&nbsp; 1719294 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/49 | &nbsp;&nbsp;&nbsp; 18652 | &nbsp;&nbsp; 17886823 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/49 | &nbsp;&nbsp;&nbsp; 10150 | &nbsp;&nbsp; 9762541 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/50 | &nbsp;&nbsp;&nbsp; 1325 | &nbsp;&nbsp; 1271780 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/50 | &nbsp;&nbsp;&nbsp; 16896 | &nbsp;&nbsp; 16206628 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/50 | &nbsp;&nbsp;&nbsp; 6920 | &nbsp;&nbsp; 6612157 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/50 | &nbsp;&nbsp;&nbsp; 32429 | &nbsp;&nbsp; 31182271 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/50 | &nbsp;&nbsp;&nbsp; 16755 | &nbsp;&nbsp; 16026711 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/50 | &nbsp;&nbsp;&nbsp; 452 | &nbsp;&nbsp; 431815 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/50 | &nbsp;&nbsp;&nbsp; 526 | &nbsp;&nbsp; 503464 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/50 | &nbsp;&nbsp;&nbsp; 29925 | &nbsp;&nbsp; 28700634 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp; 303067 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/51 | &nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp; 175038 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/51 | &nbsp;&nbsp;&nbsp; 9762 | &nbsp;&nbsp; 9341550 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/51 | &nbsp;&nbsp;&nbsp; 14439 | &nbsp;&nbsp; 13803503 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/52 | &nbsp;&nbsp;&nbsp; 3461 | &nbsp;&nbsp; 3315375 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/52 | &nbsp;&nbsp;&nbsp; 32807 | &nbsp;&nbsp; 31134593 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/52 | &nbsp;&nbsp;&nbsp; 81855 | &nbsp;&nbsp; 77536664 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/52 | &nbsp;&nbsp;&nbsp; 44774 | &nbsp;&nbsp; 42404585 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 76628 | &nbsp;&nbsp; 72494475 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/52 | &nbsp;&nbsp;&nbsp; 103068 | &nbsp;&nbsp; 97700428 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/52 | &nbsp;&nbsp;&nbsp; 15416 | &nbsp;&nbsp; 14632417 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/52 | &nbsp;&nbsp;&nbsp; 46660 | &nbsp;&nbsp; 44310034 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/53 | &nbsp;&nbsp;&nbsp; 18715 | &nbsp;&nbsp; 17703540 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/53 | &nbsp;&nbsp;&nbsp; 25086 | &nbsp;&nbsp; 23761281 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/53 | &nbsp;&nbsp;&nbsp; 26341 | &nbsp;&nbsp; 24898484 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/53 | &nbsp;&nbsp;&nbsp; 30402 | &nbsp;&nbsp; 28801289 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/53 | &nbsp;&nbsp;&nbsp; 8144 | &nbsp;&nbsp; 7712574 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/53 | &nbsp;&nbsp;&nbsp; 2299 | &nbsp;&nbsp; 2184389 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/53 | &nbsp;&nbsp;&nbsp; 14565 | &nbsp;&nbsp; 13796557 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/53 | &nbsp;&nbsp;&nbsp; 1226 | &nbsp;&nbsp; 1158183 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/53 | &nbsp;&nbsp;&nbsp; 8236 | &nbsp;&nbsp; 7831025 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/54 | &nbsp;&nbsp;&nbsp; 43433 | &nbsp;&nbsp; 41052677 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/54 | &nbsp;&nbsp;&nbsp; 1913 | &nbsp;&nbsp; 1805445 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/54 | &nbsp;&nbsp;&nbsp; 10461 | &nbsp;&nbsp; 9871564 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/54 | &nbsp;&nbsp;&nbsp; 14204 | &nbsp;&nbsp; 13512957 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/54 | &nbsp;&nbsp;&nbsp; 14937 | &nbsp;&nbsp; 14126368 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 60350 | &nbsp;&nbsp; 56913209 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/54 | &nbsp;&nbsp;&nbsp; 2351 | &nbsp;&nbsp; 2218564 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/54 | &nbsp;&nbsp;&nbsp; 1949 | &nbsp;&nbsp; 1838944 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/54 | &nbsp;&nbsp;&nbsp; 59741 | &nbsp;&nbsp; 56406362 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/55 | &nbsp;&nbsp;&nbsp; 12301 | &nbsp;&nbsp; 11647498 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1104 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1976 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; $13 | &nbsp;&nbsp; $13679 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 820 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/33 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 61487 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp; 216066 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18047 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 418 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 984 | &nbsp;&nbsp; 993772 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1948 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/34 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15271 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/34 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12900 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp; 447221 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 423 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5421 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15964 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2754 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6441 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp; 142836 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/35 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 111005 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/35 | &nbsp;&nbsp;&nbsp; 494 | &nbsp;&nbsp; 498362 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/35 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 29317 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/35 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7576 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4994 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 55487 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 623 | &nbsp;&nbsp; 628647 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 474 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp; 46986 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 400 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp; 93156 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 422 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 32991 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp; 292679 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 342 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2945 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11099 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/36 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5755 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 368 | &nbsp;&nbsp; 371325 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 652 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp; 283177 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 28431 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15112 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 535 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1743 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1224 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11156 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6785 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1323 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7307 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4756 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp; 275405 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2985 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 466 | &nbsp;&nbsp; 469552 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 29932 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 443 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp; 63761 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 960 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 851 | &nbsp;&nbsp; 854161 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1662 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; $62 | &nbsp;&nbsp; $62172 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 454 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3925 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/39 | &nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp; 146256 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/39 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13607 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/39 | &nbsp;&nbsp;&nbsp; 290 | &nbsp;&nbsp; 292151 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 395 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 2597 | &nbsp;&nbsp; 2612977 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 734 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/39 | &nbsp;&nbsp;&nbsp; 536 | &nbsp;&nbsp; 538845 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/39 | &nbsp;&nbsp;&nbsp; 478 | &nbsp;&nbsp; 482680 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/39 | &nbsp;&nbsp;&nbsp; 1784 | &nbsp;&nbsp; 1788997 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/39 | &nbsp;&nbsp;&nbsp; 2697 | &nbsp;&nbsp; 2713146 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 323 | &nbsp;&nbsp; 324216 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp; 303074 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/39 | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 45399 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 1021 | &nbsp;&nbsp; 1027343 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/40 | &nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp; 79117 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/40 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 34296 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/40 | &nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp; 185705 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/40 | &nbsp;&nbsp;&nbsp; 649 | &nbsp;&nbsp; 652285 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/40 | &nbsp;&nbsp;&nbsp; 7105 | &nbsp;&nbsp; 7136032 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/40 | &nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp; 160753 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/40 | &nbsp;&nbsp;&nbsp; 756 | &nbsp;&nbsp; 758303 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/40 | &nbsp;&nbsp;&nbsp; 3869 | &nbsp;&nbsp; 3893581 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 526 | &nbsp;&nbsp; 527470 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/40 | &nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp; 114047 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/40 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13024 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/40 | &nbsp;&nbsp;&nbsp; 882 | &nbsp;&nbsp; 885470 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/41 | &nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp; 130417 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/41 | &nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp; 354099 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/41 | &nbsp;&nbsp;&nbsp; 1215 | &nbsp;&nbsp; 1219746 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/41 | &nbsp;&nbsp;&nbsp; 1699 | &nbsp;&nbsp; 1706459 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/41 | &nbsp;&nbsp;&nbsp; 5401 | &nbsp;&nbsp; 5424308 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/41 | &nbsp;&nbsp;&nbsp; 809 | &nbsp;&nbsp; 811393 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/41 | &nbsp;&nbsp;&nbsp; 339 | &nbsp;&nbsp; 341095 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/41 | &nbsp;&nbsp;&nbsp; 911 | &nbsp;&nbsp; 915065 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/41 | &nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp; 83184 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/42 | &nbsp;&nbsp;&nbsp; 329 | &nbsp;&nbsp; 330660 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18569 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/43 | &nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp; 309292 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 789 | &nbsp;&nbsp; 788602 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/43 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 39712 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/43 | &nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp; 97416 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/44 | &nbsp;&nbsp;&nbsp; 1202 | &nbsp;&nbsp; 1202228 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/44 | &nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp; 373939 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/44 | &nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp; 140749 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/44 | &nbsp;&nbsp;&nbsp; 778 | &nbsp;&nbsp; 782954 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/44 | &nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp; 109648 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/44 | &nbsp;&nbsp;&nbsp; 651 | &nbsp;&nbsp; 650197 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/44 | &nbsp;&nbsp;&nbsp; 24603 | &nbsp;&nbsp; 24824917 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4973 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 2453 | &nbsp;&nbsp; 2463780 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15848 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp; 45491 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 377 | &nbsp;&nbsp; 372890 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 449 | &nbsp;&nbsp; 451536 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp; 142204 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/47 | &nbsp;&nbsp;&nbsp; 654 | &nbsp;&nbsp; 645790 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 386 | &nbsp;&nbsp; 380097 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp; 65349 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/48 | &nbsp;&nbsp;&nbsp; $422 | &nbsp;&nbsp; $416710 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/48 | &nbsp;&nbsp;&nbsp; 1173 | &nbsp;&nbsp; 1158667 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 1403 | &nbsp;&nbsp; 1385212 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/48 | &nbsp;&nbsp;&nbsp; 1393 | &nbsp;&nbsp; 1374268 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 2769 | &nbsp;&nbsp; 2735422 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/48 | &nbsp;&nbsp;&nbsp; 4366 | &nbsp;&nbsp; 4310258 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; 4262 | &nbsp;&nbsp; 4206709 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 2382 | &nbsp;&nbsp; 2353714 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 10448 | &nbsp;&nbsp; 10311796 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/48 | &nbsp;&nbsp;&nbsp; 1055 | &nbsp;&nbsp; 1041809 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 8725 | &nbsp;&nbsp; 8617832 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 4392 | &nbsp;&nbsp; 4334045 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/49 | &nbsp;&nbsp;&nbsp; 10629 | &nbsp;&nbsp; 10492382 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 13601 | &nbsp;&nbsp; 13424520 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/49 | &nbsp;&nbsp;&nbsp; 1786 | &nbsp;&nbsp; 1763559 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/49 | &nbsp;&nbsp;&nbsp; 6661 | &nbsp;&nbsp; 6574293 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/49 | &nbsp;&nbsp;&nbsp; 14307 | &nbsp;&nbsp; 14141237 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/49 | &nbsp;&nbsp;&nbsp; 9891 | &nbsp;&nbsp; 9763207 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/49 | &nbsp;&nbsp;&nbsp; 20666 | &nbsp;&nbsp; 20388218 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/49 | &nbsp;&nbsp;&nbsp; 788 | &nbsp;&nbsp; 777409 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/49 | &nbsp;&nbsp;&nbsp; 998 | &nbsp;&nbsp; 984978 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/50 | &nbsp;&nbsp;&nbsp; 1445 | &nbsp;&nbsp; 1426739 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/50 | &nbsp;&nbsp;&nbsp; 768 | &nbsp;&nbsp; 746298 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/50 | &nbsp;&nbsp;&nbsp; 474 | &nbsp;&nbsp; 460484 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/50 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24076 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/50 | &nbsp;&nbsp;&nbsp; 3028 | &nbsp;&nbsp; 2989205 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/51 | &nbsp;&nbsp;&nbsp; 1106 | &nbsp;&nbsp; 1074507 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 6248 | &nbsp;&nbsp; 6078812 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/52 | &nbsp;&nbsp;&nbsp; 39183 | &nbsp;&nbsp; 38160281 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/52 | &nbsp;&nbsp;&nbsp; 54545 | &nbsp;&nbsp; 53303760 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/52 | &nbsp;&nbsp;&nbsp; 75593 | &nbsp;&nbsp; 73622733 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/52 | &nbsp;&nbsp;&nbsp; 40993 | &nbsp;&nbsp; 39935694 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/52 | &nbsp;&nbsp;&nbsp; 145215 | &nbsp;&nbsp; 141485271 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/52 | &nbsp;&nbsp;&nbsp; 47571 | &nbsp;&nbsp; 46414010 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/53 | &nbsp;&nbsp;&nbsp; 100582 | &nbsp;&nbsp; 98096666 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/53 | &nbsp;&nbsp;&nbsp; 7850 | &nbsp;&nbsp; 7645538 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/53 | &nbsp;&nbsp;&nbsp; 36171 | &nbsp;&nbsp; 35146456 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/53 | &nbsp;&nbsp;&nbsp; 111334 | &nbsp;&nbsp; 108135785 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/53 | &nbsp;&nbsp;&nbsp; 83924 | &nbsp;&nbsp; 81667288 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/53 | &nbsp;&nbsp;&nbsp; 26392 | &nbsp;&nbsp; 25724254 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/53 | &nbsp;&nbsp;&nbsp; 33150 | &nbsp;&nbsp; 32230082 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/53 | &nbsp;&nbsp;&nbsp; 12076 | &nbsp;&nbsp; 11718889 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/53 | &nbsp;&nbsp;&nbsp; 79252 | &nbsp;&nbsp; 77116629 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/53 | &nbsp;&nbsp;&nbsp; 27194 | &nbsp;&nbsp; 26389742 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/53 | &nbsp;&nbsp;&nbsp; 5378 | &nbsp;&nbsp; 5215195 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/54 | &nbsp;&nbsp;&nbsp; 33440 | &nbsp;&nbsp; 32442170 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/54 | &nbsp;&nbsp;&nbsp; 13040 | &nbsp;&nbsp; 12707168 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/54 | &nbsp;&nbsp;&nbsp; 6644 | &nbsp;&nbsp; 6448324 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 66472 | &nbsp;&nbsp; 64335335 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/54 | &nbsp;&nbsp;&nbsp; 14789 | &nbsp;&nbsp; 14387656 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/54 | &nbsp;&nbsp;&nbsp; 5826 | &nbsp;&nbsp; 5687751 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/54 | &nbsp;&nbsp;&nbsp; 28913 | &nbsp;&nbsp; 28001945 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/54 | &nbsp;&nbsp;&nbsp; 99693 | &nbsp;&nbsp; 96641914 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/54 | &nbsp;&nbsp;&nbsp; 30489 | &nbsp;&nbsp; 29601066 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/55 | &nbsp;&nbsp;&nbsp; 78930 | &nbsp;&nbsp; 76499503 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/55 | &nbsp;&nbsp;&nbsp; 41530 | &nbsp;&nbsp; 40293693 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/28 | &nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp; 48203 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 931 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 91 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; $6 | &nbsp;&nbsp; $5964 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 336 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3995 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1092 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 231 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3524 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19564 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3915 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15895 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 844 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp; 39461 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 747 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/33 | &nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp; 365660 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24319 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp; 76219 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1022 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2739 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp; 312092 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 709 | &nbsp;&nbsp; 726554 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 24767 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15465 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 358 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6000 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 35670 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 33428 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14462 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 489 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6928 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 541 | &nbsp;&nbsp; 554937 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15173 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 356 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9519 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 27042 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 48028 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 19200 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13809 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 221 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7456 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 819 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13377 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15260 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7206 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 140551 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 776 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9462 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 27748 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 23048 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14165 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 52151 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 512 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/36 | &nbsp;&nbsp;&nbsp; 909 | &nbsp;&nbsp; 930517 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/36 | &nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp; 232290 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 513 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8131 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; $19 | &nbsp;&nbsp; $19036 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 1303 | &nbsp;&nbsp; 1335116 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/36 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4072 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 12697 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 500 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16556 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 201 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18875 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 44889 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 28867 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5895 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp; 182504 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 380 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 99528 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13726 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 627 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 1189 | &nbsp;&nbsp; 1218455 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 392 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1506 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 647 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7939 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 37496 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10417 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 22993 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp; 504083 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 311 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp; 47419 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp; 172667 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp; 173454 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1292 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp; 308007 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 508 | &nbsp;&nbsp; 522189 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4941 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2641 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 667 | &nbsp;&nbsp; 683348 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23380 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 30548 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 27288 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8641 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15207 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/39 | &nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp; 108496 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/39 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11750 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/39 | &nbsp;&nbsp;&nbsp; 3397 | &nbsp;&nbsp; 3478419 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20455 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4733 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/39 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22536 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/39 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 52780 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/40 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26383 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp; 98893 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/40 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 50874 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/40 | &nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp; 1179831 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/40 | &nbsp;&nbsp;&nbsp; 2730 | &nbsp;&nbsp; 2797870 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/41 | &nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp; 215040 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/41 | &nbsp;&nbsp;&nbsp; $4887 | &nbsp;&nbsp; $5006345 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/44 | &nbsp;&nbsp;&nbsp; 4104 | &nbsp;&nbsp; 4205180 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 1256 | &nbsp;&nbsp; 1287238 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/48 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 72734 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/48 | &nbsp;&nbsp;&nbsp; 1586 | &nbsp;&nbsp; 1607747 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/48 | &nbsp;&nbsp;&nbsp; 1645 | &nbsp;&nbsp; 1667001 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/49 | &nbsp;&nbsp;&nbsp; 2406 | &nbsp;&nbsp; 2437609 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/49 | &nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp; 446277 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/49 | &nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp; 84323 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/49 | &nbsp;&nbsp;&nbsp; 7822 | &nbsp;&nbsp; 7923700 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/52 | &nbsp;&nbsp;&nbsp; 78230 | &nbsp;&nbsp; 78222107 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 33268 | &nbsp;&nbsp; 33285407 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/52 | &nbsp;&nbsp;&nbsp; 1264 | &nbsp;&nbsp; 1264794 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/52 | &nbsp;&nbsp;&nbsp; 47473 | &nbsp;&nbsp; 47337432 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/52 | &nbsp;&nbsp;&nbsp; 112680 | &nbsp;&nbsp; 112470410 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/53 | &nbsp;&nbsp;&nbsp; 59207 | &nbsp;&nbsp; 58924245 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/53 | &nbsp;&nbsp;&nbsp; 116147 | &nbsp;&nbsp; 115838293 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/53 | &nbsp;&nbsp;&nbsp; 61115 | &nbsp;&nbsp; 60724508 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/53 | &nbsp;&nbsp;&nbsp; 81836 | &nbsp;&nbsp; 81558931 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/53 | &nbsp;&nbsp;&nbsp; 227792 | &nbsp;&nbsp; 226028233 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/53 | &nbsp;&nbsp;&nbsp; 125089 | &nbsp;&nbsp; 124671121 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/53 | &nbsp;&nbsp;&nbsp; 86743 | &nbsp;&nbsp; 86236172 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/53 | &nbsp;&nbsp;&nbsp; 47999 | &nbsp;&nbsp; 47731889 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/53 | &nbsp;&nbsp;&nbsp; 129590 | &nbsp;&nbsp; 128743412 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/53 | &nbsp;&nbsp;&nbsp; 82671 | &nbsp;&nbsp; 82154703 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/53 | &nbsp;&nbsp;&nbsp; 61213 | &nbsp;&nbsp; 60971714 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/54 | &nbsp;&nbsp;&nbsp; 100284 | &nbsp;&nbsp; 99430489 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/54 | &nbsp;&nbsp;&nbsp; 87886 | &nbsp;&nbsp; 87271301 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/54 | &nbsp;&nbsp;&nbsp; 89988 | &nbsp;&nbsp; 89414095 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/54 | &nbsp;&nbsp;&nbsp; 75828 | &nbsp;&nbsp; 75528626 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/54 | &nbsp;&nbsp;&nbsp; 31237 | &nbsp;&nbsp; 30997972 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 265804 | &nbsp;&nbsp; 263122434 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/54 | &nbsp;&nbsp;&nbsp; 9157 | &nbsp;&nbsp; 9138543 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/54 | &nbsp;&nbsp;&nbsp; 83925 | &nbsp;&nbsp; 83513073 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/54 | &nbsp;&nbsp;&nbsp; 24369 | &nbsp;&nbsp; 24320409 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/54 | &nbsp;&nbsp;&nbsp; 30775 | &nbsp;&nbsp; 30660189 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/54 | &nbsp;&nbsp;&nbsp; 150435 | &nbsp;&nbsp; 150269297 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/54 | &nbsp;&nbsp;&nbsp; 10370 | &nbsp;&nbsp; 10325817 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/55 | &nbsp;&nbsp;&nbsp; 53262 | &nbsp;&nbsp; 52759795 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/55 | &nbsp;&nbsp;&nbsp; 44875 | &nbsp;&nbsp; 44531974 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/55 | &nbsp;&nbsp;&nbsp; 23679 | &nbsp;&nbsp; 23569397 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 329 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 427 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 684 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1163 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 973 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 392 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 803 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 968 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1004 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 497 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 653 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1313 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 285 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3523 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 270 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $1493 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 579 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 286 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 416 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1633 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21497 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14742 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 556 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14089 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2978 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 346 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11952 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1383 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1585 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1245 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/33 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12853 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/34 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2669 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/34 | &nbsp;&nbsp;&nbsp; 934 | &nbsp;&nbsp; 963848 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1838 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp; 160446 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 209 | &nbsp;&nbsp; 215787 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 426 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9314 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9797 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp; 65338 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 410 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3647 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/35 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21279 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/35 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8330 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2264 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5840 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 59311 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8780 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 27491 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 29339 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4475 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1535 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 644 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 502 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14926 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp; 356479 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7651 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp; 348505 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/36 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12599 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23116 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 533 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8499 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2354 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 60189 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 809 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21285 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 237 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13098 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19426 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18033 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 842 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10828 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 476 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; $10 | &nbsp;&nbsp; $9704 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2981 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 26959 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/37 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21885 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 226 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp; 72485 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 27413 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 245 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 268 | &nbsp;&nbsp; 278752 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19457 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 634 | &nbsp;&nbsp; 661075 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 13378 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/38 | &nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp; 78026 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 19044 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 280 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11597 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8765 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4969 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/39 | &nbsp;&nbsp;&nbsp; 1663 | &nbsp;&nbsp; 1721664 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1240 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp; 156153 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/40 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25762 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3471 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/40 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 35188 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/41 | &nbsp;&nbsp;&nbsp; 481 | &nbsp;&nbsp; 500974 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 742 | &nbsp;&nbsp; 772542 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/52 | &nbsp;&nbsp;&nbsp; 19361 | &nbsp;&nbsp; 19632637 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/53 | &nbsp;&nbsp;&nbsp; 81041 | &nbsp;&nbsp; 82301709 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/53 | &nbsp;&nbsp;&nbsp; 110130 | &nbsp;&nbsp; 111836277 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/53 | &nbsp;&nbsp;&nbsp; 1782 | &nbsp;&nbsp; 1807814 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/53 | &nbsp;&nbsp;&nbsp; 2800 | &nbsp;&nbsp; 2870822 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/53 | &nbsp;&nbsp;&nbsp; 5617 | &nbsp;&nbsp; 5761019 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/53 | &nbsp;&nbsp;&nbsp; 10534 | &nbsp;&nbsp; 10712277 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/53 | &nbsp;&nbsp;&nbsp; 153667 | &nbsp;&nbsp; 156524643 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/53 | &nbsp;&nbsp;&nbsp; 153977 | &nbsp;&nbsp; 156704508 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/53 | &nbsp;&nbsp;&nbsp; 56583 | &nbsp;&nbsp; 57487950 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/53 | &nbsp;&nbsp;&nbsp; 205953 | &nbsp;&nbsp; 209110421 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/53 | &nbsp;&nbsp;&nbsp; 74505 | &nbsp;&nbsp; 75561590 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/53 | &nbsp;&nbsp;&nbsp; 31438 | &nbsp;&nbsp; 31932026 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/54 | &nbsp;&nbsp;&nbsp; 33541 | &nbsp;&nbsp; 34041097 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/54 | &nbsp;&nbsp;&nbsp; 48785 | &nbsp;&nbsp; 49461014 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/54 | &nbsp;&nbsp;&nbsp; 79646 | &nbsp;&nbsp; 81018551 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/54 | &nbsp;&nbsp;&nbsp; 37240 | &nbsp;&nbsp; 37786077 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/54 | &nbsp;&nbsp;&nbsp; 54055 | &nbsp;&nbsp; 54716692 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 238100 | &nbsp;&nbsp; 240424204 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/54 | &nbsp;&nbsp;&nbsp; 114219 | &nbsp;&nbsp; 115850194 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/54 | &nbsp;&nbsp;&nbsp; 291850 | &nbsp;&nbsp; 296058361 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/54 | &nbsp;&nbsp;&nbsp; 214221 | &nbsp;&nbsp; 217213623 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/54 | &nbsp;&nbsp;&nbsp; 107489 | &nbsp;&nbsp; 108836019 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/54 | &nbsp;&nbsp;&nbsp; 4457 | &nbsp;&nbsp; 4510330 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/55 | &nbsp;&nbsp;&nbsp; 31651 | &nbsp;&nbsp; 32065954 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/55 | &nbsp;&nbsp;&nbsp; 19770 | &nbsp;&nbsp; 20217582 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/55 | &nbsp;&nbsp;&nbsp; 96174 | &nbsp;&nbsp; 98211531 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/55 | &nbsp;&nbsp;&nbsp; 29514 | &nbsp;&nbsp; 30049904 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/55 | &nbsp;&nbsp;&nbsp; 20171 | &nbsp;&nbsp; 20456590 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $18 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 511 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 513 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/28 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2833 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 566 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 585 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 581 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 584 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 393 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2005 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 534 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 582 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1094 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5174 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 555 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 521 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1316 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1206 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1643 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 820 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 735 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 630 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2385 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/31 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2968 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 277 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1312 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 368 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2048 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 562 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1850 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6495 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 404 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2206 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 393 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1299 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3871 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 372 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9758 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 376 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7879 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $179 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 278 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4124 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 634 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2513 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3689 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5326 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8839 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6096 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9904 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1595 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 737 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1974 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3259 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 849 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 398 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 672 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 28169 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp; 114490 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 458 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/36 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23781 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 27258 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 585 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5990 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 520 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1327 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 443 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 30224 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 929 | &nbsp;&nbsp; 989775 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7069 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 65675 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 971 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 13234 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 37889 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 634 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4491 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4908 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11706 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 38024 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11816 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 4154 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3926 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6790 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1857 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/39 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1875 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 871 | &nbsp;&nbsp; 928041 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp; 606960 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/53 | &nbsp;&nbsp;&nbsp; 5736 | &nbsp;&nbsp; 5918511 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/53 | &nbsp;&nbsp;&nbsp; 45441 | &nbsp;&nbsp; 47366929 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/53 | &nbsp;&nbsp;&nbsp; $10062 | &nbsp;&nbsp; $10381976 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/53 | &nbsp;&nbsp;&nbsp; 9413 | &nbsp;&nbsp; 9774136 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/53 | &nbsp;&nbsp;&nbsp; 72026 | &nbsp;&nbsp; 74786693 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/53 | &nbsp;&nbsp;&nbsp; 29651 | &nbsp;&nbsp; 30662662 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/53 | &nbsp;&nbsp;&nbsp; 140518 | &nbsp;&nbsp; 145722796 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/53 | &nbsp;&nbsp;&nbsp; 114199 | &nbsp;&nbsp; 118022348 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/53 | &nbsp;&nbsp;&nbsp; 131297 | &nbsp;&nbsp; 136012211 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/54 | &nbsp;&nbsp;&nbsp; 62370 | &nbsp;&nbsp; 64624606 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/54 | &nbsp;&nbsp;&nbsp; 58558 | &nbsp;&nbsp; 60854557 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/54 | &nbsp;&nbsp;&nbsp; 26859 | &nbsp;&nbsp; 27662629 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/54 | &nbsp;&nbsp;&nbsp; 22333 | &nbsp;&nbsp; 23058349 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/54 | &nbsp;&nbsp;&nbsp; 36816 | &nbsp;&nbsp; 37903509 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/54 | &nbsp;&nbsp;&nbsp; 1476 | &nbsp;&nbsp; 1533871 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 68525 | &nbsp;&nbsp; 70359129 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/54 | &nbsp;&nbsp;&nbsp; 33128 | &nbsp;&nbsp; 34134101 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/54 | &nbsp;&nbsp;&nbsp; 27763 | &nbsp;&nbsp; 28631262 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/54 | &nbsp;&nbsp;&nbsp; 5021 | &nbsp;&nbsp; 5200062 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/55 | &nbsp;&nbsp;&nbsp; 30647 | &nbsp;&nbsp; 31631198 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/55 | &nbsp;&nbsp;&nbsp; 28071 | &nbsp;&nbsp; 28899388 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/27 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 760 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 319 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 546 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 250 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 507 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 481 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2123 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15842 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2109 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 397 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 290 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 537 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 545 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6628 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1592 |

---

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $721 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 650 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1062 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2404 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp; 302813 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6202 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 680 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5912 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 430 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6682 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 379 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2719 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 277 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 7.50%, 04/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 223 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 730 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 415 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/30 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 695 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 580 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 441 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1881 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; 8.00%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 438 |
| &nbsp;&nbsp;&nbsp; 8.00%, 04/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp; 8.50%, 12/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; 8.50%, 04/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 338 |
| &nbsp;&nbsp;&nbsp; 8.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 926 |
| &nbsp;&nbsp;&nbsp; 9.00%, 11/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 4 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 9.00%, 10/01/30 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $56 |
|  |  | &nbsp;&nbsp; 38121984179 |
| **Total Long-Term Investments — 99.7%** <br>**(Cost: $40,754,515,073)** | **Total Long-Term Investments — 99.7%** <br>**(Cost: $40,754,515,073)** | &nbsp;&nbsp; 38121984179 |
|  | &nbsp;&nbsp; *Shares* |  |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 4.6%** | **Money Market Funds — 4.6%** | **Money Market Funds — 4.6%** |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Institutional, SL <br> Agency Shares, 4.46%<sup>(e)(f)(g)</sup><br>| &nbsp;&nbsp;&nbsp; 1731058979 | &nbsp;&nbsp; 1731751403 |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Treasury, SL Agency <br> Shares, 4.30%<sup>(e)(f)</sup><br>| &nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp; 100000 |
| **Total Short-Term Securities — 4.6%** <br>**(Cost: $1,730,994,017)** | **Total Short-Term Securities — 4.6%** <br>**(Cost: $1,730,994,017)** | &nbsp;&nbsp; 1731851403 |
| **Total Investments Before TBA Sales Commitments — 104.3%** <br>**(Cost: $42,485,509,090)** | **Total Investments Before TBA Sales Commitments — 104.3%** <br>**(Cost: $42,485,509,090)** | &nbsp;&nbsp; 39853835582 |
|  | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>|  |
| **TBA Sales Commitments**<sup>(c)</sup> | **TBA Sales Commitments**<sup>(c)</sup> | **TBA Sales Commitments**<sup>(c)</sup> |
| **Mortgage-Backed Securities — (0.5)%** | **Mortgage-Backed Securities — (0.5)%** | **Mortgage-Backed Securities — (0.5)%** |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/54 | &nbsp;&nbsp;&nbsp; (16350)<br>| &nbsp;&nbsp; (15422945)<br>|
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/54 | &nbsp;&nbsp;&nbsp; (30675)<br>| &nbsp;&nbsp; (31320557)<br>|
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/54 | &nbsp;&nbsp;&nbsp; (23675)<br>| &nbsp;&nbsp; (23436155)<br>|
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/54 | &nbsp;&nbsp;&nbsp; (98750)<br>| &nbsp;&nbsp; (99713944)<br>|
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/54 | &nbsp;&nbsp;&nbsp; (4050)<br>| &nbsp;&nbsp; (4158402)<br>|
| **Total TBA Sales Commitments — (0.5)%** <br>**(Proceeds: $(173681598))** | **Total TBA Sales Commitments — (0.5)%** <br>**(Proceeds: $(173681598))** | &nbsp;&nbsp; (174052003)<br>|
| **Total Investments, Net of TBA Sales Commitments — 103.8%** <br>**(Cost: $42,311,827,492)** | **Total Investments, Net of TBA Sales Commitments — 103.8%** <br>**(Cost: $42,311,827,492)** | &nbsp;&nbsp; 39679783579 |
| **Liabilities in Excess of Other Assets — (3.8)%** | **Liabilities in Excess of Other Assets — (3.8)%** | &nbsp;&nbsp; (1452198976)<br>|
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | &nbsp;&nbsp; $38227584603 |

---

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

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

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

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

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

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

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

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

------

Schedule of Investments (unaudited)(continued)

May 31, 2025

**iShares® MBS ETF**

**Affiliates**

Investments in issuers considered to be affiliate(s) of the Fund during the period ended May 31, 2025 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at* <br>*02/28/25*<br>| *Purchases* <br>*at Cost*<br>| *Proceeds* <br>*from Sales*<br>| &nbsp;&nbsp; *Net Realized* <br>*Gain (Loss)*<br>| *Change in* <br>*Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>| *Value at* <br>*05/31/25*<br>| *Shares* <br>*Held at* <br>*05/31/25*<br>| *Income* | *Capital* <br>*Gain* <br>*Distributions* <br>*from* <br>*Underlying* <br>*Funds*<br>|
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Institu-<br> tional, SL Agency Shares<br>| $1790973834 | $— | &nbsp;&nbsp; $(59190553 )<sup>(a)</sup><br>| $85004 | $(116882)<br>| $1731751403 | 1731058979 | $15746483 | $— |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Trea-<br> sury, SL Agency Shares<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100000 | 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100000 | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1082 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
|  |  |  |  | $85004 | $(116882) | $1731851403 |  | $15747565 | $— |

---

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

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

**Fair Value Hierarchy as of Period End** 

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

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

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

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of financial instruments, refer to its most recent financial statements.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency Obligations | &nbsp;&nbsp; $— | &nbsp;&nbsp; $38121984179 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $38121984179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | &nbsp;&nbsp; 1731851403 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 1731851403 |
| Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sales Commitments | &nbsp;&nbsp; — | &nbsp;&nbsp; (174052003)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (174052003)<br>|
|  | &nbsp;&nbsp; $1731851403 | &nbsp;&nbsp; $37947932176 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $39679783579 |

---

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

---

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

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** San Francisco

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94105

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-05-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $39683831148.83

**Total Liabilities:** $1455898508.80

**Net Assets:** $38227932640.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 933.75000000 | **1-Year:** 117285.76000000 | **5-Year:** 11697483.35000000 | **10-Year:** 8850471.16000000 | **30-Year:** 0.00000000

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

- **3-Month:** 34481.78000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000037544 | -0.01%               | 0.27%                | -0.91%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-122214.74              | $-137896770.42                             |
| Month 2  | $-9862172.47             | $-17037140.49                              |
| Month 3  | $-10227791.26            | $-467687013.71                             |

**Designated Index Information**

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

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                           | Title                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49291 | PA      | $51399.55      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     877705 | PA      | $784582.84     | 0.00%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        920 | PA      | $913.88        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4206076 | PA      | $3940338.32    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317568 | PA      | $305457.20     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AKPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39682285 | PA      | $31045756.97   | 0.08%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2465 | PA      | $2570.51       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        562 | PA      | $559.55        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1DH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        881 | PA      | $868.05        | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344479 | PA      | $311103.44     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5529440 | PA      | $5053930.91    | 0.01%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51653089 | PA      | $47240181.51   | 0.12%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15564 | PA      | $15158.59      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L8YM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3623 | PA      | $3652.33       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JBN33<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1103945 | PA      | $988445.11     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3675245 | PA      | $3009687.21    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10594 | PA      | $10471.03      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXGT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2920 | PA      | $2996.75       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NMW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        119 | PA      | $121.62        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVCC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1076155 | PA      | $859091.50     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GXPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4646906 | PA      | $4196675.94    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386LRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        489 | PA      | $496.78        | 0.00%             | 2030-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9Y25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367171 | PA      | $314955.01     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3382251 | PA      | $3052685.90    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3857157 | PA      | $3182270.57    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0CF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242745 | PA      | $234082.69     | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     422181 | PA      | $392555.03     | 0.00%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13008 | PA      | $13322.64      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134891 | PA      | $130017.75     | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X8C41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18980 | PA      | $18625.91      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12748412 | PA      | $13186228.76   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8G37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352695 | PA      | $342574.63     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5680379 | PA      | $5542649.58    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2XP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1843011 | PA      | $1657647.03    | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199941 | PA      | $205937.74     | 0.00%             | 2042-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731291 | PA      | $604709.99     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMPJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2259818 | PA      | $2174583.59    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J76B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286374 | PA      | $252109.42     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400RDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18244 | PA      | $18691.41      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405SEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        589 | PA      | $593.64        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415L4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        944 | PA      | $967.41        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GST51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291268 | PA      | $265428.54     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140056 | PA      | $134954.53     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294T7M2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     156929 | PA      | $154710.81     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410QKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1085 | PA      | $1129.60       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5579 | PA      | $5808.01       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2429 | PA      | $2446.54       | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2267841 | PA      | $1998782.16    | 0.01%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936KM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13795 | PA      | $13893.06      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMBJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5254100 | PA      | $5350525.98    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1340654 | PA      | $1179691.39    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160290 | PA      | $156136.62     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2486074 | PA      | $2266242.21    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNVC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6326546 | PA      | $6176032.22    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8K83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1728043 | PA      | $1512252.98    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9B74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9732 | PA      | $9539.26       | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617B65X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10416 | PA      | $10010.24      | 0.00%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $74.55         | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     238395 | PA      | $195815.59     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932PN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1084 | PA      | $1072.35       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8W50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12502295 | PA      | $11319600.93   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181JCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34990 | PA      | $31106.32      | 0.00%             | 2043-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265829 | PA      | $278812.77     | 0.00%             | 2046-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J86T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518365 | PA      | $479580.06     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X93X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167151 | PA      | $150176.25     | 0.00%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERY87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9644948 | PA      | $9117638.33    | 0.02%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29773 | PA      | $31031.42      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MW85<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     109328 | PA      | $105562.92     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404R4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1295 | PA      | $1291.63       | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWPU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1666419 | PA      | $1511225.47    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KZW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8274 | PA      | $8181.64       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        525 | PA      | $530.57        | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B6V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        880 | PA      | $924.71        | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412PQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535684 | PA      | $538845.10     | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     702659 | PA      | $617544.67     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407HHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21138 | PA      | $21312.77      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24361072 | PA      | $21246638.20   | 0.06%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289288 | PA      | $263357.36     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34971865 | PA      | $30683770.36   | 0.08%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7345 | PA      | $7222.94       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BVN52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1069984 | PA      | $968852.99     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136376 | PA      | $1121985.71    | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        453 | PA      | $458.20        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6ZN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43773 | PA      | $41893.03      | 0.00%             | 2039-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1139322 | PA      | $1059372.55    | 0.00%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32686847 | PA      | $25711350.18   | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2603 | PA      | $2562.80       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQD87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3495905 | PA      | $2851547.61    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938X57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11492 | PA      | $11363.76      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XB3K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9361 | PA      | $9085.54       | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632899 | PA      | $594331.05     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1345184 | PA      | $1178470.03    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNQH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723042 | PA      | $694488.10     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409C4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3570 | PA      | $3659.45       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J66Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     868674 | PA      | $781667.95     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408EBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1011 | PA      | $1036.19       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121544 | PA      | $109489.12     | 0.00%             | 2053-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23784333 | PA      | $19513104.33   | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25037500 | PA      | $22793205.81   | 0.06%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   13413334 | PA      | $11813555.07   | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21962328 | PA      | $20304840.17   | 0.05%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QS3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20049198 | PA      | $20464007.18   | 0.05%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2291346 | PA      | $1903741.88    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1207401 | PA      | $1174036.45    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJUX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80671 | PA      | $73157.95      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KX93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22877 | PA      | $22619.93      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156730 | PA      | $137732.53     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219448 | PA      | $215627.81     | 0.00%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207WWF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        310 | PA      | $310.05        | 0.00%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2187 | PA      | $2130.36       | 0.00%             | 2044-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNFX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9044 | PA      | $8723.41       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346Y7J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     281851 | PA      | $245045.18     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G73V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271951 | PA      | $258887.99     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209TAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        745 | PA      | $750.46        | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AKXS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3625859 | PA      | $2820220.77    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMV51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13032412 | PA      | $11222663.52   | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6HF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     222011 | PA      | $210098.82     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10097000 | PA      | $9100385.35    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4QZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550786 | PA      | $481923.03     | 0.00%             | 2041-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N2BG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     933090 | PA      | $905773.82     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRQ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22772009 | PA      | $18880247.27   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307T5H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     329731 | PA      | $322045.02     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1758685 | PA      | $1695143.03    | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YT6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6681 | PA      | $6277.43       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HRFY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49227 | PA      | $43007.98      | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTCF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6291527 | PA      | $5154131.80    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LPJ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6836802 | PA      | $5901807.90    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24158479 | PA      | $21949595.37   | 0.06%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6KN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15887 | PA      | $14684.54      | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1512 | PA      | $1495.29       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6082 | PA      | $5633.66       | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AHLV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23815 | PA      | $23326.53      | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8453510 | PA      | $7615056.56    | 0.02%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55141 | PA      | $56506.59      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6042 | PA      | $5821.71       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4869313 | PA      | $4509600.75    | 0.01%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXW43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866027 | PA      | $780647.52     | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTUY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13064013 | PA      | $13599573.14   | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9LD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57242 | PA      | $56287.05      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     647645 | PA      | $607480.18     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291K5Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2644 | PA      | $2679.54       | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMBV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     843628 | PA      | $691638.01     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5S38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78130 | PA      | $74980.85      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211YSR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        148 | PA      | $149.97        | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMM75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $98.46         | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13761 | PA      | $13893.14      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2GK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1223481 | PA      | $1169622.26    | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0DK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      17048 | PA      | $16814.86      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LV93<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2840321 | PA      | $2630854.81    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KG5Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686379 | PA      | $653514.56     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617G2V78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     691968 | PA      | $625965.08     | 0.00%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTZ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263542 | PA      | $257331.50     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EW62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     464177 | PA      | $495290.24     | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147261 | PA      | $143131.60     | 0.00%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1149579 | PA      | $1091979.24    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64589281 | PA      | $62930769.87   | 0.16%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431010 | PA      | $413638.94     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KGHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4513 | PA      | $4631.62       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3116373 | PA      | $2999412.95    | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KTQP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1303 | PA      | $1360.92       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LVVN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285648 | PA      | $278565.36     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDYE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4346808 | PA      | $4108941.16    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCH62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4874631 | PA      | $4418199.59    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XNHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1736297 | PA      | $1552652.52    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     791922 | PA      | $730508.91     | 0.00%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407XTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        679 | PA      | $684.63        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1224237 | PA      | $1105646.88    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79221 | PA      | $76336.09      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $93.72         | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   54060252 | PA      | $50235308.99   | 0.13%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1413 | PA      | $1490.58       | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17894016 | PA      | $18103724.52   | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176W2M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339607 | PA      | $320860.50     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239693 | PA      | $223319.09     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41331 | PA      | $41638.14      | 0.00%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQSR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2036843 | PA      | $2098961.37    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1252 | PA      | $1300.92       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335214 | PA      | $294884.36     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3679741 | PA      | $3212539.64    | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KHU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1325 | PA      | $1347.89       | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     528962 | PA      | $484909.39     | 0.00%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939HY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7013 | PA      | $7062.80       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4039798 | PA      | $3567389.78    | 0.01%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QA7F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1050886 | PA      | $1013722.36    | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4478795 | PA      | $4404072.44    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7Z42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434308 | PA      | $405478.67     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20856 | PA      | $20028.74      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176CDL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5963 | PA      | $5835.80       | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        285 | PA      | $303.01        | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178TSX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2119184 | PA      | $1904887.10    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHHW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27903 | PA      | $26763.51      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8GP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1557535 | PA      | $1232125.82    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2308 | PA      | $2277.87       | 0.00%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SQP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10007877 | PA      | $8536317.61    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8QP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     753881 | PA      | $717777.55     | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178HX56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     279170 | PA      | $251706.35     | 0.00%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5K58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18396 | PA      | $19207.98      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7LP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13037 | PA      | $13123.47      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210F4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1678 | PA      | $1699.32       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQPG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7238138 | PA      | $5727272.55    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA2B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     822468 | PA      | $770434.07     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10032411 | PA      | $9319308.72    | 0.02%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KBN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1446 | PA      | $1427.53       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     184202 | PA      | $185557.50     | 0.00%             | 2045-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524634 | PA      | $473803.64     | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNRH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8010979 | PA      | $6904097.51    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9ZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1620738 | PA      | $1577099.72    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8KT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220313 | PA      | $206354.72     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1V78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11401 | PA      | $10989.05      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5165821 | PA      | $4119444.23    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416B3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1742 | PA      | $1856.68       | 0.00%             | 2039-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7P78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     542367 | PA      | $495206.05     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12263123 | PA      | $10017390.68   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29911273 | PA      | $26101120.34   | 0.07%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQVF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5124332 | PA      | $4847396.17    | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GSVE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11663947 | PA      | $11667812.73   | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133CWFC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1185573 | PA      | $1148772.05    | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MBGE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1808618 | PA      | $1478849.71    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288BGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        415 | PA      | $427.76        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18682649 | PA      | $17467088.91   | 0.05%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NCW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52223 | PA      | $51571.12      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.76         | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBPV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1708838 | PA      | $1587374.00    | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1935 | PA      | $2017.28       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20516 | PA      | $20174.32      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        742 | PA      | $765.94        | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117663 | PA      | $110555.78     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     575262 | PA      | $518205.54     | 0.00%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10088 | PA      | $9913.67       | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311267 | PA      | $314244.66     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGM97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15001630 | PA      | $14148378.04   | 0.04%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2164229 | PA      | $1848554.71    | 0.00%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335527 | PA      | $338831.49     | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMNN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        223 | PA      | $221.02        | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2012084 | PA      | $1749569.00    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293LRL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $29.71         | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JX50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2290 | PA      | $2383.56       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933J47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     344820 | PA      | $353700.29     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378XZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $314.74        | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155073 | PA      | $153515.49     | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403485 | PA      | $378655.69     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7T48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      15617 | PA      | $16014.98      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2998716 | PA      | $2948720.06    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJCX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16176569 | PA      | $14154053.12   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1417849 | PA      | $1332315.06    | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13940860 | PA      | $13327169.48   | 0.03%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184KQ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153757 | PA      | $139401.91     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1786512 | PA      | $1549292.34    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G1GR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3682160 | PA      | $3316653.47    | 0.01%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124740 | PA      | $121657.95     | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180XZL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     390926 | PA      | $380719.25     | 0.00%             | 2043-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603193 | PA      | $565743.97     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1HK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60584 | PA      | $56519.45      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617KMGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     270018 | PA      | $243020.15     | 0.00%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1882086 | PA      | $1891505.38    | 0.00%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7T39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1046052 | PA      | $998252.15     | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8227 | PA      | $7991.27       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117183 | PA      | $113070.09     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYQN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24979 | PA      | $23303.67      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   53261725 | PA      | $52759795.39   | 0.14%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PSZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99009 | PA      | $97741.09      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942PM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3303 | PA      | $3264.88       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296SDS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        894 | PA      | $903.40        | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        851 | PA      | $873.76        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117594 | PA      | $116074.19     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVS89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396609 | PA      | $361978.57     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3522742 | PA      | $2925744.51    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F3BT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313069 | PA      | $293653.32     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77795 | PA      | $75526.74      | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        580 | PA      | $605.87        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1643387 | PA      | $1538014.88    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9PY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     439834 | PA      | $421812.68     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390Y7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2605 | PA      | $2681.37       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1940051 | PA      | $1763219.10    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VPVD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     651424 | PA      | $606921.29     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253562 | PA      | $213644.32     | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $10.86         | 0.00%             | 2026-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2090909 | PA      | $1914442.22    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MRD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     977106 | PA      | $903879.17     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13732 | PA      | $13596.44      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7HB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     387599 | PA      | $391305.99     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  142129000 | PA      | $140695130.16  | 0.37%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5970456 | PA      | $5678694.77    | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208TZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.65          | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194X5T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     355159 | PA      | $313475.23     | 0.00%             | 2046-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2BE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392029 | PA      | $362492.56     | 0.00%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XUA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     140966 | PA      | $138841.31     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416Y4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12715 | PA      | $12502.84      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     818555 | PA      | $671335.82     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        585 | PA      | $588.78        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201UCF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1471 | PA      | $1501.67       | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519381 | PA      | $504027.09     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294W6U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1548 | PA      | $1597.68       | 0.00%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24460578 | PA      | $22085218.82   | 0.06%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2818430 | PA      | $2851818.71    | 0.01%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9RY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1671751 | PA      | $1545617.46    | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTU72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4950546 | PA      | $5127910.43    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15464687 | PA      | $14037489.26   | 0.04%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $64.31         | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295L6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        714 | PA      | $726.36        | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $127.76        | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27859 | PA      | $27161.40      | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934DL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10082 | PA      | $9969.22       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6JV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1122 | PA      | $1112.38       | 0.00%             | 2038-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1433371 | PA      | $1379575.07    | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1511149 | PA      | $1416751.79    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9V69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3075084 | PA      | $2775854.66    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20256 | PA      | $18761.78      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65222 | PA      | $64876.45      | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KS7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997504 | PA      | $792028.82     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240686 | PA      | $205993.36     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230RVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1408 | PA      | $1402.61       | 0.00%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27626 | PA      | $26200.57      | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724030 | PA      | $653885.61     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617GFX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43793 | PA      | $39525.20      | 0.00%             | 2048-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0KK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4808090 | PA      | $4796937.55    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1K83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2805 | PA      | $2831.40       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5XW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83483 | PA      | $72471.77      | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3511366 | PA      | $3116903.30    | 0.01%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6WE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5820 | PA      | $6053.68       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6ME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300501 | PA      | $284072.13     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396687 | PA      | $382541.47     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5SG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20062 | PA      | $20946.40      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211Q4D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13429 | PA      | $13562.17      | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5T74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9030 | PA      | $8845.31       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308588 | PA      | $295632.48     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     833711 | PA      | $809289.32     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6314073 | PA      | $6516441.78    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935PD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1740 | PA      | $1671.91       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297AKJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18645 | PA      | $18898.32      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCV70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3138440 | PA      | $2840124.45    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2060 | PA      | $1965.83       | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193703 | PA      | $185008.41     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $199.40        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930D64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9971 | PA      | $10081.24      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2957150 | PA      | $2828123.53    | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117120 | PA      | $108478.21     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7B24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351760 | PA      | $340482.60     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        770 | PA      | $766.95        | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635243 | PA      | $594849.30     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXE89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        797 | PA      | $804.53        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941B71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4627 | PA      | $4573.94       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210APX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        905 | PA      | $923.21        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9KU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388846 | PA      | $340229.64     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3312 | PA      | $3326.65       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D53Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1095000 | PA      | $1041460.04    | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1046 | PA      | $1082.19       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1172289 | PA      | $1084586.79    | 0.00%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XXZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245537 | PA      | $225333.22     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1265479 | PA      | $1142869.46    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176W7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76650 | PA      | $70268.74      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KUJJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3450 | PA      | $3601.86       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FALQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278859 | PA      | $243994.22     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AALE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1268 | PA      | $1246.58       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     444734 | PA      | $448007.30     | 0.00%             | 2046-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7LC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48018 | PA      | $45449.70      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0R53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     509966 | PA      | $459688.39     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24249 | PA      | $24391.76      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61962438 | PA      | $54364879.32   | 0.14%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6357 | PA      | $6143.84       | 0.00%             | 2029-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XGLP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     976548 | PA      | $960285.45     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19222107 | PA      | $17380602.14   | 0.05%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVQ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43268579 | PA      | $41898976.76   | 0.11%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13480238 | PA      | $12292659.44   | 0.03%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2467639 | PA      | $2306670.60    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16867695 | PA      | $15559616.07   | 0.04%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WERA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2819313 | PA      | $2477581.33    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MPK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19769591 | PA      | $20217581.98   | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     219080 | PA      | $225968.82     | 0.00%             | 2047-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33560572 | PA      | $26274601.13   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293A6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $25.91         | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378GHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $350.39        | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176B2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29495 | PA      | $27869.05      | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9E47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1606203 | PA      | $1493068.92    | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEDW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61164 | PA      | $53845.10      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9SW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117911 | PA      | $107341.57     | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTJP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     656900 | PA      | $618013.69     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457327 | PA      | $373402.63     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.49          | 0.00%             | 2025-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MN77<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      20537 | PA      | $19823.31      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KB6N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1369239 | PA      | $1303466.94    | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     726246 | PA      | $657660.90     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5KV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1318065 | PA      | $1278979.54    | 0.00%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8152191 | PA      | $6446775.93    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGU44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434008 | PA      | $417566.08     | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166503 | PA      | $150507.58     | 0.00%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21671502 | PA      | $19465946.95   | 0.05%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5080100 | PA      | $4442272.78    | 0.01%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVXM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14153 | PA      | $13270.38      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HD3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719450 | PA      | $673910.12     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930TT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3160 | PA      | $3298.69       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     496970 | PA      | $479667.48     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210QZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         52 | PA      | $52.03         | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MT27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34641227 | PA      | $33765601.99   | 0.09%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     506297 | PA      | $442857.59     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXNA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9669360 | PA      | $7893811.03    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        724 | PA      | $729.27        | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        314 | PA      | $325.55        | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179947 | PA      | $169860.33     | 0.00%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27300429 | PA      | $22904897.79   | 0.06%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129262Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        949 | PA      | $1012.85       | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     957730 | PA      | $892078.03     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9WA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28224 | PA      | $25238.38      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9MJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1077965 | PA      | $902117.18     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211EPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12348 | PA      | $12729.24      | 0.00%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWVW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3763281 | PA      | $3617065.32    | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JQ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5595 | PA      | $5647.64       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3736895 | PA      | $3481278.08    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F54F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81190 | PA      | $78372.18      | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDCU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24367693 | PA      | $19197725.92   | 0.05%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X64B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303351 | PA      | $282725.02     | 0.00%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAXY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1978894 | PA      | $1948731.78    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64808448 | PA      | $54378910.04   | 0.14%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617JDES4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12101 | PA      | $10902.67      | 0.00%             | 2049-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $130.99        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1WS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2036440 | PA      | $1602408.20    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DURK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5769772 | PA      | $5162129.72    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23307 | PA      | $22947.63      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L8C99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1057436 | PA      | $959256.61     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21449 | PA      | $21091.34      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HS71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $75.60         | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EAUB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343384 | PA      | $312604.36     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329MUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     710912 | PA      | $635943.35     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F9MP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $105.49        | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0VZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5613927 | PA      | $5716956.93    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11650144 | PA      | $10549016.81   | 0.03%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617WLWG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3240212 | PA      | $2565657.10    | 0.01%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YZZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      37635 | PA      | $37008.68      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6430 | PA      | $6254.22       | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298MPS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $277.94        | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LA7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1085 | PA      | $1113.35       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C4W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84238 | PA      | $79467.79      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4937 | PA      | $4970.22       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKBG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350466 | PA      | $315076.40     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KGKW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        461 | PA      | $499.73        | 0.00%             | 2036-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27667 | PA      | $25186.87      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32056969 | PA      | $26489036.61   | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSQK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   79357143 | PA      | $62042629.39   | 0.16%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53894 | PA      | $50316.66      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11148 | PA      | $10741.33      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FH3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193327 | PA      | $185399.91     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     612360 | PA      | $553533.38     | 0.00%             | 2048-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A0J98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1538722 | PA      | $1359072.44    | 0.00%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M53G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56264 | PA      | $56238.47      | 0.00%             | 2044-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74424 | PA      | $71472.76      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96555 | PA      | $98892.52      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1691 | PA      | $1705.15       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMJU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11952058 | PA      | $9833731.33    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2590202 | PA      | $2397219.47    | 0.01%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206683 | PA      | $185783.00     | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AUQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1345337 | PA      | $1204440.22    | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1059 | PA      | $1087.14       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9CE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12920 | PA      | $12449.25      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     591683 | PA      | $584298.32     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3XV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14317 | PA      | $13532.80      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        347 | PA      | $355.65        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        575 | PA      | $569.98        | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   69195655 | PA      | $68638197.18   | 0.18%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4899286 | PA      | $4050570.18    | 0.01%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4804803 | PA      | $4296608.21    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSRH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43116 | PA      | $40565.00      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39019093 | PA      | $32138930.22   | 0.08%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314412 | PA      | $303135.63     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200RUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         75 | PA      | $76.48         | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176M3K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21872 | PA      | $20666.35      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408EVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4465 | PA      | $4577.29       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5423 | PA      | $5391.68       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4419955 | PA      | $4302000.92    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19190370 | PA      | $17879468.93   | 0.05%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YUC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80567 | PA      | $79223.05      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402XER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $29.37         | 0.00%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $89.12         | 0.00%             | 2027-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8EV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     653551 | PA      | $585370.23     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCGQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1512690 | PA      | $1420038.20    | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5792 | PA      | $5538.34       | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0LK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     549047 | PA      | $490831.22     | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX88<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1291570 | PA      | $1171285.95    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPWE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18980772 | PA      | $18912730.48   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1446 | PA      | $1408.55       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391TAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2685 | PA      | $2764.30       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6XR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36311 | PA      | $34901.64      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SHE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     344111 | PA      | $338958.30     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CXP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3590 | PA      | $3705.87       | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2388910 | PA      | $2219106.74    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NEN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        935 | PA      | $942.44        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B04Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1331890 | PA      | $1035488.12    | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1547840 | PA      | $1213973.82    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391K5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        375 | PA      | $392.81        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9826251 | PA      | $10091797.64   | 0.03%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26800348 | PA      | $21034104.26   | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A3AD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4858102 | PA      | $4398692.28    | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675353 | PA      | $629219.60     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1265518 | PA      | $1084673.56    | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LG59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14297 | PA      | $14804.24      | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15491819 | PA      | $13504394.93   | 0.04%             | 2053-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDC69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2170 | PA      | $2226.81       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JND49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19270 | PA      | $18543.43      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        966 | PA      | $975.58        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1883147 | PA      | $1807249.75    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FWDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63641 | PA      | $62182.91      | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSUP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     599537 | PA      | $542211.85     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4GU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        615 | PA      | $641.47        | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A16R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9651 | PA      | $9741.30       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38826124 | PA      | $37708581.24   | 0.10%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAVP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225375 | PA      | $218382.44     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q95B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199040 | PA      | $191019.25     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN5R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4014828 | PA      | $3913367.76    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103161 | PA      | $100200.34     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8113854 | PA      | $7259150.52    | 0.02%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934CR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9515 | PA      | $9144.55       | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3DP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192193 | PA      | $177661.51     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1463 | PA      | $1525.16       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQ2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     586704 | PA      | $566242.61     | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MTQB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8187570 | PA      | $8121858.74    | 0.02%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3BR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140301 | PA      | $125461.99     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7809103 | PA      | $7038312.81    | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPQG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5548352 | PA      | $4611726.60    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AY85<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3764571 | PA      | $3652820.63    | 0.01%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148164 | PA      | $141416.86     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQG54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1318849 | PA      | $1039468.13    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     154930 | PA      | $147980.81     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1802 | PA      | $1880.99       | 0.00%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QKZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2349 | PA      | $2319.47       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4PF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13046 | PA      | $12331.89      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     825861 | PA      | $792004.74     | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8XP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182465 | PA      | $164454.64     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMNJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1554184 | PA      | $1405580.07    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940XF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5393 | PA      | $5330.77       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610365 | PA      | $613116.39     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     832021 | PA      | $777501.18     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HBA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $49.76         | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4094290 | PA      | $3256241.74    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292EQ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        780 | PA      | $769.27        | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y6D64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18804928 | PA      | $19381009.29   | 0.05%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24046 | PA      | $23422.17      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580844 | PA      | $539558.12     | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2397 | PA      | $2502.68       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1674621 | PA      | $1382969.12    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHCR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4813 | PA      | $4713.24       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QT35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6463381 | PA      | $5737293.10    | 0.02%             | 2044-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ7D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1939002 | PA      | $1868440.40    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1392 | PA      | $1341.32       | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6355044 | PA      | $6251420.80    | 0.02%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3329966 | PA      | $3091306.97    | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU2G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     717161 | PA      | $696390.10     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NGK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2665 | PA      | $2694.99       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CKR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15274 | PA      | $15423.94      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A7WJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339534 | PA      | $332602.69     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTRR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326383 | PA      | $314691.00     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9372459 | PA      | $7981136.37    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1290677 | PA      | $1108884.67    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLMK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228300 | PA      | $180393.95     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RD85<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     412005 | PA      | $399270.21     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9S95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     873898 | PA      | $759780.26     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KNV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        767 | PA      | $773.27        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1040126 | PA      | $1023165.56    | 0.00%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2WT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36586 | PA      | $33829.58      | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9346 | PA      | $9006.38       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195JJ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111571 | PA      | $98478.48      | 0.00%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371L2M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3658 | PA      | $3749.42       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXWJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475299 | PA      | $429257.71     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5CJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1785 | PA      | $1759.21       | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7X28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2184764 | PA      | $2039740.81    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1DB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39382 | PA      | $39314.02      | 0.00%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     382573 | PA      | $337827.03     | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297KGQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        767 | PA      | $774.92        | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5987 | PA      | $5750.45       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149777 | PA      | $140729.73     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126007 | PA      | $126581.50     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        983 | PA      | $993.21        | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACDM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24250288 | PA      | $21999198.27   | 0.06%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8490 | PA      | $8269.14       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FDCM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98349 | PA      | $89511.04      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELQQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596782 | PA      | $566618.14     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BC29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.39          | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405WG74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4155 | PA      | $4193.21       | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUD84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     960997 | PA      | $927769.31     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5X93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610751 | PA      | $582393.66     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1694177 | PA      | $1543570.66    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409EEF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        757 | PA      | $776.27        | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14470620 | PA      | $12716621.79   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1XA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776094 | PA      | $696799.63     | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3725000 | PA      | $3301364.09    | 0.01%             | 2054-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3442 | PA      | $3528.23       | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21669 | PA      | $20983.67      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        797 | PA      | $804.20        | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $315.58        | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        370 | PA      | $385.02        | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30744 | PA      | $29599.12      | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415XKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2237 | PA      | $2251.84       | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6X83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     392043 | PA      | $385980.09     | 0.00%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51484 | PA      | $52157.07      | 0.00%             | 2048-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YF6P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197908 | PA      | $187088.29     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AGCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2303308 | PA      | $2379243.76    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QN39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205452 | PA      | $208114.55     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMED4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1692580 | PA      | $1721753.08    | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQUF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373131 | PA      | $335453.33     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1022512 | PA      | $978635.37     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96770 | PA      | $97415.59      | 0.00%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185500 | PA      | $171593.34     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85841 | PA      | $75628.02      | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     382496 | PA      | $388343.34     | 0.00%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931T32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169034 | PA      | $167135.13     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130328 | PA      | $118027.30     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TCW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1396 | PA      | $1439.92       | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $72.53         | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3K50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220290 | PA      | $204632.69     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9VZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22531 | PA      | $22352.72      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XM5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23453519 | PA      | $20899318.12   | 0.05%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E6N36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60961 | PA      | $56391.19      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7384322 | PA      | $6101748.76    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     854183 | PA      | $853967.91     | 0.00%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9RC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36500941 | PA      | $32640306.23   | 0.09%             | 2044-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4349377 | PA      | $3572536.53    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2245734 | PA      | $2031410.74    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202776 | PA      | $185136.19     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8456160 | PA      | $7371331.15    | 0.02%             | 2052-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938A78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6213 | PA      | $6143.67       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KP3U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5128611 | PA      | $4214181.10    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3477971 | PA      | $3046931.50    | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1M53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91770 | PA      | $88427.47      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414UW46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        766 | PA      | $785.13        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382SE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $169.81        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M73E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20454 | PA      | $20217.29      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKTS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59518 | PA      | $57420.56      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0GB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7133817 | PA      | $6366415.01    | 0.02%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJRG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        747 | PA      | $736.29        | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1161 | PA      | $1212.32       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400CF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1661 | PA      | $1697.10       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2L79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12249 | PA      | $12071.03      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6KP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10358852 | PA      | $8104465.08    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NSM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3814482 | PA      | $3560921.68    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4N28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1635067 | PA      | $1377660.95    | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191812 | PA      | $184339.63     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        194 | PA      | $203.30        | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933G65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23219 | PA      | $22959.11      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ECR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513690 | PA      | $461102.27     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPDN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17357554 | PA      | $16083764.71   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMAW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     522865 | PA      | $516786.06     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  161271619 | PA      | $125753844.56  | 0.33%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2755054 | PA      | $2797173.81    | 0.01%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176Q4K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251848 | PA      | $237945.71     | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296NXX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2138 | PA      | $2159.44       | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GAMX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2988065 | PA      | $2726505.01    | 0.01%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15591 | PA      | $16001.55      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610633 | PA      | $593164.85     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940NZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4207 | PA      | $4157.97       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5RE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24651 | PA      | $24045.49      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4036829 | PA      | $3971005.56    | 0.01%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67437 | PA      | $67070.17      | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1AK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     881497 | PA      | $885470.39     | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42740 | PA      | $38225.15      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7GX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170756 | PA      | $164337.79     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9TG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4160 | PA      | $3949.74       | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1102867 | PA      | $910944.53     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMNV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1660973 | PA      | $1597627.84    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308047 | PA      | $269437.52     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4212491 | PA      | $3873364.58    | 0.01%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKYV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14004427 | PA      | $10891791.12   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NXX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12011 | PA      | $11860.68      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40463186 | PA      | $31998404.56   | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $281.12        | 0.00%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     884021 | PA      | $849514.22     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     592969 | PA      | $572199.67     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJJH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     165910 | PA      | $170235.15     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6897872 | PA      | $7003390.20    | 0.02%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31838193 | PA      | $27861498.88   | 0.07%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0R69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338610 | PA      | $315895.24     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410Q5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        321 | PA      | $333.92        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     719224 | PA      | $643975.49     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5564 | PA      | $5618.41       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1563 | PA      | $1499.88       | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YS32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5808 | PA      | $5733.01       | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268125 | PA      | $242818.95     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13726615 | PA      | $11945315.83   | 0.03%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4AF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7931 | PA      | $7846.56       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3485 | PA      | $3505.75       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBC63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1786384 | PA      | $1763559.36    | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2414157 | PA      | $2278834.60    | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473358 | PA      | $428682.60     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307QHV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14958 | PA      | $14506.73      | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2167410 | PA      | $2080056.34    | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KML45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398250 | PA      | $326485.16     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJ6A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19852193 | PA      | $19013647.50   | 0.05%             | 2038-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11741 | PA      | $11445.94      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWP29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     692565 | PA      | $649778.84     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WA6S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7434 | PA      | $7058.06       | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1070042 | PA      | $963389.11     | 0.00%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94149 | PA      | $91566.57      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77462 | PA      | $75052.66      | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200WAU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6589 | PA      | $6730.06       | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUWC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14598136 | PA      | $11401160.55   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5RX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67940 | PA      | $61527.52      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUJV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1349876 | PA      | $1261821.89    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7619 | PA      | $7675.93       | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416T5G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24629 | PA      | $23639.54      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMS59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78102 | PA      | $69930.41      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25122769 | PA      | $22715972.67   | 0.06%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4491044 | PA      | $4174215.53    | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGL69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513031 | PA      | $467044.10     | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1779115 | PA      | $1712343.28    | 0.00%             | 2051-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     558565 | PA      | $502100.44     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1930 | PA      | $1948.45       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     311058 | PA      | $303718.42     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRP46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22605146 | PA      | $23052214.92   | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ACYX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12913932 | PA      | $12053945.08   | 0.03%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329MMH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339776 | PA      | $321605.48     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRMT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5906068 | PA      | $5750149.35    | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        378 | PA      | $396.96        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     583072 | PA      | $512872.75     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     797265 | PA      | $724034.45     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3749648 | PA      | $3310602.55    | 0.01%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617G7G58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3928652 | PA      | $3523998.21    | 0.01%             | 2048-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2024 | PA      | $2038.61       | 0.00%             | 2045-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A46W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244305 | PA      | $241802.23     | 0.00%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L6YE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4762 | PA      | $4793.93       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        959 | PA      | $1006.87       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13173881 | PA      | $12457843.23   | 0.03%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M76V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35541 | PA      | $35129.79      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2DV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     448119 | PA      | $396227.49     | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2U26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230871 | PA      | $217549.24     | 0.00%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2257222 | PA      | $1764730.77    | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     534549 | PA      | $508071.13     | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6FB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9171600 | PA      | $8283163.06    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FECL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240830 | PA      | $219888.75     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297HMX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4017 | PA      | $3953.22       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3434243 | PA      | $3123032.05    | 0.01%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     439577 | PA      | $411391.83     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52017 | PA      | $51251.09      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617W6U64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     568793 | PA      | $473336.45     | 0.00%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJLW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1258319 | PA      | $1214085.91    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944PJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35832 | PA      | $34456.53      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BRZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9026 | PA      | $8785.85       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        528 | PA      | $542.31        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3718334 | PA      | $3383329.51    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EN98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141829 | PA      | $131173.81     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     794949 | PA      | $745617.89     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M9BU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344733 | PA      | $309922.22     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387EFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $156.17        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1843 | PA      | $1857.63       | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVTN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55969 | PA      | $47157.76      | 0.00%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     693311 | PA      | $665368.12     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19124 | PA      | $19622.02      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJ7K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1545839 | PA      | $1429662.83    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2777162 | PA      | $2809921.79    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJLN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3472 | PA      | $3433.02       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1975294 | PA      | $1972325.70    | 0.01%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287L6A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4707 | PA      | $4921.92       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GVL67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4855 | PA      | $4370.67       | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XUAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4796 | PA      | $4680.29       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        528 | PA      | $525.16        | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200VET6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        249 | PA      | $252.81        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1XX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155755 | PA      | $153763.97     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60297 | PA      | $58284.16      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AR4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4478 | PA      | $4382.25       | 0.00%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SAR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103966 | PA      | $99714.22      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     739917 | PA      | $664967.72     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36192SUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108579 | PA      | $105207.22     | 0.00%             | 2046-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A94Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1637 | PA      | $1577.45       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298238 | PA      | $299437.62     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJGM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17759944 | PA      | $15405457.45   | 0.04%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12250 | PA      | $12322.67      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7DP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1501622 | PA      | $1356162.85    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402UR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5895 | PA      | $5884.90       | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQK21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6047251 | PA      | $5222236.33    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3999047 | PA      | $3576075.30    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NF86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21537 | PA      | $20425.21      | 0.00%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182757 | PA      | $171039.11     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F73S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49211 | PA      | $48245.78      | 0.00%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344977 | PA      | $301176.38     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62219 | PA      | $59751.19      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6JS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1282510 | PA      | $1065313.31    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AYJU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2032698 | PA      | $1658035.77    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDS86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6521 | PA      | $6420.50       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1177000 | PA      | $1089670.08    | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8131433 | PA      | $6733175.64    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1873164 | PA      | $1869648.11    | 0.00%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40205 | PA      | $38562.59      | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6N38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7948 | PA      | $8299.03       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267673 | PA      | $256299.12     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0RN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5505 | PA      | $5011.54       | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        123 | PA      | $131.03        | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3822 | PA      | $3861.91       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KW46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5344 | PA      | $5533.45       | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406ST29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7312 | PA      | $7594.74       | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L87D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137062 | PA      | $123965.04     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2XW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2284325 | PA      | $1990851.20    | 0.01%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1241750 | PA      | $1133775.73    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36193UB29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177256 | PA      | $160500.58     | 0.00%             | 2046-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296AQZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3855 | PA      | $3971.42       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YYT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $53.40         | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934C34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7232 | PA      | $7150.69       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66781 | PA      | $68417.62      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD5X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1425886 | PA      | $1256326.35    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBMW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     558819 | PA      | $551223.30     | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177YQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39212 | PA      | $35912.52      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33385867 | PA      | $29102840.36   | 0.08%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B54W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1567963 | PA      | $1282073.54    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419CBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322015 | PA      | $323466.89     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQQF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2614849 | PA      | $2622440.51    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2246237 | PA      | $2123336.57    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJW53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1271071 | PA      | $1228783.04    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2Z41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300932 | PA      | $297072.29     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1009507 | PA      | $925022.25     | 0.00%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    4260039 | PA      | $4110280.65    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF5U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6938 | PA      | $6693.93       | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57463423 | PA      | $58074166.81   | 0.15%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46723 | PA      | $45880.08      | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKWN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1465 | PA      | $1475.48       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1807 | PA      | $1795.90       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173351 | PA      | $171562.19     | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9SV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     872817 | PA      | $723110.71     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AM2A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3516287 | PA      | $2900901.24    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520445 | PA      | $475001.40     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $125.11        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNWG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3279490 | PA      | $2921210.75    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VYA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1807 | PA      | $1828.62       | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1287716 | PA      | $1135033.39    | 0.00%             | 2048-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MMT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9502203 | PA      | $7772596.34    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3179827 | PA      | $2965735.71    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3623170 | PA      | $2844608.28    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NY4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1686643 | PA      | $1516583.38    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1199619 | PA      | $1133932.88    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KDT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        696 | PA      | $726.03        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF6S3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      43270 | PA      | $40616.41      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SZU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164454 | PA      | $156800.27     | 0.00%             | 2032-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3029 | PA      | $3176.76       | 0.00%             | 2040-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ECEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13065 | PA      | $12085.49      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18462 | PA      | $18154.05      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352792 | PA      | $346853.31     | 0.00%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XEA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49161 | PA      | $48219.33      | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77238 | PA      | $74644.86      | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268632 | PA      | $231977.12     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNE24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5820659 | PA      | $4544362.00    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1548 | PA      | $1539.94       | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68013200 | PA      | $56068105.15   | 0.15%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201GVS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1341 | PA      | $1337.33       | 0.00%             | 2034-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     171241 | PA      | $162404.73     | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117040 | PA      | $115097.34     | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3333 | PA      | $3285.84       | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263405 | PA      | $256095.87     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384VQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $31.61         | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4714 | PA      | $4911.72       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200459 | PA      | $196427.85     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J74Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228814 | PA      | $224286.20     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929GG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $115.96        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVB38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24203753 | PA      | $20901683.63   | 0.05%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVHC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     315094 | PA      | $277624.12     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1954883 | PA      | $1613969.16    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKEP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14439128 | PA      | $13803503.24   | 0.04%             | 2051-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24814 | PA      | $25218.31      | 0.00%             | 2041-08-01      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XEP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28209 | PA      | $28035.30      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2387 | PA      | $2259.31       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3964 | PA      | $4079.15       | 0.00%             | 2042-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3389 | PA      | $3300.73       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F4W72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.49         | 0.00%             | 2025-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHRU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3989835 | PA      | $3586183.90    | 0.01%             | 2051-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178WGS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1642684 | PA      | $1476572.45    | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDVQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2752 | PA      | $2601.11       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UPJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     477371 | PA      | $453300.63     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     394879 | PA      | $385122.52     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406AT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        584 | PA      | $589.43        | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1QR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     591051 | PA      | $535537.87     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36304 | PA      | $36564.90      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        996 | PA      | $1021.01       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTPU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12047312 | PA      | $10985971.27   | 0.03%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W94X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2004 | PA      | $2004.24       | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.33          | 0.00%             | 2025-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DS2G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8969911 | PA      | $7415385.75    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2938935 | PA      | $2803375.34    | 0.01%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BEU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        583 | PA      | $594.91        | 0.00%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9DP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     990251 | PA      | $950422.43     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HSW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2348 | PA      | $2408.78       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QWE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     922176 | PA      | $856631.53     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPLC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15047691 | PA      | $12977858.18   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211DUU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        456 | PA      | $464.69        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210QXR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.45         | 0.00%             | 2029-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413B4V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1309 | PA      | $1340.63       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6MW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24370 | PA      | $25005.60      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12007735 | PA      | $9448493.98    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYUK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4127 | PA      | $4085.94       | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MTJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35360149 | PA      | $28956708.87   | 0.08%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2273989 | PA      | $2114416.39    | 0.01%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      42239 | PA      | $43350.63      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180ACB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4190284 | PA      | $4235995.54    | 0.01%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419FA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1736960 | PA      | $1707981.20    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MGLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60407728 | PA      | $47000568.47   | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456279 | PA      | $417655.85     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     625973 | PA      | $579790.48     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7607734 | PA      | $7101107.00    | 0.02%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WH6K6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     468399 | PA      | $424777.49     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6468458 | PA      | $5993768.44    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5EW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        896 | PA      | $935.07        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866625 | PA      | $784933.01     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XNR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1788 | PA      | $1832.12       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296MKJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24789 | PA      | $25063.35      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29897 | PA      | $29759.98      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BMR66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86334 | PA      | $78106.38      | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86219 | PA      | $84458.12      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KT7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     763413 | PA      | $708699.42     | 0.00%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        512 | PA      | $538.96        | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407H6Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14563 | PA      | $15479.67      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49089 | PA      | $47330.88      | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        469 | PA      | $488.00        | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5787 | PA      | $6095.89       | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415SSQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1165 | PA      | $1193.69       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1SW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     537686 | PA      | $480814.31     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMDN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41873 | PA      | $41091.92      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3816 | PA      | $3909.69       | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11452595 | PA      | $9520110.18    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935ZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        671 | PA      | $677.38        | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DX51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14119 | PA      | $12919.42      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ACYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7613507 | PA      | $7096227.65    | 0.02%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  227662824 | PA      | $177500676.68  | 0.46%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194TZ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     809081 | PA      | $732602.29     | 0.00%             | 2046-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BH3A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23955504 | PA      | $22041910.35   | 0.06%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1460913 | PA      | $1402033.48    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932UX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13029 | PA      | $13363.12      | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1770195 | PA      | $1617965.69    | 0.00%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1730307 | PA      | $1504355.51    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292GS89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1537 | PA      | $1569.43       | 0.00%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M7MG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177321 | PA      | $159415.88     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288D7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        167 | PA      | $171.74        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XQY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      77129 | PA      | $75983.15      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AEEJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3760 | PA      | $3683.47       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210NAX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $50.08         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     981044 | PA      | $862130.63     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307STN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    4470654 | PA      | $4271875.45    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        269 | PA      | $275.88        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMFX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111088 | PA      | $99345.62      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3701245 | PA      | $3306567.91    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MTA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42148877 | PA      | $42746206.59   | 0.11%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2458620 | PA      | $2226842.31    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HC94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.21         | 0.00%             | 2028-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39630 | PA      | $36125.65      | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YDD92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316546 | PA      | $301992.09     | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2PG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247716 | PA      | $241965.65     | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3612267 | PA      | $3229294.91    | 0.01%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128290 | PA      | $115335.55     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MNR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7436 | PA      | $7310.10       | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230895 | PA      | $231823.45     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJT36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179829 | PA      | $171641.65     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRPV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43981448 | PA      | $43632491.22   | 0.11%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KD4K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1437 | PA      | $1497.69       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402E6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2391 | PA      | $2386.67       | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408HA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1527 | PA      | $1565.51       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1515404 | PA      | $1429211.63    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1914 | PA      | $1844.08       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8PS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190502 | PA      | $173967.98     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJS60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22179 | PA      | $20516.40      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389AR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $39.48         | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43093 | PA      | $42633.02      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8X86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35826 | PA      | $33661.95      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151822 | PA      | $148345.94     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5832741 | PA      | $5065722.70    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HQU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        616 | PA      | $649.61        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412UH52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4440 | PA      | $4465.69       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1799852 | PA      | $1733687.99    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34710 | PA      | $35566.78      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291YHH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1889 | PA      | $1963.40       | 0.00%             | 2036-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVLA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      28647 | PA      | $28440.86      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2PR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1402251 | PA      | $1270721.82    | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WSR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     978902 | PA      | $966674.67     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4934 | PA      | $4709.29       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCCB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2632818 | PA      | $2399318.96    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYPC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      15057 | PA      | $14863.84      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215176 | PA      | $193472.07     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EULG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000878 | PA      | $911161.92     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBQL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1422730 | PA      | $1301502.52    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2439355 | PA      | $2117617.20    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMGE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     664916 | PA      | $631336.05     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6DJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     412519 | PA      | $393707.59     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411LQV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9217 | PA      | $9282.99       | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X2R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15602 | PA      | $14068.84      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401CD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $291.76        | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JR6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2584981 | PA      | $2396843.61    | 0.01%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENBT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77925 | PA      | $75897.67      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92000 | PA      | $89579.72      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3JQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466998 | PA      | $426221.55     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXCU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3846 | PA      | $3882.87       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181A2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68909 | PA      | $62621.78      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DD39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4815 | PA      | $4990.07       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8FG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        881 | PA      | $889.15        | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1475178 | PA      | $1374950.58    | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17175 | PA      | $16727.95      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1451873 | PA      | $1313312.28    | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6075 | PA      | $6036.28       | 0.00%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      89485 | PA      | $87442.18      | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X76Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92085 | PA      | $89706.89      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376UX58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.30         | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9YN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6588 | PA      | $6254.96       | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8AZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34991 | PA      | $34585.75      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1306 | PA      | $1357.30       | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201YDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2032 | PA      | $2027.66       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6ZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331810 | PA      | $299661.34     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374F3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.05         | 0.00%             | 2025-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219515 | PA      | $213430.81     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AJKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441028 | PA      | $457239.63     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1412 | PA      | $1402.78       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1345259 | PA      | $1166312.90    | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APCH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1177091 | PA      | $930093.75     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30479270 | PA      | $26668523.24   | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHPV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    4910589 | PA      | $4302131.60    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5ES4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8125253 | PA      | $7445584.82    | 0.02%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4QW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13882 | PA      | $14014.43      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHD61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1591771 | PA      | $1308452.42    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHRS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1940594 | PA      | $1735430.13    | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8B26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351623 | PA      | $304735.60     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FBT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.21          | 0.00%             | 2025-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTSC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     570866 | PA      | $530618.04     | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $311.34        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        236 | PA      | $237.78        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHX97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22550 | PA      | $21409.60      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4720 | PA      | $4929.67       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBMG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1450363 | PA      | $1301194.34    | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XZFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30687 | PA      | $29971.69      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1387300 | PA      | $1299556.97    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3VC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     658152 | PA      | $609205.77     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K15M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1767862 | PA      | $1644033.50    | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8JH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4174688 | PA      | $3668998.59    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388EH74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2283 | PA      | $2384.51       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVWL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9208 | PA      | $8872.48       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F9EL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $34.79         | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FBX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        880 | PA      | $904.29        | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2VC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3150 | PA      | $3102.48       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297KLP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        586 | PA      | $601.40        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298EK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        434 | PA      | $447.07        | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355663 | PA      | $313102.90     | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1086210 | PA      | $976337.17     | 0.00%             | 2044-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5G31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5566522 | PA      | $5043701.58    | 0.01%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560074 | PA      | $496171.10     | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1392634 | PA      | $1385258.94    | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4018484 | PA      | $3856856.71    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6EK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12918 | PA      | $13043.24      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4YG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1669 | PA      | $1713.09       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDBL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2091291 | PA      | $1952233.92    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0DH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127789 | PA      | $119447.40     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E7QA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     753726 | PA      | $687115.09     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98943 | PA      | $91528.22      | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W5HT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4341 | PA      | $3881.70       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CN42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90016 | PA      | $88866.11      | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403MQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        186 | PA      | $190.98        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38753503 | PA      | $31759573.74   | 0.08%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLZU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11660668 | PA      | $11511960.47   | 0.03%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26430851 | PA      | $23368172.83   | 0.06%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9053 | PA      | $9139.73       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WV2K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     766552 | PA      | $685474.93     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194M3F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2172107 | PA      | $1966658.16    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410QUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3730 | PA      | $3965.38       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8477 | PA      | $7301.53       | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MLQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2228068 | PA      | $1827378.60    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XD54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10412 | PA      | $10278.43      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1834105 | PA      | $1779567.33    | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3283 | PA      | $3368.52       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7X35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33766 | PA      | $34633.81      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $303.14        | 0.00%             | 2035-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.53          | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQY89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14008 | PA      | $12531.17      | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22863233 | PA      | $19873211.66   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4PB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3555961 | PA      | $3319553.90    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5060007 | PA      | $4539588.46    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152338 | PA      | $150056.41     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     553717 | PA      | $507602.65     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7H74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8255 | PA      | $8320.95       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20778 | PA      | $20517.99      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10495 | PA      | $10253.96      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1736 | PA      | $1672.53       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1446428 | PA      | $1351383.70    | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G73C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     599489 | PA      | $569113.27     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRAU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3619 | PA      | $3572.23       | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407G6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.49         | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402JXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6600 | PA      | $6589.25       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938ZA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3906 | PA      | $3934.15       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CLF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3121 | PA      | $3045.03       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1531067 | PA      | $1414553.17    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36196PR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7585 | PA      | $7268.64       | 0.00%             | 2047-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8JH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     703702 | PA      | $686000.85     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     861494 | PA      | $748420.37     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMN21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169533 | PA      | $142747.85     | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10093 | PA      | $9756.11       | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7QE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2940462 | PA      | $2841789.36    | 0.01%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2493466 | PA      | $1939266.08    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     734331 | PA      | $610501.16     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q1A47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      23671 | PA      | $23304.00      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11813658 | PA      | $11822375.80   | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56848312 | PA      | $56785279.99   | 0.15%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     842408 | PA      | $810110.75     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LWX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59948 | PA      | $60348.03      | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409177 | PA      | $403890.33     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17432 | PA      | $17228.80      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79198 | PA      | $76246.31      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414L5U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        432 | PA      | $434.62        | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6DV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140711 | PA      | $138034.30     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1804118 | PA      | $1625195.91    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6HN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20777825 | PA      | $20121230.32   | 0.05%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4GJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1983285 | PA      | $1847621.27    | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2169 | PA      | $2228.36       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6207 | PA      | $6235.45       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180NED3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     817079 | PA      | $773972.04     | 0.00%             | 2043-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMJ62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     613949 | PA      | $556825.07     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929DS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9305 | PA      | $9547.47       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FH61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15773 | PA      | $15266.49      | 0.00%             | 2028-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5870 | PA      | $5545.97       | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXCD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6739844 | PA      | $6136197.66    | 0.02%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212HFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        326 | PA      | $334.33        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     737048 | PA      | $736124.55     | 0.00%             | 2052-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500382 | PA      | $492879.46     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6XC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3701161 | PA      | $3054566.36    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54188 | PA      | $53338.11      | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9CQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21263 | PA      | $20730.27      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QAB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        156 | PA      | $160.40        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EVQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5351 | PA      | $5709.58       | 0.00%             | 2038-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTCT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494232 | PA      | $450741.30     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201381 | PA      | $191803.85     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ELN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1428296 | PA      | $1367965.53    | 0.00%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QMRL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1156785 | PA      | $1023561.59    | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   81750000 | PA      | $82529346.46   | 0.22%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400JSC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        221 | PA      | $226.49        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $49.65         | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208489 | PA      | $189150.71     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     696866 | PA      | $609844.52     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293TGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        173 | PA      | $176.07        | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCUX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     812081 | PA      | $802020.75     | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BUJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $195.14        | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195ELB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15309 | PA      | $14750.42      | 0.00%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9RR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1310658 | PA      | $1226128.08    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11605 | PA      | $10411.23      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8QT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50854 | PA      | $47788.22      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1P57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1200875 | PA      | $1072047.72    | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SLH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1080 | PA      | $1087.12       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294V6K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1077 | PA      | $1086.87       | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17912082 | PA      | $14783551.22   | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSBT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6165000 | PA      | $5042836.66    | 0.01%             | 2053-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3528229 | PA      | $3200970.44    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4036765 | PA      | $3359062.47    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386LVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $295.94        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620APLZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7048 | PA      | $6903.81       | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G1FY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     513948 | PA      | $465337.69     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     476770 | PA      | $457554.95     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404MCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        437 | PA      | $435.54        | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0SB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12661516 | PA      | $10372541.17   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MWN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24683033 | PA      | $22784714.00   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295FHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        891 | PA      | $926.44        | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3441586 | PA      | $3174692.96    | 0.01%             | 2053-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BT30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5178686 | PA      | $4796617.55    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPZ67<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1445249 | PA      | $1341952.94    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1GR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1649753 | PA      | $1288010.87    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2MN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232712 | PA      | $223482.83     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5911212 | PA      | $5416505.60    | 0.01%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2042971 | PA      | $2058134.27    | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211DKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        366 | PA      | $371.21        | 0.00%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4275271 | PA      | $4119560.58    | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1289027 | PA      | $1243428.42    | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPPZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9344099 | PA      | $9337248.93    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     318575 | PA      | $305118.80     | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VDP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2664 | PA      | $2690.95       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A95A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11795316 | PA      | $9802726.59    | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q97M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355527 | PA      | $321080.49     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPL63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     803228 | PA      | $738180.17     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4011028 | PA      | $4016463.04    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.33          | 0.00%             | 2027-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3556 | PA      | $3593.30       | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36196UZM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50335 | PA      | $48465.91      | 0.00%             | 2047-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293400 | PA      | $254771.01     | 0.00%             | 2048-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFEY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178617 | PA      | $167316.77     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18149764 | PA      | $18484024.71   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QP98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        255 | PA      | $261.35        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6724723 | PA      | $5552395.71    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675101 | PA      | $661167.85     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7MX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22640 | PA      | $21429.64      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     442891 | PA      | $389207.91     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10142 | PA      | $9557.21       | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1LH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22938810 | PA      | $21243886.48   | 0.06%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24036033 | PA      | $21764238.15   | 0.06%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2PH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203412 | PA      | $184235.47     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M9BY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4288144 | PA      | $3350208.99    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1655438 | PA      | $1485177.42    | 0.00%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $88.68         | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1013499 | PA      | $1003015.87    | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7TU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385566 | PA      | $380096.79     | 0.00%             | 2047-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2682 | PA      | $2581.06       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419CVW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $78.44         | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312927GU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7375 | PA      | $7567.44       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26205006 | PA      | $24474335.12   | 0.06%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPDN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18088028 | PA      | $17111894.97   | 0.04%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     799157 | PA      | $719503.13     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9Y90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.00          | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0SS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6848883 | PA      | $5345267.96    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28548819 | PA      | $27832939.56   | 0.07%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27140966 | PA      | $22317224.78   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NBG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     281280 | PA      | $272182.82     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSTR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15636350 | PA      | $15603907.83   | 0.04%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13138 | PA      | $13459.47      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5Z75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1177 | PA      | $1144.25       | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18675144 | PA      | $16411510.91   | 0.04%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5NV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262447 | PA      | $243545.47     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $87.00         | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10992 | PA      | $11143.94      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EDGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280956 | PA      | $252585.62     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2048 | PA      | $2013.53       | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         29 | PA      | $31.44         | 0.00%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8592553 | PA      | $6680558.04    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413AKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4485 | PA      | $4593.22       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1386246 | PA      | $1318186.85    | 0.00%             | 2038-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        534 | PA      | $546.93        | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  143323433 | PA      | $146397734.58  | 0.38%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3UQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2936 | PA      | $3011.04       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        632 | PA      | $671.55        | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MTD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      70985 | PA      | $68711.71      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUK89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     626737 | PA      | $548377.33     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     396929 | PA      | $347746.30     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DU91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2445096 | PA      | $2269595.63    | 0.01%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375L6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.01         | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYDS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134821 | PA      | $117861.96     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H42Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444510 | PA      | $426631.27     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TQ20<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      91469 | PA      | $89205.00      | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   68425530 | PA      | $55009661.77   | 0.14%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JYH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        374 | PA      | $398.00        | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1040470 | PA      | $1020017.18    | 0.00%             | 2035-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14145415 | PA      | $12795685.12   | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13990 | PA      | $13756.72      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377727 | PA      | $356126.57     | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KQJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2007 | PA      | $2024.00       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ABY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7561 | PA      | $7484.14       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BTV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9508 | PA      | $9738.14       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GNG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.57          | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $329.00        | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133169 | PA      | $117180.43     | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11235343 | PA      | $8844745.32    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5895486 | PA      | $5648520.35    | 0.01%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9UG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45316 | PA      | $42272.64      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LRN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2784 | PA      | $2849.92       | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4449 | PA      | $4422.63       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $154.70        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3250 | PA      | $3209.49       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1603 | PA      | $1655.79       | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9MH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242751 | PA      | $229457.52     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2075660 | PA      | $1962005.36    | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287MA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        622 | PA      | $638.63        | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFQB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3513924 | PA      | $3369544.83    | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWD59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50861619 | PA      | $41556563.79   | 0.11%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407HZL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        393 | PA      | $408.89        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23698 | PA      | $23799.78      | 0.00%             | 2043-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1716125 | PA      | $1553838.92    | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     868999 | PA      | $682031.99     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155580 | PA      | $149409.70     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128498 | PA      | $108268.68     | 0.00%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2080682 | PA      | $1718599.58    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4283 | PA      | $4266.64       | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        148 | PA      | $154.92        | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     705082 | PA      | $655162.84     | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ANJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2619283 | PA      | $2148907.76    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42786069 | PA      | $35024595.19   | 0.09%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307L3Q9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      39492 | PA      | $38434.05      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UET0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $0.80          | 0.00%             | 2025-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7YK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     997821 | PA      | $1024081.35    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404QY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3802 | PA      | $3793.27       | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J36X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     490208 | PA      | $481791.70     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TNG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        218 | PA      | $223.21        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296UZT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      82559 | PA      | $84729.39      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AHAA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48244504 | PA      | $39352183.33   | 0.10%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EDHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8555 | PA      | $7650.30       | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1WE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435813 | PA      | $396801.09     | 0.00%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AF4N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10738 | PA      | $10559.64      | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0SM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10835 | PA      | $10495.28      | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJES3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3059759 | PA      | $2925677.38    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253156 | PA      | $243104.52     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14317 | PA      | $13897.41      | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5749 | PA      | $5433.66       | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PA69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2067 | PA      | $2107.71       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     522426 | PA      | $463737.52     | 0.00%             | 2044-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176PR65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1211443 | PA      | $1110589.78    | 0.00%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1452605 | PA      | $1331037.39    | 0.00%             | 2044-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76461 | PA      | $70728.68      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2405083 | PA      | $2260077.02    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89882 | PA      | $86196.37      | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75049 | PA      | $73825.40      | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7RP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1107342 | PA      | $1033837.63    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UZZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     645526 | PA      | $622444.57     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9497303 | PA      | $9232564.00    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8386306 | PA      | $7321532.54    | 0.02%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EN3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54501 | PA      | $54012.36      | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KWK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3419 | PA      | $3541.27       | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9AY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665845 | PA      | $647098.84     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511105 | PA      | $498796.77     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20109446 | PA      | $17595802.73   | 0.05%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384403 | PA      | $367524.70     | 0.00%             | 2050-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15730918 | PA      | $15262498.08   | 0.04%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2047575 | PA      | $1804797.49    | 0.00%             | 2048-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4423118 | PA      | $4257981.53    | 0.01%             | 2031-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403BHV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1205 | PA      | $1244.86       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935H85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4728 | PA      | $4675.21       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5756166 | PA      | $5227452.20    | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMWY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     299608 | PA      | $284436.67     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2395084 | PA      | $2093540.68    | 0.01%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NJT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70671 | PA      | $69509.18      | 0.00%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26072978 | PA      | $20518234.46   | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6VH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1269652 | PA      | $1094280.15    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284043 | PA      | $265156.24     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4160731 | PA      | $3909406.44    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ABW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2026 | PA      | $2035.85       | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5JM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5789353 | PA      | $5217920.80    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415QCB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1383 | PA      | $1442.26       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8534790 | PA      | $8907245.51    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71585 | PA      | $64013.99      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13944 | PA      | $11749.18      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGAJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     941288 | PA      | $911464.14     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X53H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2381246 | PA      | $2272829.05    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AJMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9759829 | PA      | $9863854.22    | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14170262 | PA      | $11906161.41   | 0.03%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AJM67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1867645 | PA      | $1544332.22    | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16589 | PA      | $16747.27      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75682 | PA      | $75983.76      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q3K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13133 | PA      | $12931.64      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A0ZM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1309421 | PA      | $1256151.86    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942NL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     963544 | PA      | $952399.15     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M5Q5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      30846 | PA      | $29769.35      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23375989 | PA      | $20479534.55   | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7PC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182258 | PA      | $175747.88     | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2448742 | PA      | $2201749.79    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HNP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        242 | PA      | $249.91        | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJLL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378668 | PA      | $363915.04     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1333687 | PA      | $1087864.82    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW4V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17127950 | PA      | $16315380.79   | 0.04%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3X47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82851 | PA      | $83184.39      | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GY42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        662 | PA      | $679.66        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMTC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2859512 | PA      | $2589968.26    | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335ANR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1234044 | PA      | $1203630.83    | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NSM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62674 | PA      | $61366.92      | 0.00%             | 2028-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10664663 | PA      | $9692540.67    | 0.03%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167372 | PA      | $177041.64     | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22368118 | PA      | $22740232.06   | 0.06%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA4T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43691 | PA      | $42099.83      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M8A74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3489563 | PA      | $2855467.92    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7Y69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1164 | PA      | $1174.65       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KF52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8307 | PA      | $8423.08       | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KH3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1183328 | PA      | $1076920.50    | 0.00%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        541 | PA      | $564.54        | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6EN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2113903 | PA      | $1923935.56    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16198 | PA      | $15995.60      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FED92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2508614 | PA      | $2271850.97    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4628 | PA      | $4648.53       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238677 | PA      | $209747.05     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210LX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        687 | PA      | $697.57        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1394596 | PA      | $1376855.55    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q1BX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      34960 | PA      | $34454.63      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     306885 | PA      | $281327.16     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1573 | PA      | $1642.89       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0GY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1090425 | PA      | $958339.38     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1831512 | PA      | $1731409.36    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LRJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4941869 | PA      | $3859605.15    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7UZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9290 | PA      | $9173.54       | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WH5N1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2429484 | PA      | $2128453.13    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0HF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223412 | PA      | $196332.04     | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3CB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     783146 | PA      | $779699.90     | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GV2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1292572 | PA      | $1225784.99    | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17992037 | PA      | $17254846.88   | 0.05%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQXU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15623739 | PA      | $15181287.17   | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD3T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     784425 | PA      | $730840.36     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M6QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4640485 | PA      | $4538978.90    | 0.01%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBG51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1498372 | PA      | $1335060.01    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36286363 | PA      | $29938051.29   | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV7H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     343578 | PA      | $310726.29     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        474 | PA      | $486.23        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28552 | PA      | $27079.07      | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406AJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1864 | PA      | $1929.94       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160327 | PA      | $155930.74     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KA3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344999 | PA      | $312422.26     | 0.00%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1420 | PA      | $1428.59       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NF78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2085046 | PA      | $1830967.23    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7642 | PA      | $7716.60       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8CP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     769597 | PA      | $699788.71     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11728297 | PA      | $11304550.42   | 0.03%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0DP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48216126 | PA      | $43544559.57   | 0.11%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4WP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11152 | PA      | $11227.49      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176X2L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9372 | PA      | $8592.08       | 0.00%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9559 | PA      | $9652.69       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178LZ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     220272 | PA      | $201725.78     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34096 | PA      | $34296.07      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $155.41        | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403T4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2046 | PA      | $2096.82       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200YLW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2995 | PA      | $3113.21       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1770671 | PA      | $1700343.38    | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12572 | PA      | $12397.08      | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617KFFA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     825496 | PA      | $765332.78     | 0.00%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0CF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4363 | PA      | $3938.02       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNEY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8381031 | PA      | $6516190.89    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LVXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5749422 | PA      | $4945612.63    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7YP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596034 | PA      | $514748.56     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GYD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $60.05         | 0.00%             | 2027-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3564 | PA      | $3497.22       | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNAD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694062 | PA      | $648758.78     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8C57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534016 | PA      | $469287.12     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298EW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $65.45         | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTPU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     388008 | PA      | $362697.42     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8C27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7604468 | PA      | $6922823.64    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28844488 | PA      | $22566718.34   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396446 | PA      | $369297.48     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7567 | PA      | $7790.10       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5313306 | PA      | $4130870.80    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FFS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     316479 | PA      | $300069.16     | 0.00%             | 2040-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MGLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1461126 | PA      | $1196268.02    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33849 | PA      | $31351.83      | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     976548 | PA      | $909839.58     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617M5KT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2242447 | PA      | $1954715.31    | 0.01%             | 2050-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1259372 | PA      | $984937.98     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1044 | PA      | $1054.34       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47960845 | PA      | $37382536.58   | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNGY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     966625 | PA      | $872999.25     | 0.00%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2489768 | PA      | $2338045.58    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         82 | PA      | $84.13         | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BLL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1205637 | PA      | $1115788.09    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6860649 | PA      | $5666613.16    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GV52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.08         | 0.00%             | 2028-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MJ5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27815210 | PA      | $22726459.77   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8315 | PA      | $8208.23       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CHH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263173 | PA      | $259101.27     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WECV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103195 | PA      | $96964.38      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     947120 | PA      | $935569.78     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206UPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $43.88         | 0.00%             | 2026-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12761 | PA      | $13215.85      | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJFX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3641759 | PA      | $3013741.22    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     619410 | PA      | $601314.33     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVP82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1938127 | PA      | $1867596.73    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426880 | PA      | $416936.43     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AUXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16038580 | PA      | $15600166.38   | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507954 | PA      | $456719.71     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QC2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3751369 | PA      | $3502648.94    | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QMME8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     697807 | PA      | $640898.05     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1276684 | PA      | $1239273.55    | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGUV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1888805 | PA      | $1637026.54    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQXD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     186012 | PA      | $180400.64     | 0.00%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16379 | PA      | $16529.63      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1ZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77362 | PA      | $69179.26      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1106 | PA      | $1146.68       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936FP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1367 | PA      | $1351.56       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296URM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5827 | PA      | $5888.44       | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518613 | PA      | $471295.95     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KC3V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     631112 | PA      | $609181.35     | 0.00%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199323 | PA      | $170488.11     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57301 | PA      | $55026.85      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46592 | PA      | $43322.63      | 0.00%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1313044 | PA      | $1274080.87    | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AT2M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3233 | PA      | $3167.20       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XALG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23036 | PA      | $22687.49      | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17215565 | PA      | $14442790.69   | 0.04%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53882 | PA      | $54272.24      | 0.00%             | 2043-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTKR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $95.20         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MHT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216784 | PA      | $211937.31     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174358 | PA      | $167863.09     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2H2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     608065 | PA      | $568399.79     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1089986 | PA      | $947439.32     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1083026 | PA      | $1044452.59    | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MGBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610215 | PA      | $548596.38     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7485423 | PA      | $6976845.18    | 0.02%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C0Y69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15071 | PA      | $14762.77      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338613 | PA      | $315482.20     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSSX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1544 | PA      | $1487.78       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413CFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        562 | PA      | $575.95        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q85X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169694 | PA      | $153677.96     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209BUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        163 | PA      | $166.06        | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGSM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196088 | PA      | $178197.52     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10485688 | PA      | $9191967.81    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21666 | PA      | $20892.75      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1980765 | PA      | $1906425.32    | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4901787 | PA      | $4053804.03    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8DK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424339 | PA      | $409593.05     | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6BA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     675976 | PA      | $663732.38     | 0.00%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F012460<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28517209 | PA      | $24993510.58   | 0.07%             | 2039-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3939765 | PA      | $3584810.58    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6Y93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4178 | PA      | $4362.19       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1302041 | PA      | $1188931.66    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46956 | PA      | $45752.69      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUSQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27194442 | PA      | $26389741.97   | 0.07%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4399 | PA      | $4643.48       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1541248 | PA      | $1373262.43    | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6114680 | PA      | $4754119.74    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SW37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18021 | PA      | $18585.35      | 0.00%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7RU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3656666 | PA      | $3323037.83    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     982971 | PA      | $907828.90     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8952 | PA      | $8837.81       | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9D32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     841585 | PA      | $778492.10     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRLJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6098687 | PA      | $4852016.96    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4460330 | PA      | $4060621.94    | 0.01%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105140 | PA      | $104500.06     | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        160 | PA      | $167.77        | 0.00%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2F74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745023 | PA      | $635475.13     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXNS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149309 | PA      | $143604.17     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211N6Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $58.54         | 0.00%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417D4G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277894 | PA      | $249892.45     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15989351 | PA      | $13143410.96   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        236 | PA      | $243.20        | 0.00%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16302698 | PA      | $16093445.32   | 0.04%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EG5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71384 | PA      | $70931.69      | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5050779 | PA      | $4926339.84    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292EVG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2023 | PA      | $2045.18       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293PGW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $81.06         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2215251 | PA      | $2200929.54    | 0.01%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        636 | PA      | $647.50        | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388031 | PA      | $380045.04     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201QTL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1805 | PA      | $1840.65       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46575 | PA      | $43630.78      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJ3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283504 | PA      | $235016.53     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GPU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $35.91         | 0.00%             | 2026-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QU2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9389885 | PA      | $9680055.26    | 0.03%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61333 | PA      | $61788.16      | 0.00%             | 2044-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ3C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     579836 | PA      | $523657.03     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     829840 | PA      | $777411.32     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1929 | PA      | $1915.82       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VXR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1611 | PA      | $1626.07       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSYP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4214467 | PA      | $4265767.49    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5TQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     629115 | PA      | $589293.62     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4UV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3411 | PA      | $3561.65       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57120 | PA      | $50481.32      | 0.00%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776765 | PA      | $666300.43     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDEX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      81952 | PA      | $81383.92      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2727358 | PA      | $2156802.46    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2023 | PA      | $1985.52       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W8CP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9551 | PA      | $8292.34       | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180NCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29520 | PA      | $27049.21      | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WLC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        266 | PA      | $271.81        | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HF6T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     897840 | PA      | $807698.23     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414H2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2121 | PA      | $2212.06       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45104 | PA      | $43979.94      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0T28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9293366 | PA      | $9597608.88    | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N9UD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14616420 | PA      | $14824173.40   | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180BYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1856 | PA      | $1649.84       | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2207 | PA      | $2170.40       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QYE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     572786 | PA      | $548074.17     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8879138 | PA      | $9054194.76    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39274088 | PA      | $38130476.50   | 0.10%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKC98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163220 | PA      | $146738.52     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTSC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209636 | PA      | $196972.86     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3500 | PA      | $3735.87       | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5XY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693888 | PA      | $630998.23     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J57G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1077624 | PA      | $1007284.30    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FR5T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51484 | PA      | $50529.03      | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A2B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        120 | PA      | $121.92        | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294QAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1501 | PA      | $1559.61       | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39952776 | PA      | $37077091.94   | 0.10%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     903732 | PA      | $864741.98     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $397.09        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129386V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5789 | PA      | $5722.42       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173734 | PA      | $166731.47     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410VSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         85 | PA      | $86.79         | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7X36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21261499 | PA      | $19410184.20   | 0.05%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y7J78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204511 | PA      | $193327.42     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     651317 | PA      | $650196.62     | 0.00%             | 2044-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5861599 | PA      | $5351913.81    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2529 | PA      | $2621.94       | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W0LZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281826 | PA      | $275362.80     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B7XZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5955010 | PA      | $5320005.80    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     967344 | PA      | $825438.53     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182G4P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3936 | PA      | $3580.38       | 0.00%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32082 | PA      | $33087.16      | 0.00%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WUW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8387 | PA      | $8348.26       | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319821 | PA      | $309496.97     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XGTV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158260 | PA      | $154847.41     | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938Z48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      21196 | PA      | $20958.52      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47957164 | PA      | $37472366.11   | 0.10%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5668541 | PA      | $4879546.22    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1S68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286048 | PA      | $264400.53     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4MC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100836 | PA      | $99550.00      | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ADH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107497 | PA      | $99437.96      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PEX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      55546 | PA      | $53585.41      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRHE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1954610 | PA      | $2013961.45    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQW28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     803979 | PA      | $753332.75     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52603 | PA      | $52989.73      | 0.00%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4EB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1792752 | PA      | $1759362.91    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTDS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5767695 | PA      | $5491647.73    | 0.01%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1114 | PA      | $1108.45       | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M75R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3300 | PA      | $3123.29       | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y7A28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23538 | PA      | $22248.85      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAQZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3836935 | PA      | $3388249.72    | 0.01%             | 2049-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16324 | PA      | $15450.82      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2651420 | PA      | $2558932.42    | 0.01%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405CJH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5372 | PA      | $5421.42       | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7Q24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     808230 | PA      | $789802.87     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404YBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2257 | PA      | $2314.09       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431439 | PA      | $411302.42     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3VP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     862937 | PA      | $774230.47     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     903514 | PA      | $833805.67     | 0.00%             | 2053-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5587810 | PA      | $4823060.91    | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208G3F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        141 | PA      | $143.95        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185C6U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31944 | PA      | $30045.73      | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0R72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21676363 | PA      | $22384745.27   | 0.06%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M32Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10750800 | PA      | $8358669.27    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13331 | PA      | $12984.06      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296X7E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2632 | PA      | $2659.17       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30906184 | PA      | $25487725.21   | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $40.02         | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J5NY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     716649 | PA      | $705726.07     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2939300 | PA      | $2743856.45    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10302450 | PA      | $8045233.80    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2183955 | PA      | $2105048.31    | 0.01%             | 2051-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200N4T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6692 | PA      | $7021.95       | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKFD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1051727 | PA      | $985091.37     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1506639 | PA      | $1391810.78    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K2B99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        657 | PA      | $662.85        | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51575186 | PA      | $42283283.13   | 0.11%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0QS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12086407 | PA      | $9515543.08    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206VKT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $39.10         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KN2Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     592984 | PA      | $484498.44     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3330514 | PA      | $3171105.83    | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184XCW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2877 | PA      | $2608.10       | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N7Z45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2935967 | PA      | $2940857.01    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     929467 | PA      | $836825.75     | 0.00%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1409851 | PA      | $1104983.39    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22637 | PA      | $20939.56      | 0.00%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LSXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1598706 | PA      | $1318915.97    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $149.72        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55540 | PA      | $52664.70      | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9WX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15032 | PA      | $14780.86      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1441699 | PA      | $1261447.32    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E7JG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8121 | PA      | $7895.19       | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1482007 | PA      | $1418204.29    | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2378 | PA      | $2404.05       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1086984 | PA      | $850411.03     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4682187 | PA      | $4370853.20    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5WF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10111 | PA      | $9557.38       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563242 | PA      | $513760.25     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K75Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1238345 | PA      | $1110981.57    | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        363 | PA      | $366.30        | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1423298 | PA      | $1388865.39    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5122428 | PA      | $5180493.76    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4PE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     802448 | PA      | $727250.79     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BW93<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1944650 | PA      | $1772636.11    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1318182 | PA      | $1285540.69    | 0.00%             | 2053-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17686 | PA      | $18240.48      | 0.00%             | 2041-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323591 | PA      | $1275510.90    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GD6M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9785 | PA      | $9634.46       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19473 | PA      | $19255.12      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GU4D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235920 | PA      | $225462.92     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871001 | PA      | $788889.49     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220382 | PA      | $217633.34     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X4F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120447 | PA      | $109209.99     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     711578 | PA      | $714415.50     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22457 | PA      | $21631.53      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MNP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5767788 | PA      | $5124210.52    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1020520 | PA      | $947386.89     | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3068977 | PA      | $2685270.42    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     348454 | PA      | $344507.97     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     531619 | PA      | $516491.47     | 0.00%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVDD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     293669 | PA      | $267701.27     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416B6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5883 | PA      | $5661.37       | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406XE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        152 | PA      | $151.53        | 0.00%             | 2035-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7GG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      25575 | PA      | $25494.30      | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ACH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23168 | PA      | $22323.79      | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BBR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     422252 | PA      | $406996.01     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   75428333 | PA      | $75165344.04   | 0.20%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J82U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1227622 | PA      | $1198303.31    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2GZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1187212 | PA      | $1024425.61    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSEB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5852980 | PA      | $5960773.55    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FEF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20541454 | PA      | $19892328.90   | 0.05%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13166852 | PA      | $12440640.93   | 0.03%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2321 | PA      | $2345.08       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LYG72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1174201 | PA      | $969478.42     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UV70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7047 | PA      | $6688.80       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8542005 | PA      | $8109671.59    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QU7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20086600 | PA      | $20042817.37   | 0.05%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3399214 | PA      | $2682089.76    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21670 | PA      | $19380.48      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     980110 | PA      | $814795.92     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AXHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4456770 | PA      | $4510329.71    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ML5P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2391996 | PA      | $2149699.84    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3040066 | PA      | $2529692.01    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178TRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3053 | PA      | $2795.88       | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293SLG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        460 | PA      | $467.69        | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M5U6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     282631 | PA      | $272913.01     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254756 | PA      | $232603.79     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420159 | PA      | $366519.76     | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314498 | PA      | $307063.01     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     957154 | PA      | $914156.63     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257348 | PA      | $233730.90     | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7GV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31430 | PA      | $31163.36      | 0.00%             | 2026-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1C87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3814839 | PA      | $3316679.07    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375524 | PA      | $353078.78     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3472689 | PA      | $3423687.96    | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11583 | PA      | $11878.41      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74910 | PA      | $70587.93      | 0.00%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     437729 | PA      | $431331.78     | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMJ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     453295 | PA      | $422873.47     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RGR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29882 | PA      | $29498.48      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3049379 | PA      | $2740926.63    | 0.01%             | 2044-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WD3Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175265 | PA      | $160449.56     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AF4W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7890 | PA      | $7962.64       | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KQW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4510 | PA      | $4667.08       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J52B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1024210 | PA      | $988225.82     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151825 | PA      | $148114.00     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4878886 | PA      | $4418415.94    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297DNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7262 | PA      | $7160.28       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402JAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14850 | PA      | $15214.26      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLD94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15305100 | PA      | $12556585.81   | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     306967 | PA      | $286555.97     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1436 | PA      | $1427.09       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     933327 | PA      | $846406.30     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16665299 | PA      | $16197220.32   | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6MZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     465440 | PA      | $463722.71     | 0.00%             | 2034-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18412284 | PA      | $18673991.05   | 0.05%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1EG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1944 | PA      | $1916.67       | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCSM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      16146 | PA      | $16087.81      | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9SR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3264072 | PA      | $2788733.95    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAH29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57894 | PA      | $53939.27      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQYM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89702 | PA      | $90358.04      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NC77<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       9455 | PA      | $9117.03       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1837 | PA      | $1814.28       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26415 | PA      | $23889.64      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15963121 | PA      | $15364013.54   | 0.04%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293BF68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.28          | 0.00%             | 2028-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5C49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25085656 | PA      | $23691983.54   | 0.06%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946LW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5623 | PA      | $5536.64       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBSY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     868112 | PA      | $752392.15     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTPW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3933 | PA      | $3837.51       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQUB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     588901 | PA      | $492469.71     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GREX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20800670 | PA      | $21058108.71   | 0.06%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192063 | PA      | $179179.08     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230RLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10362 | PA      | $9775.36       | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13488030 | PA      | $12143653.54   | 0.03%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2L73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39772837 | PA      | $34471109.08   | 0.09%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8NX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42192 | PA      | $41704.26      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64706 | PA      | $56862.71      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8747 | PA      | $8966.69       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411VHL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1170 | PA      | $1220.04       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8XY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275659 | PA      | $262466.24     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419EBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2167 | PA      | $2139.58       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398713 | PA      | $351300.19     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHEX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5835850 | PA      | $5137583.59    | 0.01%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     312106 | PA      | $270525.52     | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7585 | PA      | $7896.12       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941WN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214441 | PA      | $215688.97     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19733 | PA      | $19006.74      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2548763 | PA      | $2297190.17    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1846342 | PA      | $1723521.13    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GU38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.66         | 0.00%             | 2028-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299123 | PA      | $272241.75     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GXC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191129 | PA      | $184273.93     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292F2T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1324 | PA      | $1356.77       | 0.00%             | 2035-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1153066 | PA      | $896777.03     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9V54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39003 | PA      | $38002.66      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A22H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1038706 | PA      | $934221.19     | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208FAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $55.10         | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296JML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        705 | PA      | $712.97        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     564929 | PA      | $553296.68     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5V83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1285769 | PA      | $1170515.90    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6830 | PA      | $6580.85       | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTT25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33986922 | PA      | $32116521.18   | 0.08%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3RJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     362917 | PA      | $358226.39     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDJZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11824 | PA      | $11407.51      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153643 | PA      | $149594.62     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AUUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5105147 | PA      | $4020630.38    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NLC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     848098 | PA      | $762310.75     | 0.00%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRYT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211768 | PA      | $189369.50     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7RL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     452448 | PA      | $432358.42     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5AB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     272966 | PA      | $238483.00     | 0.00%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295M5X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1612 | PA      | $1699.45       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5EQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7331 | PA      | $6992.76       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418R6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12560 | PA      | $12398.30      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197631 | PA      | $195729.19     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8UY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     533974 | PA      | $497398.64     | 0.00%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4151571 | PA      | $3422600.69    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     923026 | PA      | $861756.04     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44471 | PA      | $39080.57      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178DD32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     488936 | PA      | $448174.74     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGBC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12769 | PA      | $12963.66      | 0.00%             | 2038-12-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0E76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11832 | PA      | $11464.12      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XGAC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10814 | PA      | $10612.43      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5686 | PA      | $5457.98       | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3871064 | PA      | $3071568.79    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617A0J49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1435504 | PA      | $1268626.31    | 0.00%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     981111 | PA      | $858444.73     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38112 | PA      | $35254.37      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5UA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81723 | PA      | $78495.60      | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0EW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11241236 | PA      | $10330031.59   | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38488477 | PA      | $31554305.29   | 0.08%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11211 | PA      | $11503.01      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7045766 | PA      | $6251500.35    | 0.02%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297AQR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11915 | PA      | $12039.39      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUJM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4815168 | PA      | $4883521.43    | 0.01%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L8Y33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20511 | PA      | $20675.15      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48510 | PA      | $42300.93      | 0.00%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99184 | PA      | $90926.92      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4833 | PA      | $4854.56       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LE43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5154 | PA      | $4955.95       | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20433139 | PA      | $17142135.46   | 0.04%             | 2052-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16367 | PA      | $17067.19      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCG56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42994 | PA      | $42920.20      | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565975 | PA      | $545168.80     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596736 | PA      | $544848.10     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EEG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     455988 | PA      | $459208.49     | 0.00%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2W83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2865 | PA      | $2772.88       | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XR5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     822735 | PA      | $800766.18     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KCX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2560 | PA      | $2634.72       | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGBD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292614 | PA      | $278558.53     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q73S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1025595 | PA      | $957516.63     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1342016 | PA      | $1281180.13    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7UW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100481 | PA      | $95669.46      | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     838192 | PA      | $763059.08     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BAM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        273 | PA      | $279.02        | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1159990 | PA      | $1022129.78    | 0.00%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LWN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8091 | PA      | $8169.09       | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1249 | PA      | $1241.69       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284634 | PA      | $278261.95     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11248 | PA      | $10877.87      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8CY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5928 | PA      | $5975.37       | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2487307 | PA      | $2253260.41    | 0.01%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K4L45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        383 | PA      | $406.99        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5594595 | PA      | $4711065.14    | 0.01%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1QG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3025 | PA      | $2859.90       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22634296 | PA      | $18695448.91   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386FBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        662 | PA      | $695.20        | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LYE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2340 | PA      | $2210.87       | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.48          | 0.00%             | 2025-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21273 | PA      | $21102.08      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8YN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18693 | PA      | $19186.71      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684375 | PA      | $616435.03     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUB89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13425375 | PA      | $11692231.97   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7906 | PA      | $7630.90       | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26690 | PA      | $26809.88      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YYU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4014166 | PA      | $3794663.15    | 0.01%             | 2054-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     306069 | PA      | $275092.67     | 0.00%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X86Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38175085 | PA      | $33206219.58   | 0.09%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292DDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2031 | PA      | $2088.31       | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKBJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2059 | PA      | $2030.65       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        393 | PA      | $395.24        | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10784960 | PA      | $9765606.35    | 0.03%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7XG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1232167 | PA      | $1102021.88    | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395260 | PA      | $360747.17     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDYF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5537 | PA      | $5299.32       | 0.00%             | 2030-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MBP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      49448 | PA      | $49196.03      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QXT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        883 | PA      | $933.51        | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GMFY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3385 | PA      | $3266.01       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1909559 | PA      | $1838367.52    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFDE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505570 | PA      | $489368.45     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4402857 | PA      | $3969792.47    | 0.01%             | 2042-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1646249 | PA      | $1291602.86    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YCB26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12979 | PA      | $12771.54      | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1145781 | PA      | $1066359.76    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1057843 | PA      | $1003257.44    | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6538346 | PA      | $5330333.26    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MFNQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22170 | PA      | $21752.93      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MGK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  120244100 | PA      | $93556590.80   | 0.24%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRD93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22906263 | PA      | $20182354.36   | 0.05%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7026 | PA      | $6889.89       | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GW6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110253 | PA      | $106298.64     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QCN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13644 | PA      | $13833.15      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11525 | PA      | $11885.04      | 0.00%             | 2040-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18327314 | PA      | $15281589.66   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2266153 | PA      | $2206985.81    | 0.01%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8189318 | PA      | $8304058.93    | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10169405 | PA      | $9209615.11    | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418APA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     703724 | PA      | $613929.11     | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     772612 | PA      | $823272.69     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307KA91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59520 | PA      | $58104.40      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        721 | PA      | $738.44        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   59750774 | PA      | $56431226.90   | 0.15%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67585 | PA      | $63303.07      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62279 | PA      | $61581.68      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250270 | PA      | $226649.71     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1577842 | PA      | $1468771.06    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374T2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.38         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177MZZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26049 | PA      | $23854.89      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39712 | PA      | $39711.58      | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3414746 | PA      | $3069335.98    | 0.01%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     991268 | PA      | $1000750.96    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4255428 | PA      | $4034549.67    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8265 | PA      | $8503.54       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     817781 | PA      | $783170.86     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4134 | PA      | $4308.54       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    4409656 | PA      | $3880220.32    | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MF76<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     141468 | PA      | $137971.36     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6YN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2460 | PA      | $2396.37       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AMKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5584718 | PA      | $4580293.44    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5ZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1426831 | PA      | $1294381.89    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCFK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     690811 | PA      | $667313.40     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4860037 | PA      | $4564976.08    | 0.01%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M96D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1429557 | PA      | $1288882.83    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9Y74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3527349 | PA      | $3164750.50    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        186 | PA      | $190.16        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EULL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242442 | PA      | $213055.71     | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10696 | PA      | $10758.23      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MLSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2180364 | PA      | $1960194.84    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92792 | PA      | $93469.91      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHKW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  101650926 | PA      | $86659206.16   | 0.23%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYUX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2621 | PA      | $2445.25       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MGK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44874864 | PA      | $44531974.46   | 0.12%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3620AM2B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1737039 | PA      | $1708676.23    | 0.00%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40405801 | PA      | $38312648.41   | 0.10%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGNX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583693 | PA      | $558646.17     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AAC51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30084 | PA      | $28294.68      | 0.00%             | 2045-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295L2U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        499 | PA      | $519.64        | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     986031 | PA      | $898890.49     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7QW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39253 | PA      | $38282.93      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208FKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        115 | PA      | $115.35        | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423365 | PA      | $433984.55     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXSN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $308.86        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1231386 | PA      | $1112079.21    | 0.00%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3H72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4257102 | PA      | $3987444.27    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1198229 | PA      | $1165578.14    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2826294 | PA      | $2466057.78    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939CK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1176 | PA      | $1163.26       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114973 | PA      | $119044.03     | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6NF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     854706 | PA      | $740734.86     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143860 | PA      | $138461.14     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401HUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $38.80         | 0.00%             | 2033-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2362830 | PA      | $2245905.41    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQRJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25595 | PA      | $25189.83      | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WSQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6610727 | PA      | $5888515.21    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        241 | PA      | $246.46        | 0.00%             | 2028-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        373 | PA      | $382.38        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VL5K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     356969 | PA      | $334802.21     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329P6E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137337 | PA      | $131802.37     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5LF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11120 | PA      | $10805.38      | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J96D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2876962 | PA      | $2538782.89    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722534 | PA      | $696358.67     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100725 | PA      | $93174.50      | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3300 | PA      | $3378.60       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8HL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665947 | PA      | $601425.12     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383LHX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $73.84         | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WH6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5991 | PA      | $5249.64       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81810 | PA      | $82178.71      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1270 | PA      | $1301.38       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391VVG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6291 | PA      | $6627.99       | 0.00%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150152 | PA      | $138788.53     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8QH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2366633 | PA      | $2186150.26    | 0.01%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1284399 | PA      | $1269707.52    | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5564 | PA      | $5347.42       | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KEH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14389 | PA      | $14997.61      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211SD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3495 | PA      | $3603.96       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGAN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4148 | PA      | $4325.55       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3350941 | PA      | $3229871.04    | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $25.84         | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACBP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17085835 | PA      | $15949935.73   | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8DJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5838962 | PA      | $5221386.34    | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292ENA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2128 | PA      | $2193.58       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HD68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $29.94         | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29911 | PA      | $28801.28      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194GQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46393 | PA      | $43211.00      | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407XY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11041 | PA      | $11132.09      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTLX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16250078 | PA      | $14997805.42   | 0.04%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQQJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17971385 | PA      | $14717719.14   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GUW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        250 | PA      | $255.65        | 0.00%             | 2028-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LJU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90482 | PA      | $88367.90      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDJ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2813788 | PA      | $2326145.92    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WL91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4368 | PA      | $4387.28       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8SK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105274 | PA      | $102487.92     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1455362 | PA      | $1417363.79    | 0.00%             | 2046-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFFW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16027441 | PA      | $14494106.16   | 0.04%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28277706 | PA      | $25459215.97   | 0.07%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23524819 | PA      | $19377242.31   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2672 | PA      | $2628.36       | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105426 | PA      | $107977.96     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7492514 | PA      | $6158923.25    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441126 | PA      | $402768.74     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17027330 | PA      | $15725695.63   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129393F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6625 | PA      | $6547.95       | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GP66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.38         | 0.00%             | 2026-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ADKE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     557093 | PA      | $483375.28     | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MNM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      94709 | PA      | $91546.85      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2295287 | PA      | $2162842.84    | 0.01%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H4J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        355 | PA      | $364.39        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XP37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6458 | PA      | $5914.88       | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272717 | PA      | $268746.86     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEBV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     449783 | PA      | $439428.27     | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335911 | PA      | $330774.96     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FPB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        903 | PA      | $918.09        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AUE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4296384 | PA      | $3862701.22    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE6B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     907805 | PA      | $828943.28     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9012 | PA      | $8642.56       | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1X28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3898 | PA      | $3756.46       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12264 | PA      | $13046.78      | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24067495 | PA      | $19849424.46   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L87H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     821417 | PA      | $767778.31     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9AT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17457 | PA      | $17131.46      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KY85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1602 | PA      | $1611.58       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9091633 | PA      | $8189079.42    | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1264249 | PA      | $1173894.16    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFUT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     401544 | PA      | $364147.81     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404BVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1413 | PA      | $1447.83       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412WZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $443.34        | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263154 | PA      | $231277.90     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3211862 | PA      | $3018038.80    | 0.01%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325957 | PA      | $320685.24     | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     736859 | PA      | $667651.91     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9KW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      98060 | PA      | $96958.79      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQST4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6587895 | PA      | $6857097.75    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176920 | PA      | $170099.39     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY3U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117298 | PA      | $115031.50     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E3E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24534 | PA      | $24029.23      | 0.00%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ2V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71236 | PA      | $67335.61      | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9TA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     766453 | PA      | $730821.55     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5CC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     902942 | PA      | $819584.65     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1717922 | PA      | $1449758.32    | 0.00%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4HG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7086177 | PA      | $6336685.71    | 0.02%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HT21<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        792 | PA      | $810.21        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296A6Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1858 | PA      | $1898.03       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEZ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2585 | PA      | $2412.84       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0A94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        192 | PA      | $193.83        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      42980 | PA      | $44114.57      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9M59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     847321 | PA      | $813455.79     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEC87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87918 | PA      | $83939.48      | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HZ65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      44772 | PA      | $45925.39      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7083 | PA      | $6798.66       | 0.00%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ET33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9708 | PA      | $10182.47      | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405QUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1957 | PA      | $1952.29       | 0.00%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LC4U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3115 | PA      | $3197.15       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292MFU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        421 | PA      | $430.96        | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402EX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1191 | PA      | $1202.74       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8HQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99664 | PA      | $95838.79      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5652474 | PA      | $4642887.34    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5648047 | PA      | $5178287.85    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1412 | PA      | $1481.00       | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7D21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     833530 | PA      | $789037.07     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4932407 | PA      | $4586286.36    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        890 | PA      | $912.10        | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRAN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60342 | PA      | $57953.66      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARSE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        304 | PA      | $302.80        | 0.00%             | 2025-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296MFV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13342 | PA      | $13154.48      | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LS3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     863194 | PA      | $760973.33     | 0.00%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DEJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1872 | PA      | $1862.00       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405WR64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        410 | PA      | $415.61        | 0.00%             | 2032-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q72C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51964 | PA      | $46926.43      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     552082 | PA      | $542743.47     | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ANM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21994 | PA      | $21711.49      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1090985 | PA      | $1034251.62    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188422 | PA      | $168669.20     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        131 | PA      | $134.54        | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6482120 | PA      | $6504048.34    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131X7TT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43630 | PA      | $42965.45      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28417 | PA      | $29104.37      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9C30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324607 | PA      | $306832.93     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AV7L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25558 | PA      | $24149.27      | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4512254 | PA      | $3748560.52    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UNA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     876627 | PA      | $845002.85     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389SFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        563 | PA      | $579.19        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NFW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12696 | PA      | $11627.26      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43021847 | PA      | $41917140.63   | 0.11%             | 2053-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2756947 | PA      | $2498578.87    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939M65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     388001 | PA      | $390238.33     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTY87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21435119 | PA      | $22074802.33   | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $136.47        | 0.00%             | 2029-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GV2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23014 | PA      | $22070.65      | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56846469 | PA      | $48655079.77   | 0.13%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2962617 | PA      | $2663457.99    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246925 | PA      | $231441.73     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474405 | PA      | $468584.95     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHNN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3467859 | PA      | $2838782.58    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WKUK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     538224 | PA      | $519980.21     | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WENH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1061135 | PA      | $1023384.31    | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5LL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24298 | PA      | $22487.48      | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413FGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2709 | PA      | $2774.50       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LSR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     699572 | PA      | $681435.05     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142J6AL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24509092 | PA      | $22466241.54   | 0.06%             | 2055-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QG3B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9187134 | PA      | $7246457.52    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16504 | PA      | $15903.30      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1755 | PA      | $1801.11       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291AD30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2614 | PA      | $2645.70       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSUA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17164 | PA      | $16536.43      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210RHY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        883 | PA      | $902.97        | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4683438 | PA      | $4223722.19    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2548508 | PA      | $2301587.60    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMW33<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    7419065 | PA      | $7039604.42    | 0.02%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287V2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $294.07        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JGUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88390 | PA      | $85035.31      | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406QJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4608 | PA      | $4723.35       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22817402 | PA      | $21635385.97   | 0.06%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129314M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1531 | PA      | $1471.45       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1181578 | PA      | $1066564.38    | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15791 | PA      | $14216.38      | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LYE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8230 | PA      | $8126.72       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWFD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19265 | PA      | $17470.54      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1147770 | PA      | $1001314.63    | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QXR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.56         | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JRZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281907 | PA      | $283558.56     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419EDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267192 | PA      | $268396.79     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129395D9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      93840 | PA      | $94386.49      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27267 | PA      | $27180.93      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206UYH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        377 | PA      | $376.76        | 0.00%             | 2026-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YS39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2728347 | PA      | $2507644.08    | 0.01%             | 2054-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SV26<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     511276 | PA      | $502397.46     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293CQX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        175 | PA      | $176.84        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18554000 | PA      | $15468736.39   | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W7F66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     804502 | PA      | $698447.47     | 0.00%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QE2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4752468 | PA      | $4543792.51    | 0.01%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWCE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     399042 | PA      | $380725.81     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9828699 | PA      | $9319540.64    | 0.02%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208UHZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $10.23         | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AHQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14908009 | PA      | $15153604.34   | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LSCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122502 | PA      | $1002306.24    | 0.00%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617GSX87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32538 | PA      | $30004.27      | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WUA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2623 | PA      | $2556.99       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPU34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229338 | PA      | $220858.85     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32809315 | PA      | $28883641.43   | 0.08%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13011 | PA      | $12486.12      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67039 | PA      | $65534.42      | 0.00%             | 2028-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDTM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8420 | PA      | $7782.88       | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7FD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     474999 | PA      | $418480.47     | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236390 | PA      | $212546.30     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36196KHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98492 | PA      | $89202.79      | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PXF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2168 | PA      | $2290.81       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241L6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3773 | PA      | $3711.75       | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176USX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4360 | PA      | $4120.67       | 0.00%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23934896 | PA      | $24821394.28   | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195FHU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     650403 | PA      | $588884.51     | 0.00%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388PL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        608 | PA      | $635.01        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AT23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1030 | PA      | $1044.13       | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KT4S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $240.53        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VGS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6398 | PA      | $6435.95       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748277 | PA      | $722086.92     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFHK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2790222 | PA      | $2727020.98    | 0.01%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23586880 | PA      | $24127853.18   | 0.06%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8RX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     631118 | PA      | $552038.14     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5523 | PA      | $5573.67       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AREF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1192013 | PA      | $1029156.76    | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4521 | PA      | $4359.89       | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGRG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578007 | PA      | $568215.00     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     930500 | PA      | $807771.93     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170801 | PA      | $164881.51     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A13X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232354 | PA      | $201381.40     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409AHN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $338.76        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76372 | PA      | $68299.54      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KL55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11191 | PA      | $11751.27      | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295N4K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        501 | PA      | $505.95        | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20748530 | PA      | $21517012.45   | 0.06%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5EP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4696 | PA      | $4274.96       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8392994 | PA      | $8511746.97    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4UV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3043670 | PA      | $2850828.71    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQYD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6593488 | PA      | $6846171.04    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139525 | PA      | $134443.18     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380KVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $21.76         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1057948 | PA      | $960280.76     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73428 | PA      | $68762.74      | 0.00%             | 2032-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBGH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3612835 | PA      | $2968508.85    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BVM87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     275177 | PA      | $248362.39     | 0.00%             | 2048-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XD46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12502 | PA      | $12770.59      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G3J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2357 | PA      | $2346.34       | 0.00%             | 2037-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLZT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8787637 | PA      | $8675412.93    | 0.02%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11434036 | PA      | $10481795.87   | 0.03%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EM6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2591 | PA      | $2523.85       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939GJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4936 | PA      | $4743.77       | 0.00%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1YJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     784098 | PA      | $734666.68     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314510 | PA      | $309642.19     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.50          | 0.00%             | 2026-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1476664 | PA      | $1329482.30    | 0.00%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MGFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67391 | PA      | $64322.96      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290N4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        549 | PA      | $552.21        | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YW29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     757749 | PA      | $748611.77     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MERD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15266 | PA      | $15167.62      | 0.00%             | 2025-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408EVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $341.94        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56385 | PA      | $57749.89      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3XK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161928 | PA      | $1006629.96    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAEY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245788 | PA      | $237244.98     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQSP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4058501 | PA      | $4063898.59    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8G58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681680 | PA      | $637184.92     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16090 | PA      | $15934.87      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409V2B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1478 | PA      | $1535.22       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $386.20        | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418B6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1997457 | PA      | $1747720.08    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GV4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196217 | PA      | $191079.79     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497667 | PA      | $479412.51     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5669019 | PA      | $5262746.65    | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVXG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185516 | PA      | $173778.98     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        975 | PA      | $999.41        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A36D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11844 | PA      | $11139.73      | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2943868 | PA      | $2901980.02    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RD79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166680 | PA      | $167428.23     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4440825 | PA      | $3492315.94    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25915307 | PA      | $20268017.09   | 0.05%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        838 | PA      | $845.61        | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CDQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        309 | PA      | $308.91        | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMZF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     415575 | PA      | $400774.07     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207XBK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        220 | PA      | $220.29        | 0.00%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5QK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114247 | PA      | $112341.16     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FME0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        372 | PA      | $379.43        | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1987 | PA      | $2048.09       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K34D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1271717 | PA      | $1011412.66    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80936 | PA      | $75656.69      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMMB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81801 | PA      | $79004.92      | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J74A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94793 | PA      | $91340.47      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WKWG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     947405 | PA      | $867293.59     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LSN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     211723 | PA      | $204810.66     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7817578 | PA      | $7608882.63    | 0.02%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J94U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228065 | PA      | $205808.21     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     458654 | PA      | $437957.01     | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274946 | PA      | $266651.53     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6DY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7498 | PA      | $7693.29       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1007824 | PA      | $872187.69     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9F38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1227249 | PA      | $1168486.94    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128P8GG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4568392 | PA      | $4341542.50    | 0.01%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5760559 | PA      | $5454355.74    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38551 | PA      | $33878.51      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUNV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     615466 | PA      | $595782.81     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408JEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $92.86         | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298QSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $28.53         | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        840 | PA      | $846.48        | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        440 | PA      | $442.62        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409UB20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        499 | PA      | $511.70        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQAT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5260562 | PA      | $5130953.83    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     996868 | PA      | $792281.85     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEE49<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     104415 | PA      | $100974.79     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXEC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1088 | PA      | $1116.60       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0FN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101191 | PA      | $97421.15      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208V6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        150 | PA      | $152.47        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J76D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1494671 | PA      | $1398834.24    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AUVC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2619856 | PA      | $2160649.30    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9676 | PA      | $9287.59       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8379 | PA      | $8073.83       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWT60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190295 | PA      | $171858.06     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69519 | PA      | $67709.67      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5KW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9973982 | PA      | $9907705.88    | 0.03%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBH68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4263714 | PA      | $4209201.62    | 0.01%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33136635 | PA      | $29010232.47   | 0.08%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517491 | PA      | $442190.54     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1474746 | PA      | $1335358.30    | 0.00%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $64.27         | 0.00%             | 2028-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1774 | PA      | $1844.81       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEUR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     312541 | PA      | $283434.20     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N25U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3372444 | PA      | $3376684.27    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60350000 | PA      | $56913209.32   | 0.15%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AEV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     337540 | PA      | $329184.56     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QARE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5114996 | PA      | $4770613.42    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4163 | PA      | $3973.56       | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2067562 | PA      | $1989964.68    | 0.01%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FM3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7403 | PA      | $7014.54       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPJR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8720586 | PA      | $6919893.09    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12920 | PA      | $12775.11      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27250806 | PA      | $22536561.74   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1352 | PA      | $1385.50       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        685 | PA      | $690.89        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGKL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1341204 | PA      | $1294715.56    | 0.00%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NJ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4029 | PA      | $4172.79       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13861 | PA      | $13687.46      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHBC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  147782780 | PA      | $115926871.90  | 0.30%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594198 | PA      | $531348.79     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ACBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21792 | PA      | $21879.32      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFRU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     983669 | PA      | $948959.88     | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407W4Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        589 | PA      | $603.57        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83661 | PA      | $80601.93      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F2AR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5231 | PA      | $4899.91       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210LYK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $57.85         | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256551 | PA      | $250198.97     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9YZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5104 | PA      | $5058.46       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHRY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6561288 | PA      | $5875098.06    | 0.02%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M3DE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15372 | PA      | $15106.95      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JM4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8947713 | PA      | $8261991.82    | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDHM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59623 | PA      | $59938.19      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360156 | PA      | $333325.10     | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     861391 | PA      | $813106.95     | 0.00%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X75C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316864 | PA      | $300848.73     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291QZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6122 | PA      | $6259.15       | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKUD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1564009 | PA      | $1296233.57    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67243 | PA      | $63647.29      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BFK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67835 | PA      | $66672.42      | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6ET3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15882181 | PA      | $15671770.68   | 0.04%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444464 | PA      | $398096.55     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0VV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88236 | PA      | $86584.25      | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0D68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331151 | PA      | $320176.35     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7J90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        562 | PA      | $582.22        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292CH31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        909 | PA      | $921.26        | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QUF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1121 | PA      | $1176.06       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBV76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3060483 | PA      | $2520504.49    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374CQD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730615 | PA      | $713200.91     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJTM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341654 | PA      | $332213.00     | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     197915 | PA      | $199026.05     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3MS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543466 | PA      | $525254.94     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPBF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39919705 | PA      | $32702937.93   | 0.09%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HWM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3938 | PA      | $4039.99       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408AD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2675 | PA      | $2741.82       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6451 | PA      | $6667.90       | 0.00%             | 2039-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9YH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3244131 | PA      | $2678651.36    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12561540 | PA      | $12492163.19   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRQ29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     302930 | PA      | $293897.68     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y03E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137515 | PA      | $128121.31     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25019 | PA      | $26594.43      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718657 | PA      | $657752.71     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298EV69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        274 | PA      | $288.32        | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4KC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145185 | PA      | $137536.88     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TDP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239692 | PA      | $231245.15     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WA7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1360 | PA      | $1334.61       | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26607437 | PA      | $24190490.86   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73060 | PA      | $70394.32      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10535 | PA      | $10130.82      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413R2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2035 | PA      | $2120.94       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QB5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662049 | PA      | $637702.73     | 0.00%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7188 | PA      | $6753.85       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933W59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17209 | PA      | $17016.61      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426702 | PA      | $390177.40     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673077 | PA      | $669684.02     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNLF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2049959 | PA      | $1932733.70    | 0.01%             | 2038-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     408052 | PA      | $357121.01     | 0.00%             | 2054-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1450 | PA      | $1438.91       | 0.00%             | 2033-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XCGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3198 | PA      | $3138.35       | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     747967 | PA      | $715040.32     | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8TR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11798795 | PA      | $10803011.27   | 0.03%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N8VN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21728705 | PA      | $21577042.12   | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0WS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33617197 | PA      | $31724598.62   | 0.08%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6738 | PA      | $6768.76       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     935222 | PA      | $877222.18     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PDC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6944 | PA      | $6241.77       | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19384 | PA      | $18905.38      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2041741 | PA      | $1884351.71    | 0.00%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6992957 | PA      | $6589443.57    | 0.02%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LYF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1225228 | PA      | $1133373.74    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1Z27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1128825 | PA      | $1081782.98    | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4595684 | PA      | $3954596.74    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534279 | PA      | $514820.10     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345866 | PA      | $313223.56     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $99.99         | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408JDT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12808 | PA      | $13128.85      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297LDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        484 | PA      | $496.44        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        780 | PA      | $778.72        | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98453 | PA      | $97461.66      | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12847 | PA      | $12955.80      | 0.00%             | 2036-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J5N36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207950 | PA      | $204780.58     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213USA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        893 | PA      | $908.77        | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AF2L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        505 | PA      | $502.05        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6SL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     373717 | PA      | $376256.31     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     852563 | PA      | $756360.26     | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1568611 | PA      | $1420565.26    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7GA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43242 | PA      | $40930.01      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DU73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9044 | PA      | $9265.67       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7Y29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3690990 | PA      | $3054100.00    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     617360 | PA      | $585503.27     | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMXU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        778 | PA      | $770.58        | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1479315 | PA      | $1458780.48    | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAJW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5321748 | PA      | $4188308.67    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BYG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5829 | PA      | $5601.90       | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427771 | PA      | $382526.53     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307AB27<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      14919 | PA      | $14678.67      | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HMU66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     368675 | PA      | $341475.74     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10937 | PA      | $11015.87      | 0.00%             | 2045-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5AZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12900 | PA      | $12209.73      | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q74Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556906 | PA      | $502948.50     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F23F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52864 | PA      | $50659.05      | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DVH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11829 | PA      | $10823.47      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VG42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     489489 | PA      | $477541.43     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7Y59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        490 | PA      | $492.83        | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGUE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6935508 | PA      | $5726434.21    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWWF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2145905 | PA      | $1980408.34    | 0.01%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HTE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1808 | PA      | $1892.84       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305858 | PA      | $295458.30     | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TT27<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     332588 | PA      | $324487.71     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412UQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8635 | PA      | $8527.23       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1193608 | PA      | $1030766.79    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69579 | PA      | $64959.98      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4974 | PA      | $5129.45       | 0.00%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91928 | PA      | $83015.61      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407EPG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        653 | PA      | $658.05        | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2050 | PA      | $1940.16       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387WHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.45          | 0.00%             | 2026-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2217228 | PA      | $2239387.29    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B3L54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40940228 | PA      | $31929921.48   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24448 | PA      | $24769.04      | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290N3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9791 | PA      | $9911.60       | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     982271 | PA      | $989500.46     | 0.00%             | 2046-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4342 | PA      | $4373.87       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406VPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        331 | PA      | $339.42        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11851078 | PA      | $10888798.22   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMWV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     724574 | PA      | $697781.61     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2698689 | PA      | $2101686.98    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KLMJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2381 | PA      | $2443.41       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13885258 | PA      | $11476859.25   | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6973125 | PA      | $6278101.12    | 0.02%             | 2053-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1004799 | PA      | $945175.45     | 0.00%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9U40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12615 | PA      | $12287.21      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14771 | PA      | $14023.41      | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     625240 | PA      | $594926.60     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6883540 | PA      | $6709968.92    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWNX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254638 | PA      | $238020.28     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402596 | PA      | $412567.65     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421455 | PA      | $416577.07     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20504 | PA      | $20959.01      | 0.00%             | 2041-09-01      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVRA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     895889 | PA      | $828090.59     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $31.00         | 0.00%             | 2029-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B3WB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1320149 | PA      | $1037350.27    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4992378 | PA      | $4464242.60    | 0.01%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRB87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24214250 | PA      | $24436647.21   | 0.06%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KR2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9475980 | PA      | $7827173.25    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7V85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1081996 | PA      | $1061620.70    | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213E5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40369 | PA      | $38143.49      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5PW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2435 | PA      | $2598.43       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434256 | PA      | $421951.93     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15667259 | PA      | $14186449.05   | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QS4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9900841 | PA      | $10028510.92   | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMFS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15649 | PA      | $13692.75      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1571506 | PA      | $1303597.61    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDTR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19390 | PA      | $18409.16      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6032251 | PA      | $5158726.08    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HANK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389301 | PA      | $370261.92     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194GQS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1272040 | PA      | $1151723.81    | 0.00%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695320 | PA      | $674023.63     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YK4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324892 | PA      | $311894.27     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1602601 | PA      | $1519630.58    | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31300LSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115890 | PA      | $117976.35     | 0.00%             | 2041-11-01      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K36Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1325 | PA      | $1359.51       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4256673 | PA      | $3540625.51    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701734 | PA      | $617248.34     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177KPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303334 | PA      | $286658.43     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617GSWR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1099368 | PA      | $1014642.92    | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     403343 | PA      | $384976.73     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55411498 | PA      | $45975928.90   | 0.12%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQ3S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11776929 | PA      | $10815199.63   | 0.03%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        926 | PA      | $966.51        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378336 | PA      | $340351.20     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405QP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1245 | PA      | $1256.92       | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVUM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3382581 | PA      | $3211379.76    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TV48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        324 | PA      | $331.83        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401K2Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2387 | PA      | $2513.31       | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234754 | PA      | $213717.08     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRDM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6890568 | PA      | $7015855.93    | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22434 | PA      | $22983.92      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4GD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     742102 | PA      | $772541.80     | 0.00%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418B5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12061 | PA      | $10162.22      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        950 | PA      | $957.46        | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4011084 | PA      | $3808164.26    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        336 | PA      | $342.52        | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2374 | PA      | $2397.75       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60292 | PA      | $56877.34      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     623321 | PA      | $594424.45     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414BX54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3109 | PA      | $3129.47       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129424F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21002 | PA      | $20196.23      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4278 | PA      | $4369.89       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13893052 | PA      | $12268419.33   | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6JX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5671 | PA      | $5548.71       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDB34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9875 | PA      | $9618.19       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677951 | PA      | $652617.77     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4710 | PA      | $4917.43       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382329 | PA      | $347949.00     | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4378 | PA      | $4493.31       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98637 | PA      | $95141.11      | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296QHQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3851 | PA      | $3950.64       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213XCL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1092 | PA      | $1128.38       | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198KYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14922 | PA      | $14059.51      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403663 | PA      | $378234.99     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249673 | PA      | $250796.55     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDSJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3082 | PA      | $3018.67       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1580975 | PA      | $1404567.83    | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMGW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3616 | PA      | $3571.71       | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11786 | PA      | $12077.47      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411DKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        608 | PA      | $634.17        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3202704 | PA      | $2986728.48    | 0.01%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7MX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     659416 | PA      | $594344.28     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600763 | PA      | $543074.31     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1009768 | PA      | $879412.01     | 0.00%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26931376 | PA      | $26239837.48   | 0.07%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5380 | PA      | $5297.36       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HUK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        456 | PA      | $478.15        | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209NER9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        707 | PA      | $708.83        | 0.00%             | 2028-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518001 | PA      | $485370.47     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJTK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1676011 | PA      | $1532550.81    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414PZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        502 | PA      | $505.35        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2105166 | PA      | $1859382.11    | 0.00%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2C63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65582 | PA      | $59227.86      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1143 | PA      | $1149.76       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQM60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48293204 | PA      | $48161957.90   | 0.13%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3953225 | PA      | $3870020.37    | 0.01%             | 2051-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2351485 | PA      | $2218564.08    | 0.01%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M4UG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93667 | PA      | $92046.49      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        194 | PA      | $193.09        | 0.00%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294B6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.75         | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461996 | PA      | $449386.50     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJY87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   12576498 | PA      | $11796054.29   | 0.03%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20166936 | PA      | $19527982.26   | 0.05%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94694 | PA      | $93620.60      | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1294116 | PA      | $1076856.94    | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407AC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2527 | PA      | $2548.08       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417D2G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638744 | PA      | $574244.81     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146927 | PA      | $137157.14     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XZJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6741 | PA      | $6699.14       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76324349 | PA      | $75728215.77   | 0.20%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931DB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1861 | PA      | $1839.60       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        362 | PA      | $366.68        | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236941 | PA      | $219177.35     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FCMJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.31         | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M82T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28882 | PA      | $28172.28      | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18361304 | PA      | $17838640.54   | 0.05%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5XT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1873938 | PA      | $1919305.28    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406YTU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1960 | PA      | $2009.51       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541056 | PA      | $515967.42     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21534 | PA      | $22089.76      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BKG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95534 | PA      | $88488.62      | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5344 | PA      | $5511.22       | 0.00%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M43K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5590 | PA      | $5732.42       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4569 | PA      | $4672.62       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3NK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100314 | PA      | $96335.77      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1843278 | PA      | $1659555.00    | 0.00%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWVT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33159244 | PA      | $31369327.92   | 0.08%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCPM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     799277 | PA      | $728021.86     | 0.00%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ASG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1210 | PA      | $1203.64       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47762 | PA      | $45936.00      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFQV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289273 | PA      | $274156.27     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316903 | PA      | $283355.28     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23629400 | PA      | $19286756.32   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156862 | PA      | $153689.18     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404QH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1788 | PA      | $1851.63       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7DD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14982623 | PA      | $13957759.05   | 0.04%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N1AE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8874061 | PA      | $8394476.74    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7FG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1444 | PA      | $1481.69       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9QH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201890 | PA      | $198129.99     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KL5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1759856 | PA      | $1515280.25    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1080684 | PA      | $928471.69     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   94487964 | PA      | $77201536.89   | 0.20%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1262 | PA      | $1317.15       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J62B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114577 | PA      | $103149.23     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6048189 | PA      | $5713453.76    | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5060314 | PA      | $4399513.85    | 0.01%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2895 | PA      | $2840.47       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7ZL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     636983 | PA      | $623973.94     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M5FB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394399 | PA      | $402496.06     | 0.00%             | 2042-08-01      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204RN87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $7.63          | 0.00%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157078 | PA      | $138218.41     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $384.87        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KGA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18321 | PA      | $18092.36      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7396 | PA      | $7272.12       | 0.00%             | 2027-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NTJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     469110 | PA      | $437971.05     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3150016 | PA      | $2617158.71    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXVH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214506 | PA      | $205712.76     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3MN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8402 | PA      | $7941.49       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3753979 | PA      | $3374254.37    | 0.01%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1555207 | PA      | $1300545.18    | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JRB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96693 | PA      | $91398.55      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAZE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1185520 | PA      | $1027368.95    | 0.00%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200RLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1391 | PA      | $1404.75       | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NM95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3518 | PA      | $3640.34       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64944 | PA      | $61021.05      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BNN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12683 | PA      | $12979.96      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHSF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     764151 | PA      | $711951.75     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18587 | PA      | $17464.46      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40714042 | PA      | $36760313.72   | 0.10%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6VF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12161 | PA      | $11845.19      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517208 | PA      | $505628.16     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1DX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7947 | PA      | $7864.09       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM2V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20062962 | PA      | $15746378.30   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1646329 | PA      | $1612706.10    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0W22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260537 | PA      | $240990.08     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   81258976 | PA      | $65301701.01   | 0.17%             | 2052-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10203067 | PA      | $8993307.91    | 0.02%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W2YL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3436 | PA      | $3311.42       | 0.00%             | 2029-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADU30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443223 | PA      | $402673.01     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M66J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2840 | PA      | $2914.46       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K35Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1007 | PA      | $1015.32       | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NGG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1472 | PA      | $1508.11       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518130 | PA      | $463328.00     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293QU35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        295 | PA      | $299.25        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207706 | PA      | $185014.42     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1076 | PA      | $1052.69       | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7570337 | PA      | $7059828.61    | 0.02%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209UAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3023 | PA      | $3088.39       | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ALNP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3795 | PA      | $3748.73       | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XLG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18631 | PA      | $18485.48      | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NGQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        455 | PA      | $461.12        | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291FVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2794 | PA      | $2870.65       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.28         | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACRX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3659090 | PA      | $3124950.59    | 0.01%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67860 | PA      | $66909.53      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQ6A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3774251 | PA      | $3575756.89    | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393305 | PA      | $386890.51     | 0.00%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFK57<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     314047 | PA      | $284658.91     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1248 | PA      | $1281.16       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        925 | PA      | $965.13        | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3528355 | PA      | $3118260.80    | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A3Z52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2820 | PA      | $2490.48       | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1455 | PA      | $1492.90       | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391VLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1203 | PA      | $1238.30       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H63G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1058049 | PA      | $987869.82     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931YW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        661 | PA      | $653.96        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926406 | PA      | $815548.90     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MES77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39405 | PA      | $38850.99      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2TJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29725107 | PA      | $23183073.78   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7499804 | PA      | $7262185.41    | 0.02%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJNK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103754 | PA      | $104358.29     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCVU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2353579 | PA      | $2032200.69    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3392109 | PA      | $3085023.33    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4Q92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     366459 | PA      | $327814.09     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404RU39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1291 | PA      | $1288.50       | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        817 | PA      | $836.85        | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413ESY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1159 | PA      | $1186.56       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1561812 | PA      | $1380285.02    | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1034726 | PA      | $905578.08     | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTCG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65570574 | PA      | $66778173.49   | 0.17%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2960651 | PA      | $2604200.01    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414UZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4181 | PA      | $4286.09       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16634 | PA      | $16377.33      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PCG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        271 | PA      | $267.76        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JABV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1133358 | PA      | $1118904.19    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDL41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144503 | PA      | $136602.38     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2150475 | PA      | $2056018.59    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VYH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10380 | PA      | $10481.32      | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125212 | PA      | $126141.56     | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HRP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1492 | PA      | $1572.37       | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        606 | PA      | $622.55        | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQM64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5580124 | PA      | $4562690.93    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6CT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2256213 | PA      | $2036881.95    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1660 | PA      | $1759.78       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L9US0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1759121 | PA      | $1764404.13    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144512 | PA      | $139336.44     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164504 | PA      | $143936.40     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1218488 | PA      | $1200198.14    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW2V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16569170 | PA      | $15011157.79   | 0.04%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        410 | PA      | $414.81        | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1617099 | PA      | $1556408.06    | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178C3R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120878 | PA      | $110132.21     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0N91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28484 | PA      | $27456.70      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1QG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246110 | PA      | $230045.98     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6FR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4576956 | PA      | $4516319.48    | 0.01%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FX98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.45         | 0.00%             | 2025-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HK53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        446 | PA      | $458.48        | 0.00%             | 2031-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5U98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288339 | PA      | $281792.33     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1470 | PA      | $1540.87       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179M2V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     290701 | PA      | $304920.59     | 0.00%             | 2043-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459387 | PA      | $442499.23     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KLU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     912897 | PA      | $959975.27     | 0.00%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XD3E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220725 | PA      | $214536.39     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDST2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1460170 | PA      | $1409235.48    | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1450334 | PA      | $1309842.98    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1080331 | PA      | $971052.64     | 0.00%             | 2044-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DDC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         66 | PA      | $67.11         | 0.00%             | 2029-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6LV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7684 | PA      | $8021.80       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201CPN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        674 | PA      | $680.88        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMQV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5506027 | PA      | $4555218.68    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31349SG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35597 | PA      | $36260.42      | 0.00%             | 2033-12-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNQE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7165707 | PA      | $6443845.19    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LURR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26178 | PA      | $24215.48      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        567 | PA      | $565.43        | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413EZA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        423 | PA      | $432.93        | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AAVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106907 | PA      | $100551.39     | 0.00%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143282 | PA      | $132471.14     | 0.00%             | 2043-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1923 | PA      | $2017.37       | 0.00%             | 2042-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286486 | PA      | $273427.02     | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6737 | PA      | $6904.28       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NYR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        360 | PA      | $370.36        | 0.00%             | 2034-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182LDF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66860 | PA      | $62989.81      | 0.00%             | 2044-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6507507 | PA      | $5611187.93    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8A52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338019 | PA      | $302267.05     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRKR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155242 | PA      | $133455.07     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1344 | PA      | $1336.07       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     793180 | PA      | $718319.35     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     291209 | PA      | $297888.22     | 0.00%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VAL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1168749 | PA      | $1126774.13    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4682 | PA      | $4835.07       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29922 | PA      | $28489.52      | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGY65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3300082 | PA      | $3198035.62    | 0.01%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141793 | PA      | $133558.69     | 0.00%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51270507 | PA      | $51974717.17   | 0.14%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6F77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5218314 | PA      | $4877697.67    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     676277 | PA      | $595063.33     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6977633 | PA      | $6843959.45    | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BSW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5345 | PA      | $5221.16       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $54.08         | 0.00%             | 2027-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    4046150 | PA      | $3669332.26    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18092657 | PA      | $14238089.14   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $287.04        | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GS2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1994716 | PA      | $1868554.91    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1932 | PA      | $1945.59       | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290N4T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1919 | PA      | $1935.38       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2502887 | PA      | $2309783.89    | 0.01%             | 2054-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HNWF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     620524 | PA      | $556216.94     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37867929 | PA      | $30940049.39   | 0.08%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQ5C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     404834 | PA      | $388778.96     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9RP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323723 | PA      | $1275638.44    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $225.07        | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1164301 | PA      | $928777.74     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C6L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1062207 | PA      | $957362.83     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407A2K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10882 | PA      | $10972.02      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6434502 | PA      | $5751820.69    | 0.02%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31377D5U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $74.22         | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27477889 | PA      | $21425852.54   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCSH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1460870 | PA      | $1261881.30    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8970956 | PA      | $9246453.19    | 0.02%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBSL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     814273 | PA      | $709154.35     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2700 | PA      | $2767.32       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18145 | PA      | $17532.62      | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRRB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437690 | PA      | $422268.76     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391VVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        255 | PA      | $262.73        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSHD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19208521 | PA      | $19919964.24   | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK3X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2349671 | PA      | $1946653.99    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ANK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1690 | PA      | $1731.25       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3493011 | PA      | $3130621.35    | 0.01%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6RK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     659294 | PA      | $628308.58     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2R87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2974731 | PA      | $2628982.89    | 0.01%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XH3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18999 | PA      | $18307.02      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2450 | PA      | $2511.15       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207LFU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51 | PA      | $51.58         | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MFF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        531 | PA      | $528.51        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936MH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26269 | PA      | $25245.43      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MC5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        460 | PA      | $456.75        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GGBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        719 | PA      | $708.26        | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBRU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15847 | PA      | $14889.91      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1494850 | PA      | $1430705.38    | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HK45<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $72.65         | 0.00%             | 2031-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2766 | PA      | $2925.06       | 0.00%             | 2039-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16619 | PA      | $16026.37      | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0TB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2254381 | PA      | $2088942.25    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDE44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1034255 | PA      | $807754.33     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $208.40        | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     543994 | PA      | $528741.09     | 0.00%             | 2046-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3159339 | PA      | $2764334.56    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KHA71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     262564 | PA      | $249999.90     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        450 | PA      | $458.73        | 0.00%             | 2032-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10760956 | PA      | $8487229.69    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1GL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127874 | PA      | $123109.37     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QC7A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2467173 | PA      | $2360964.84    | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288BLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        782 | PA      | $806.24        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XCH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      90135 | PA      | $88359.06      | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJNY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6471542 | PA      | $6303272.03    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10798 | PA      | $10540.47      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2R43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14342 | PA      | $13772.91      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHSQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646418 | PA      | $569548.59     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K6VS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2996 | PA      | $3024.44       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39756827 | PA      | $36008892.49   | 0.09%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNRC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10243460 | PA      | $7997373.68    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMCM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1545185 | PA      | $1351994.57    | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55730216 | PA      | $43616110.56   | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1V31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301978 | PA      | $291008.43     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BKV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13347 | PA      | $12346.15      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      63646 | PA      | $55362.90      | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6044 | PA      | $6070.76       | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7ZS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1013332 | PA      | $975698.75     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        361 | PA      | $372.12        | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FDM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1540 | PA      | $1597.05       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3247 | PA      | $3326.09       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297AT95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2900 | PA      | $2932.47       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUWB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17268537 | PA      | $14168101.37   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1XP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181140 | PA      | $173900.42     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2660 | PA      | $2642.77       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474760 | PA      | $457787.20     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1D75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25643453 | PA      | $22137740.43   | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24136 | PA      | $23329.06      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214874 | PA      | $209137.59     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412HYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4809 | PA      | $5133.43       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L1KZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $82.04         | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K24K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723704 | PA      | $701988.34     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DBU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2433 | PA      | $2491.68       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0XJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6393015 | PA      | $6625691.02    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJWL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     711049 | PA      | $691425.61     | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1551759 | PA      | $1388658.76    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203348 | PA      | $195614.99     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149995 | PA      | $148070.15     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9QD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2552696 | PA      | $2455695.87    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UGB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3457 | PA      | $3492.80       | 0.00%             | 2040-11-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1252645 | PA      | $1169352.81    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296P7G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1315 | PA      | $1380.11       | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181983 | PA      | $172033.16     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     512668 | PA      | $477336.75     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7204 | PA      | $7298.80       | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4HW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14915 | PA      | $14426.80      | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMSH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151172 | PA      | $141311.04     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     857260 | PA      | $802996.65     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1896761 | PA      | $1586756.87    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LEQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     509493 | PA      | $492979.93     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L5SF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18806624 | PA      | $15533495.47   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180CYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187415 | PA      | $171644.41     | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36919781 | PA      | $37395278.92   | 0.10%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TSV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2352 | PA      | $2362.29       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12807 | PA      | $12598.08      | 0.00%             | 2042-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400EMP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2883 | PA      | $2977.50       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8ZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13573940 | PA      | $12544606.42   | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40131991 | PA      | $39164181.15   | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6ZQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7387 | PA      | $7437.12       | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26944416 | PA      | $27562395.35   | 0.07%             | 2053-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291D3L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4630 | PA      | $4561.26       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQHC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     845816 | PA      | $735364.92     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFMA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1443494 | PA      | $1135055.37    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940K40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4553 | PA      | $4500.44       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11883 | PA      | $12180.71      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPDB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1095296 | PA      | $1050967.12    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45692802 | PA      | $35765401.61   | 0.09%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3522 | PA      | $3478.47       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1101492 | PA      | $1129061.62    | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5936039 | PA      | $5480429.55    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241097 | PA      | $242517.65     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVF75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     507626 | PA      | $444158.45     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XQW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     382556 | PA      | $376777.06     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H2E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11909 | PA      | $12041.08      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11234 | PA      | $10959.69      | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7JM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1959 | PA      | $1847.61       | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378DVG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $75.23         | 0.00%             | 2027-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     895032 | PA      | $783128.29     | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2649 | PA      | $2599.57       | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22239 | PA      | $21867.80      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQCX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17951 | PA      | $16969.83      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JM4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2158633 | PA      | $2131034.34    | 0.01%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     559701 | PA      | $563357.79     | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195FHD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     743110 | PA      | $672823.14     | 0.00%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4JF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1968269 | PA      | $1888148.15    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80497 | PA      | $78505.38      | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1074 | PA      | $1092.33       | 0.00%             | 2032-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2938109 | PA      | $2520277.12    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92499 | PA      | $83779.23      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MJF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       6061 | PA      | $5909.37       | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216078 | PA      | $210529.50     | 0.00%             | 2053-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AW4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19664 | PA      | $19414.39      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9953100 | PA      | $9014873.41    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KJEL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $125.28        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11144 | PA      | $10828.55      | 0.00%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182GUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14344 | PA      | $13427.58      | 0.00%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACMV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22304518 | PA      | $17493471.89   | 0.05%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24247022 | PA      | $20341745.78   | 0.05%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SZB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $147.63        | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36192UEL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4516 | PA      | $4232.93       | 0.00%             | 2046-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295SS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1278 | PA      | $1338.69       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GCV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21310 | PA      | $21508.58      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1537 | PA      | $1550.29       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11244494 | PA      | $10486218.58   | 0.03%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397355 | PA      | $360498.79     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     602765 | PA      | $547400.36     | 0.00%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411GGS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6717 | PA      | $6885.25       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LA54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52329 | PA      | $52633.34      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1618441 | PA      | $1503402.49    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6EL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2795 | PA      | $2743.10       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178VC41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200556 | PA      | $178292.36     | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0ZD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37855141 | PA      | $37732017.58   | 0.10%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     403275 | PA      | $388950.41     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5AX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5603610 | PA      | $4658277.21    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3090659 | PA      | $3031450.13    | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1307 | PA      | $1355.24       | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     490323 | PA      | $434995.07     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8473401 | PA      | $8240477.98    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y2M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60508129 | PA      | $61224941.34   | 0.16%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935M97<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     352392 | PA      | $361498.97     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4900728 | PA      | $4820818.38    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFE46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     644289 | PA      | $613738.05     | 0.00%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118736 | PA      | $116377.10     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415ALT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2287 | PA      | $2343.94       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415VNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1447 | PA      | $1544.90       | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321367 | PA      | $316744.26     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31496 | PA      | $28845.65      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4DS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     879121 | PA      | $759438.76     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8SW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217425 | PA      | $211490.44     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1074172 | PA      | $1017792.04    | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9SZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249725 | PA      | $238247.49     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUCB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13970279 | PA      | $12288312.98   | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313472 | PA      | $283886.30     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7BS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9026007 | PA      | $8407751.13    | 0.02%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1577953 | PA      | $1480093.14    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107942 | PA      | $101113.29     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9BH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25036 | PA      | $22388.17      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VH33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480138 | PA      | $463283.93     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1057484 | PA      | $966967.28     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     966190 | PA      | $845389.51     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4143908 | PA      | $3705211.35    | 0.01%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPEL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1109256 | PA      | $1095045.68    | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BBTT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5006132 | PA      | $4468385.83    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128S5GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213587 | PA      | $217320.92     | 0.00%             | 2038-12-01      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6HH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     427140 | PA      | $413642.31     | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31425USV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22364379 | PA      | $21125946.93   | 0.06%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GT22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.35         | 0.00%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1143930 | PA      | $1143913.91    | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271511 | PA      | $245210.37     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMHP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2330 | PA      | $2290.95       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YVV55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20428 | PA      | $19642.99      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292ETP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        441 | PA      | $439.02        | 0.00%             | 2035-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4196542 | PA      | $4005475.40    | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2389888 | PA      | $2038478.41    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9NM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184380 | PA      | $180700.81     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6651357 | PA      | $6397692.77    | 0.02%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0J32<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      45929 | PA      | $45232.39      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18604 | PA      | $19320.46      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1646776 | PA      | $1598296.78    | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YJB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         76 | PA      | $76.90         | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRLZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     569895 | PA      | $535496.66     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385U5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        457 | PA      | $480.59        | 0.00%             | 2030-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268222 | PA      | $247855.46     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378FCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        316 | PA      | $319.20        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $21.46         | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MWH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16238 | PA      | $16893.86      | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1835137 | PA      | $1536179.83    | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U5N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     341960 | PA      | $329516.35     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFS80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94354 | PA      | $88655.02      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0AU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1127 | PA      | $1058.64       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4606099 | PA      | $4297738.56    | 0.01%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6683783 | PA      | $5243916.12    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7NY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        842 | PA      | $849.03        | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4906779 | PA      | $4090852.09    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3238 | PA      | $3424.36       | 0.00%             | 2039-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19738803 | PA      | $16120231.85   | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8F32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319135 | PA      | $295264.73     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J95A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146759 | PA      | $142418.27     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9DH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9797 | PA      | $9260.52       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SCY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6344 | PA      | $6505.95       | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096156 | PA      | $910250.97     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942UW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4827 | PA      | $4642.14       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RGM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3751 | PA      | $3844.11       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997293 | PA      | $789224.65     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7240 | PA      | $7082.83       | 0.00%             | 2043-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298NMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $67.22         | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MFM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93101 | PA      | $91530.94      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DS28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        177 | PA      | $181.96        | 0.00%             | 2032-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9SE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2168570 | PA      | $2112348.26    | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166032 | PA      | $161327.37     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202WW96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1094 | PA      | $1101.25       | 0.00%             | 2033-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405U3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $410.43        | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12264977 | PA      | $10838359.57   | 0.03%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384CVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47909 | PA      | $48202.74      | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5MJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1386490 | PA      | $1213141.01    | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9V93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82904 | PA      | $74377.11      | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18866638 | PA      | $14786898.48   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     680086 | PA      | $669719.82     | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36192VPR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118401 | PA      | $107521.29     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     347079 | PA      | $329169.66     | 0.00%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382L2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $92.62         | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24607273 | PA      | $23615518.38   | 0.06%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A7H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         99 | PA      | $101.38        | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        666 | PA      | $682.30        | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10459680 | PA      | $10632557.90   | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KPK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        796 | PA      | $803.27        | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJ3R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2397 | PA      | $2287.38       | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144750 | PA      | $135124.93     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37807196 | PA      | $30913749.80   | 0.08%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8389 | PA      | $8335.72       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJLT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7380 | PA      | $7119.63       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FAGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6956 | PA      | $6707.82       | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143574 | PA      | $126171.54     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8813366 | PA      | $8100330.09    | 0.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1NS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $17.69         | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6906402 | PA      | $6688251.29    | 0.02%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BU40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4877 | PA      | $4763.27       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L6Z44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12620 | PA      | $13466.35      | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935BP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9855 | PA      | $9743.95       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931VP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $308.80        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NYWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260818 | PA      | $241272.01     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9LD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4505 | PA      | $3959.20       | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AW4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37328 | PA      | $36852.09      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2517619 | PA      | $1968313.16    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416A4W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2043 | PA      | $2093.33       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411NUW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        406 | PA      | $423.53        | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8043 | PA      | $8101.61       | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1855 | PA      | $1807.08       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5051959 | PA      | $4140029.64    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A25E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     403981 | PA      | $407944.89     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $449.91        | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F03U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     786082 | PA      | $761755.89     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7D83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     727273 | PA      | $701873.15     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     553767 | PA      | $539295.49     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VQGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     934803 | PA      | $845058.84     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27024280 | PA      | $21135329.75   | 0.06%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GX44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $7.43          | 0.00%             | 2027-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LFV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6014 | PA      | $5775.84       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260868 | PA      | $243044.78     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129285R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16114 | PA      | $16533.68      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617NX3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8039690 | PA      | $6710261.40    | 0.02%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ECGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83126 | PA      | $82226.39      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296RND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $545.32        | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62872859 | PA      | $49591916.38   | 0.13%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     956831 | PA      | $799264.88     | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572421 | PA      | $503082.55     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419FD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5794 | PA      | $5564.70       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     614886 | PA      | $590852.38     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11351 | PA      | $11208.75      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     512342 | PA      | $466182.84     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415Y4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12078 | PA      | $12595.00      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224410 | PA      | $221212.83     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407G6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        720 | PA      | $725.84        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GUKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49177 | PA      | $45549.97      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5D26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6496580 | PA      | $5639717.31    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6JN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42120 | PA      | $37270.64      | 0.00%             | 2044-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WW3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215739 | PA      | $192920.58     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RU86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     634138 | PA      | $608502.21     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HQ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1600 | PA      | $1675.32       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2386769 | PA      | $2102945.65    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31080 | PA      | $30563.02      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EN4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17040 | PA      | $16481.91      | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBPJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32014 | PA      | $28724.59      | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDHH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256400 | PA      | $230518.48     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        869 | PA      | $863.34        | 0.00%             | 2025-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411W4M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1139 | PA      | $1166.29       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400NBM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1957 | PA      | $1976.35       | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XMW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        651 | PA      | $683.05        | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2WL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13467 | PA      | $12456.72      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12360680 | PA      | $11195420.48   | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        303 | PA      | $325.93        | 0.00%             | 2037-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213AB60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        573 | PA      | $586.45        | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     870100 | PA      | $678653.69     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UBR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89053 | PA      | $80870.98      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9789706 | PA      | $8860117.56    | 0.02%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        269 | PA      | $280.42        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKXC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89309601 | PA      | $84366794.61   | 0.22%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     909347 | PA      | $846739.14     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1432957 | PA      | $1374244.09    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0J81<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      27983 | PA      | $27557.65      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293WST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1159 | PA      | $1179.86       | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3444 | PA      | $3408.19       | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942NM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14102 | PA      | $13938.96      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CM35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39031 | PA      | $38534.35      | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29752 | PA      | $29885.68      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5H37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3691 | PA      | $3853.49       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2080292 | PA      | $1702923.38    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKTF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8909156 | PA      | $8241239.69    | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50635 | PA      | $48645.18      | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVKA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1891565 | PA      | $1655067.49    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ARAD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1590924 | PA      | $1313577.00    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210B5G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2353 | PA      | $2375.86       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1786 | PA      | $1800.74       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4VV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223151 | PA      | $208643.45     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     588680 | PA      | $592139.86     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VB37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15489 | PA      | $15592.59      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     445786 | PA      | $417582.78     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMKC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3723955 | PA      | $3050590.81    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGGC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144083 | PA      | $126068.83     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GTF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        816 | PA      | $824.51        | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10287894 | PA      | $9315521.53    | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KG2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1129467 | PA      | $937839.25     | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A4WK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7943 | PA      | $7979.15       | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107592 | PA      | $94140.13      | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7335860 | PA      | $7060539.40    | 0.02%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9495945 | PA      | $8490651.94    | 0.02%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8232510 | PA      | $8012812.25    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297AKW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3423 | PA      | $3546.14       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LTU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48651 | PA      | $49299.80      | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3093575 | PA      | $2955051.16    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YMG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     453340 | PA      | $418183.57     | 0.00%             | 2053-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179ME22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34986 | PA      | $31544.91      | 0.00%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $13.70         | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U5T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     366217 | PA      | $353167.56     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9PY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      27443 | PA      | $23976.50      | 0.00%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KALZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $863.63        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6A91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1043667 | PA      | $943840.76     | 0.00%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502813 | PA      | $456825.23     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99385 | PA      | $90476.76      | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMCR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     414639 | PA      | $408180.39     | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1189463 | PA      | $983536.39     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KK31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11831 | PA      | $12000.40      | 0.00%             | 2036-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0T81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341938 | PA      | $329732.74     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PU3P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3332 | PA      | $3306.29       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1073474 | PA      | $960061.42     | 0.00%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2D1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     396118 | PA      | $370278.46     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PS53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192966 | PA      | $185606.53     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YQP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83011 | PA      | $75347.58      | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2021 | PA      | $1972.62       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5750085 | PA      | $5822410.58    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKBM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3766094 | PA      | $3670335.76    | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QVY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13338 | PA      | $13139.24      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8CV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34026463 | PA      | $27026604.12   | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3050135 | PA      | $2530126.35    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52624 | PA      | $52931.00      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5495755 | PA      | $4977662.17    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EULA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251493 | PA      | $246787.49     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35617541 | PA      | $33692649.70   | 0.09%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9BB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4893 | PA      | $4867.91       | 0.00%             | 2027-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FDT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $31.54         | 0.00%             | 2025-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5723 | PA      | $5007.75       | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2684150 | PA      | $2365894.84    | 0.01%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3134597 | PA      | $3046708.46    | 0.01%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598524 | PA      | $559581.91     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4948490 | PA      | $4119040.36    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3956614 | PA      | $3906027.34    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4081558 | PA      | $3219375.70    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307AXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21058 | PA      | $20615.42      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292KPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        583 | PA      | $603.84        | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6XE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        508 | PA      | $530.88        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MCF66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1771849 | PA      | $1592931.10    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383431 | PA      | $371256.38     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440364 | PA      | $436260.11     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1E41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24771969 | PA      | $19408834.06   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HFT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1072 | PA      | $1102.18       | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329343 | PA      | $330660.25     | 0.00%             | 2042-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AULX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1538758 | PA      | $1211870.87    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K4Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8249 | PA      | $8136.11       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3411731 | PA      | $2819406.66    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F14D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298071 | PA      | $285890.06     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1105401 | PA      | $999210.63     | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     886193 | PA      | $765291.88     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3438022 | PA      | $3230352.30    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF3G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690469 | PA      | $628568.75     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $152.63        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XX2W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1285876 | PA      | $1164310.53    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91318 | PA      | $88344.99      | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93692 | PA      | $91943.74      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MFD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7283 | PA      | $7100.38       | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242795 | PA      | $253191.41     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MMDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1554 | PA      | $1437.74       | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11496 | PA      | $11778.51      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35396 | PA      | $29803.21      | 0.00%             | 2045-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936CD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2126 | PA      | $2102.24       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E9AZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146189 | PA      | $139520.92     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3AX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3115265 | PA      | $2902460.48    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHX68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1560974 | PA      | $1534948.70    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16428 | PA      | $16174.59      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $88.62         | 0.00%             | 2032-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HTR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346369 | PA      | $327327.11     | 0.00%             | 2042-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211JPL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        303 | PA      | $306.85        | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134336 | PA      | $129008.19     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5409334 | PA      | $5191353.34    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FYR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $440.56        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3744674 | PA      | $3276487.02    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34007 | PA      | $32765.84      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2TX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2012 | PA      | $1981.65       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GY3A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455187 | PA      | $438861.70     | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETAM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18191 | PA      | $16560.07      | 0.00%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19687 | PA      | $18196.94      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AYJM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3558594 | PA      | $2799484.88    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8907526 | PA      | $8571556.97    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1204188 | PA      | $1091817.67    | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38416 | PA      | $37484.21      | 0.00%             | 2028-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230PCB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     348454 | PA      | $329219.39     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3485 | PA      | $3441.82       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11363 | PA      | $11220.76      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M82Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37095 | PA      | $35787.35      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YB3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95237 | PA      | $92736.01      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJ5F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3480405 | PA      | $3106390.51    | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7891053 | PA      | $6913294.44    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388482 | PA      | $372776.09     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BYT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4507 | PA      | $4552.87       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228999 | PA      | $205841.90     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVS48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3269687 | PA      | $2961093.77    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307G3N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     862702 | PA      | $845461.77     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     272766 | PA      | $238662.65     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A8GB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1131606 | PA      | $981696.92     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410Q6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1368 | PA      | $1402.54       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QT43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     799838 | PA      | $731055.31     | 0.00%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FKX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.80          | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MLUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     735984 | PA      | $723500.03     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     377856 | PA      | $357921.66     | 0.00%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QADK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3686232 | PA      | $3537472.92    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1802133 | PA      | $1585163.43    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930WU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        616 | PA      | $632.24        | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55149 | PA      | $49875.54      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HL3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34612 | PA      | $32247.46      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9034 | PA      | $8671.68       | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410UYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3644 | PA      | $3873.70       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KVH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367530 | PA      | $380283.85     | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9LL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     462453 | PA      | $440238.96     | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217476 | PA      | $199121.30     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16559539 | PA      | $13667570.85   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946EF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1855 | PA      | $1864.99       | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1550824 | PA      | $1365266.03    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434781 | PA      | $416023.50     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7318 | PA      | $7543.24       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403TBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5336 | PA      | $5469.52       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22091687 | PA      | $19951266.19   | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MHLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412010 | PA      | $370275.40     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FNZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1855 | PA      | $1919.97       | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEM22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318634 | PA      | $309959.37     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     900568 | PA      | $807136.41     | 0.00%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384LWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         95 | PA      | $96.39         | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTZR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      25178 | PA      | $25068.11      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GLBE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40398 | PA      | $38974.46      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307D7M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     654577 | PA      | $642551.60     | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279978 | PA      | $269665.73     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GADC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1705509 | PA      | $1584848.03    | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2502125 | PA      | $2334146.69    | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407MZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2402 | PA      | $2422.00       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XWXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1443 | PA      | $1410.32       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7KL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13810 | PA      | $13963.17      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YQZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12389 | PA      | $12693.30      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762177 | PA      | $608237.57     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31079 | PA      | $30680.11      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73882 | PA      | $71959.69      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213WS49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6564 | PA      | $6770.44       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEBP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4253269 | PA      | $3975644.49    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $321.81        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58784 | PA      | $54449.24      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A6HZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1781 | PA      | $1758.37       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5H93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169780 | PA      | $159046.59     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBXA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106262 | PA      | $99529.59      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A32G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3187 | PA      | $3121.50       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16428296 | PA      | $15306073.43   | 0.04%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTBJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14608367 | PA      | $14840345.89   | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28543918 | PA      | $28924974.10   | 0.08%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     321791 | PA      | $311626.23     | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5849241 | PA      | $4776073.74    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $140.69        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17014854 | PA      | $13912508.22   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945K56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117215 | PA      | $117894.00     | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMXN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30573323 | PA      | $24133038.92   | 0.06%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290UFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        256 | PA      | $264.74        | 0.00%             | 2037-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFTD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283136 | PA      | $278412.39     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6EN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5427493 | PA      | $5273054.02    | 0.01%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417L7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10393 | PA      | $10263.02      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16043095 | PA      | $15365444.16   | 0.04%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33453 | PA      | $33025.39      | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VL67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2304 | PA      | $2314.13       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $135.85        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4726740 | PA      | $4475857.97    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185BDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32093 | PA      | $29095.55      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FJQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19231 | PA      | $18976.22      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJ2Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1836230 | PA      | $1785391.92    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     640894 | PA      | $631762.67     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1692383 | PA      | $1475890.31    | 0.00%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110177 | PA      | $106536.62     | 0.00%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11543 | PA      | $9725.99       | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UBC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     459756 | PA      | $449221.20     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415P3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14460 | PA      | $14814.55      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBLZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400626 | PA      | $349034.69     | 0.00%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8304 | PA      | $7520.82       | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWBZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2840668 | PA      | $2209492.90    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        749 | PA      | $788.56        | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106194 | PA      | $102324.55     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4576064 | PA      | $3944357.40    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181AYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10126 | PA      | $9002.58       | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153468 | PA      | $134280.49     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189734 | PA      | $176804.35     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1748296 | PA      | $1702904.20    | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE6H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427838 | PA      | $389483.07     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1NY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205699 | PA      | $201601.07     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3CN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2732535 | PA      | $2150553.01    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30438288 | PA      | $26562948.84   | 0.07%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4S64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3895526 | PA      | $3282260.07    | 0.01%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414JRL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4623 | PA      | $4820.44       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FR4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223487 | PA      | $218137.69     | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQSS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5939587 | PA      | $6129466.40    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15144 | PA      | $13668.52      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401LPS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        812 | PA      | $820.43        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211105 | PA      | $183718.34     | 0.00%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411CCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        191 | PA      | $199.32        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCY91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6934 | PA      | $7114.52       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT3Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2432948 | PA      | $2523059.14    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1228 | PA      | $1222.44       | 0.00%             | 2035-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129306W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        659 | PA      | $651.69        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22740911 | PA      | $19617941.56   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDCF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87338 | PA      | $83883.13      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3FN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694628 | PA      | $606633.86     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9X64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8274 | PA      | $7407.74       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        458 | PA      | $486.78        | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27513 | PA      | $27367.31      | 0.00%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3880 | PA      | $3976.46       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1098590 | PA      | $1077901.84    | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5122 | PA      | $5250.40       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17859 | PA      | $17659.33      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D55V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1797019 | PA      | $1734534.35    | 0.00%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5347894 | PA      | $4900548.07    | 0.01%             | 2054-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9DP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80194 | PA      | $78107.13      | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3UY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     963397 | PA      | $864195.70     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412JBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6520 | PA      | $6549.81       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4NZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374704 | PA      | $351466.06     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49001 | PA      | $47590.91      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L0ST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4527862 | PA      | $3520332.91    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YS54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     448987 | PA      | $435708.11     | 0.00%             | 2054-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4777203 | PA      | $4605136.14    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7CG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161046 | PA      | $156295.06     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7HY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     580323 | PA      | $559622.66     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7501505 | PA      | $6903433.87    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2761736 | PA      | $2165284.64    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8XX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20913 | PA      | $21454.43      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188483 | PA      | $172709.39     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JUL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1705 | PA      | $1752.74       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5955 | PA      | $5722.79       | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402ER91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        262 | PA      | $255.68        | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12179679 | PA      | $11030159.07   | 0.03%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2233 | PA      | $2332.65       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297BRU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5153 | PA      | $5261.50       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31731927 | PA      | $24842953.84   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E6MK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3585 | PA      | $3263.63       | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8464452 | PA      | $7101149.61    | 0.02%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1373442 | PA      | $1280127.17    | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     841659 | PA      | $785357.09     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFSX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81294 | PA      | $79123.48      | 0.00%             | 2031-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QN6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     846050 | PA      | $691266.14     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T2B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        995 | PA      | $1047.24       | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2474517 | PA      | $2470490.06    | 0.01%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WM6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8549 | PA      | $7644.73       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10886746 | PA      | $10621990.12   | 0.03%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91442 | PA      | $89914.06      | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0E94<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     576542 | PA      | $568392.22     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDUM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453901 | PA      | $438801.03     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5387 | PA      | $5317.16       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9555552 | PA      | $9081546.87    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7393318 | PA      | $6471260.42    | 0.02%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56433000 | PA      | $56025182.98   | 0.15%             | 2054-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F040461<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20425000 | PA      | $19769007.82   | 0.05%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178238 | PA      | $165917.47     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTRM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32153810 | PA      | $25094709.98   | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TZV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     325946 | PA      | $318606.01     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391YUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10864 | PA      | $11182.79      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEK99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214581 | PA      | $201704.91     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MSA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5486692 | PA      | $5078113.22    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4GU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12045 | PA      | $11732.06      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1478463 | PA      | $1341329.58    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4505412 | PA      | $4283771.29    | 0.01%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1218 | PA      | $1300.05       | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTPC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179114 | PA      | $168515.98     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GSG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        781 | PA      | $832.02        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8334115 | PA      | $7587067.71    | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N25V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5696129 | PA      | $5690954.76    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204DX38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25510 | PA      | $24103.90      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQLA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12014245 | PA      | $11160274.12   | 0.03%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4T30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1617830 | PA      | $1421731.62    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23742 | PA      | $22800.62      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5PR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4617 | PA      | $4820.80       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FB5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64889 | PA      | $62078.42      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABSD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5865508 | PA      | $4858708.88    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VXC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        912 | PA      | $915.33        | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MAC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $28.51         | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234786 | PA      | $202766.03     | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391V2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17059 | PA      | $17425.27      | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYZF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      71765 | PA      | $70759.67      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NRG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $110.57        | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550255 | PA      | $511436.23     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAEX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175860 | PA      | $171104.87     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4B51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3766 | PA      | $3864.96       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288CZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10788 | PA      | $11119.57      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1219435 | PA      | $1138489.16    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36188Q5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11003 | PA      | $10350.13      | 0.00%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.94         | 0.00%             | 2030-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7655 | PA      | $6853.87       | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9E62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     742466 | PA      | $706907.00     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419C2G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103930 | PA      | $104404.34     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20697057 | PA      | $15308396.87   | 0.04%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11819348 | PA      | $11728494.28   | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JV6Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1881464 | PA      | $1857361.36    | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YV4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2274181 | PA      | $2190524.86    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6MQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3023 | PA      | $3101.70       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2217766 | PA      | $2064969.18    | 0.01%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4048655 | PA      | $3256918.83    | 0.01%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     613830 | PA      | $592237.33     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3197 | PA      | $3216.25       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7DJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560090 | PA      | $525213.86     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMKY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175544 | PA      | $170348.13     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202XD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1980 | PA      | $2033.89       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y2RA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64319 | PA      | $61726.79      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146432 | PA      | $147289.34     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35154 | PA      | $34304.88      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MADV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     191763 | PA      | $181517.89     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936Y27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11112 | PA      | $10679.31      | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5537 | PA      | $5781.38       | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1020293 | PA      | $985436.07     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1760072 | PA      | $1604384.80    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     458070 | PA      | $450841.27     | 0.00%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     229756 | PA      | $223139.03     | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5VM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574471 | PA      | $490000.82     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  226092215 | PA      | $189742424.46  | 0.50%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403QVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        989 | PA      | $1012.97       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YQX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3179821 | PA      | $2712259.54    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286526 | PA      | $256077.46     | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1574740 | PA      | $1526045.41    | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9431388 | PA      | $9056825.04    | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7QU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     399928 | PA      | $392162.04     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8WT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594087 | PA      | $570191.96     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     787398 | PA      | $780060.02     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JAZU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1347677 | PA      | $1247044.26    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HPZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     584420 | PA      | $575512.91     | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F2QS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201306 | PA      | $182306.99     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7456403 | PA      | $6424769.76    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167732 | PA      | $165687.02     | 0.00%             | 2050-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBSN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131129 | PA      | $123962.25     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K06S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4225613 | PA      | $3673812.08    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400HVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        405 | PA      | $414.93        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AGH24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     479153 | PA      | $452733.80     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211EAB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        352 | PA      | $351.62        | 0.00%             | 2035-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412THM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        942 | PA      | $965.46        | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3763696 | PA      | $3293459.86    | 0.01%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AP3B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9260 | PA      | $9173.73       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113240 | PA      | $100162.46     | 0.00%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547304 | PA      | $508401.88     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454456 | PA      | $399370.86     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4304929 | PA      | $4185902.42    | 0.01%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XREC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  167969056 | PA      | $131411950.22  | 0.34%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GFMW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1301 | PA      | $1280.66       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELPP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79617 | PA      | $78288.41      | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135102 | PA      | $130768.00     | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASGT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29175 | PA      | $28551.92      | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1185019 | PA      | $1030273.11    | 0.00%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHBB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530054 | PA      | $494695.83     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378756 | PA      | $363773.77     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416382 | PA      | $402535.20     | 0.00%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YACA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322953 | PA      | $313028.64     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ECN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7890 | PA      | $7093.00       | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVCG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2111039 | PA      | $1683384.21    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9720652 | PA      | $9040867.42    | 0.02%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58492 | PA      | $56261.27      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22752204 | PA      | $21524359.08   | 0.06%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHPT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2819047 | PA      | $2469746.75    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243599 | PA      | $193238.80     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930ZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2657 | PA      | $2626.94       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YE62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3899 | PA      | $3925.27       | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193880 | PA      | $189509.80     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1304140 | PA      | $1247299.84    | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9431716 | PA      | $9454390.58    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T2C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4728 | PA      | $5078.33       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        986 | PA      | $1011.64       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401NWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        474 | PA      | $485.92        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KVF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $213.80        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165632 | PA      | $150018.47     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3674688 | PA      | $3781410.69    | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7607 | PA      | $6531.81       | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3561635 | PA      | $3428265.16    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     606370 | PA      | $591248.29     | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     982143 | PA      | $837538.42     | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295P7H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1176 | PA      | $1265.01       | 0.00%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ATJK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3867027 | PA      | $3292974.92    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8714176 | PA      | $8042437.79    | 0.02%             | 2037-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31323AB35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1791357 | PA      | $1608090.05    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     440613 | PA      | $417009.12     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E74H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2150 | PA      | $2019.86       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C9GZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2439291 | PA      | $2469751.00    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407LGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1741 | PA      | $1755.41       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UL57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     353742 | PA      | $348444.57     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18251 | PA      | $16615.25      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34588 | PA      | $32978.66      | 0.00%             | 2030-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8CQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     395335 | PA      | $376405.58     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13935 | PA      | $12369.80      | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     370533 | PA      | $350984.58     | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     588831 | PA      | $534745.92     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201CJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1087 | PA      | $1121.30       | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8531 | PA      | $8593.65       | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSD56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224974 | PA      | $210298.35     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13650187 | PA      | $11391960.98   | 0.03%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297A5W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        369 | PA      | $372.67        | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.28          | 0.00%             | 2026-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWEX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224456 | PA      | $195957.81     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        505 | PA      | $502.55        | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9XH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108431 | PA      | $94874.07      | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37476544 | PA      | $31267950.53   | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386FF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $75.61         | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TUR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11024 | PA      | $11297.47      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF4J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19833 | PA      | $19133.65      | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  113790607 | PA      | $112909647.84  | 0.30%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3XJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8420 | PA      | $8051.05       | 0.00%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2845713 | PA      | $2465807.42    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7S32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2798885 | PA      | $2585890.10    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BY95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     111618 | PA      | $109147.89     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        844 | PA      | $864.55        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EXM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136023 | PA      | $1103697.47    | 0.00%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRHQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10526004 | PA      | $9860147.30    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16865 | PA      | $16941.66      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15107790 | PA      | $13235825.44   | 0.03%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYSD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6861 | PA      | $6400.84       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MC27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4112 | PA      | $4217.12       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200TR42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18794 | PA      | $19292.22      | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407RZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $346.34        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299483 | PA      | $295806.87     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     626819 | PA      | $599000.47     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1578217 | PA      | $1420908.46    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A3XG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1186 | PA      | $1178.21       | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29679131 | PA      | $26001671.70   | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6C21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2112433 | PA      | $2061715.57    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397042 | PA      | $383113.09     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H73M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398012 | PA      | $361065.58     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411DS75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16449 | PA      | $16859.46      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2579819 | PA      | $2411425.91    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412U2N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1856 | PA      | $1781.61       | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1852955 | PA      | $1531962.54    | 0.00%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5V97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3611366 | PA      | $3379808.71    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L1LT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     804588 | PA      | $735189.82     | 0.00%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KLW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13213 | PA      | $13544.31      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SNK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5909 | PA      | $6011.45       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10439164 | PA      | $8116374.31    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9NY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7429637 | PA      | $6454595.93    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68511 | PA      | $54398.13      | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2938 | PA      | $2763.41       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X46Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73886 | PA      | $66071.05      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        748 | PA      | $756.20        | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2NX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        781 | PA      | $776.63        | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8YY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13122477 | PA      | $10717846.11   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K26D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433501 | PA      | $406379.27     | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143943 | PA      | $145002.03     | 0.00%             | 2046-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NBA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        553 | PA      | $584.84        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M3MY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39527 | PA      | $38843.08      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98173 | PA      | $92797.06      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM5R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140639 | PA      | $125924.54     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NVM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     886144 | PA      | $796508.00     | 0.00%             | 2043-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MAVP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77186 | PA      | $75268.37      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19380 | PA      | $17744.35      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5464152 | PA      | $5243903.12    | 0.01%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $21.72         | 0.00%             | 2026-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1097104 | PA      | $959935.81     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXH43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5087578 | PA      | $4339499.40    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419483 | PA      | $394668.99     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5WB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24246 | PA      | $23826.19      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G1HB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     882451 | PA      | $799009.64     | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90628 | PA      | $89297.13      | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7778210 | PA      | $7919637.48    | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTLZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397617 | PA      | $363371.45     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293HQQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $114.57        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295M6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        127 | PA      | $128.14        | 0.00%             | 2038-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YUW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $357.38        | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207127 | PA      | $187058.56     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X45Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19682 | PA      | $19097.01      | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1172745 | PA      | $1026688.81    | 0.00%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98657 | PA      | $99740.18      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186064 | PA      | $167242.94     | 0.00%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     587955 | PA      | $531737.56     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6247987 | PA      | $6078812.23    | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.66         | 0.00%             | 2027-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3ZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11457 | PA      | $10002.78      | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NDJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5204 | PA      | $5059.15       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LMW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1370 | PA      | $1366.72       | 0.00%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     977146 | PA      | $940527.28     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQ2P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43983448 | PA      | $43817594.39   | 0.11%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8Q23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2282 | PA      | $2300.02       | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6X38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343998 | PA      | $312795.28     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJRS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7761325 | PA      | $6723986.11    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9FH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182666 | PA      | $184123.80     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWEL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3346772 | PA      | $3255427.56    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     551587 | PA      | $505425.21     | 0.00%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9G96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481235 | PA      | $500974.34     | 0.00%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     363623 | PA      | $336805.75     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VVJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5128 | PA      | $5332.12       | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19902037 | PA      | $15687240.85   | 0.04%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     867175 | PA      | $832225.42     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NG85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $33.68         | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147747 | PA      | $137923.05     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNSP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1314399 | PA      | $1176844.97    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4723 | PA      | $4756.48       | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HXB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     126287 | PA      | $127687.84     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211B2P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        704 | PA      | $727.80        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NRF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     154935 | PA      | $149483.30     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UNW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.80          | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMMQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        811 | PA      | $807.56        | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7L46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6145 | PA      | $6076.35       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WLUF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     819732 | PA      | $813322.32     | 0.00%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PE27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4278 | PA      | $4106.43       | 0.00%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350788 | PA      | $340441.54     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L2L27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1357089 | PA      | $1124841.56    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1234 | PA      | $1305.73       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1768871 | PA      | $1547713.69    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9697 | PA      | $9792.58       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292297 | PA      | $284696.63     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4250352 | PA      | $3973372.12    | 0.01%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DTB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211117 | PA      | $193333.46     | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3782195 | PA      | $3639540.24    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28907256 | PA      | $25835822.83   | 0.07%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     272371 | PA      | $246206.14     | 0.00%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XX2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136635 | PA      | $129153.28     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHCD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1970438 | PA      | $1828359.27    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1401846 | PA      | $1359381.83    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1596 | PA      | $1638.15       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKVL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     840965 | PA      | $809991.33     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296YTY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6509 | PA      | $6885.77       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        410 | PA      | $416.70        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSMU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     207096 | PA      | $200024.93     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18434427 | PA      | $14407314.50   | 0.04%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409AKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        869 | PA      | $891.21        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40056525 | PA      | $35372375.62   | 0.09%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASZH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24408933 | PA      | $19988671.04   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E6RR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8293 | PA      | $7287.47       | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49255392 | PA      | $44606660.07   | 0.12%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19475457 | PA      | $15885783.61   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KYN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154398 | PA      | $155306.69     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B9MX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46456594 | PA      | $37957431.92   | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XULZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122220 | PA      | $114476.12     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450489 | PA      | $435816.12     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3044 | PA      | $3008.90       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2055857 | PA      | $1928358.42    | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5377284 | PA      | $4747100.11    | 0.01%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBCF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6270536 | PA      | $5848353.28    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385H3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        331 | PA      | $336.48        | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101827 | PA      | $99924.13      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9761810 | PA      | $9341549.81    | 0.02%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57423 | PA      | $52021.25      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9XA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25236 | PA      | $24764.06      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1016 | PA      | $1061.38       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8ST1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42585 | PA      | $41548.09      | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378NGL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        435 | PA      | $436.48        | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4KL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     170734 | PA      | $177953.99     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5W86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1244308 | PA      | $1168330.30    | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFVF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15730034 | PA      | $12861951.79   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     618452 | PA      | $609895.40     | 0.00%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9US2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2961827 | PA      | $2450237.50    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HEP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $182.11        | 0.00%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2119496 | PA      | $1649085.79    | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206GR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12335 | PA      | $12780.00      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     201447 | PA      | $182944.16     | 0.00%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44397 | PA      | $42547.23      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKTA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724680 | PA      | $662649.72     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22893461 | PA      | $17865773.68   | 0.05%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     725979 | PA      | $657793.03     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17688 | PA      | $17251.37      | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PDH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32920 | PA      | $30147.49      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2157 | PA      | $2166.24       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E02B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8775531 | PA      | $9085569.08    | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFYF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12462832 | PA      | $12321711.13   | 0.03%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5ZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2201353 | PA      | $1920319.66    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1066610 | PA      | $958720.09     | 0.00%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF4G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3798647 | PA      | $3569193.98    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391YW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        279 | PA      | $286.10        | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218700 | PA      | $215892.84     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57424 | PA      | $53793.41      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WZSF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11405 | PA      | $11099.61      | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3800499 | PA      | $3700904.91    | 0.01%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335ABE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     840824 | PA      | $756989.77     | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8256860 | PA      | $7696365.18    | 0.02%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182XNP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31763 | PA      | $28760.39      | 0.00%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     478187 | PA      | $434847.04     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1468 | PA      | $1409.68       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        643 | PA      | $683.01        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXCC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3340924 | PA      | $2959154.51    | 0.01%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        279 | PA      | $286.21        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HM6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1111143 | PA      | $1066302.58    | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        933 | PA      | $992.20        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E06D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23858 | PA      | $22989.31      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21239 | PA      | $22175.05      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $76.72         | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206WZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $3.18          | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76979 | PA      | $69936.43      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5283307 | PA      | $4837411.55    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2YR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245244 | PA      | $239455.66     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180ACC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1075445 | PA      | $1098513.53    | 0.00%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9YH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115059 | PA      | $113062.32     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133511 | PA      | $126200.04     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     520531 | PA      | $493582.27     | 0.00%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNL93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26489734 | PA      | $23923195.51   | 0.06%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N42J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11823912 | PA      | $11991973.93   | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26238 | PA      | $25139.68      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WENV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102316 | PA      | $95088.31      | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D56V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1160763 | PA      | $1054597.86    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12114375 | PA      | $11001648.67   | 0.03%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   89350000 | PA      | $90222186.45   | 0.24%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     846785 | PA      | $696591.01     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $102.78        | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1959 | PA      | $1977.74       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PX5W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15160 | PA      | $14971.54      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  274954213 | PA      | $220990835.45  | 0.58%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4377 | PA      | $3914.02       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2916495 | PA      | $2837971.19    | 0.01%             | 2054-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYYU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15723 | PA      | $13757.18      | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2142430 | PA      | $1924973.87    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547191 | PA      | $538962.56     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K2HR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5791 | PA      | $5943.22       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1328 | PA      | $1384.48       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YK81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        161 | PA      | $162.94        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJJ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1137890 | PA      | $1041671.30    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1559967 | PA      | $1373295.37    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBRE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        446 | PA      | $439.36        | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BLJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1246515 | PA      | $1127610.84    | 0.00%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1949120 | PA      | $1838943.57    | 0.00%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8LT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239775 | PA      | $221568.91     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409FLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $340.35        | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7430 | PA      | $7023.08       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329098 | PA      | $314930.04     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KR37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        494 | PA      | $517.50        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1400707 | PA      | $1277811.20    | 0.00%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7ZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308503 | PA      | $279419.60     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9YX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46903 | PA      | $46182.86      | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1141388 | PA      | $1078520.35    | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30133 | PA      | $29145.25      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12438662 | PA      | $12075139.77   | 0.03%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7537139 | PA      | $7640662.84    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7170697 | PA      | $7198850.18    | 0.02%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2905907 | PA      | $2864621.32    | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179CFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189636 | PA      | $179222.26     | 0.00%             | 2042-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7XQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       6041 | PA      | $6197.21       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288DS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8430 | PA      | $8689.22       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16546090 | PA      | $12981616.88   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QLG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9394 | PA      | $9378.59       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     865407 | PA      | $705896.70     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D55S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1954039 | PA      | $1778327.96    | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3853203 | PA      | $3281202.76    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92988 | PA      | $89215.45      | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1520992 | PA      | $1330376.24    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38602 | PA      | $35385.01      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BH6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3831470 | PA      | $3625564.39    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490871 | PA      | $475758.32     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QN7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8901158 | PA      | $7963735.56    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMEB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     787847 | PA      | $738924.58     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296PWL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4946 | PA      | $4873.48       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XGYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     303801 | PA      | $305019.81     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248855 | PA      | $228156.87     | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     441498 | PA      | $389150.30     | 0.00%             | 2049-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q1CT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      32085 | PA      | $31623.75      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3830 | PA      | $3923.92       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156562 | PA      | $148483.03     | 0.00%             | 2043-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5387778 | PA      | $5485627.94    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413NGJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7948 | PA      | $8394.84       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2XA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7762 | PA      | $7655.89       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4PV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6038225 | PA      | $5582023.34    | 0.01%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236424 | PA      | $233411.23     | 0.00%             | 2032-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     885849 | PA      | $806037.84     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11655 | PA      | $11366.83      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1288737 | PA      | $1166661.87    | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MTF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28433 | PA      | $28776.42      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403Q4M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        795 | PA      | $814.56        | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1983413 | PA      | $1617835.01    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413EB20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $99.32         | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         85 | PA      | $86.67         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSMY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30409508 | PA      | $30342731.87   | 0.08%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418S2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9582 | PA      | $9202.06       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7E36<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     292251 | PA      | $295046.11     | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     319663 | PA      | $326994.70     | 0.00%             | 2053-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11884152 | PA      | $9736506.45    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCBK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16285 | PA      | $16256.93      | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.43          | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138APUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6076 | PA      | $5974.14       | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J73Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8141323 | PA      | $7154505.10    | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3136 | PA      | $3212.89       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3170293 | PA      | $3017856.70    | 0.01%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS6W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $167.23        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AMGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5226049 | PA      | $5074877.28    | 0.01%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8737 | PA      | $9013.88       | 0.00%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8L90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     850895 | PA      | $766625.86     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $396.56        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMLM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     885418 | PA      | $819459.40     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XSC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      19849 | PA      | $19609.00      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1340102 | PA      | $1213768.09    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UUR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66744 | PA      | $61121.94      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDTZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9299 | PA      | $9125.17       | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65035 | PA      | $64232.16      | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4196759 | PA      | $4171828.29    | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MD5D1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     464389 | PA      | $452706.93     | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1JW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1570 | PA      | $1505.70       | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NG36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     238800 | PA      | $209873.42     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFVB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650395 | PA      | $603712.37     | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        694 | PA      | $711.78        | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4NY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2930 | PA      | $2769.42       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33732 | PA      | $32853.32      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1791797 | PA      | $1559829.67    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPBG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16285342 | PA      | $13956262.13   | 0.04%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230652 | PA      | $221201.63     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307A2T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7077 | PA      | $6876.60       | 0.00%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6DQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281198 | PA      | $265823.90     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287S7D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        278 | PA      | $292.82        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19181839 | PA      | $15080784.72   | 0.04%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7JF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2583193 | PA      | $2485761.19    | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1471 | PA      | $1464.63       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6H86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32859544 | PA      | $31376763.37   | 0.08%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XX4M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4756977 | PA      | $4308525.96    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9NN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1493655 | PA      | $1429316.92    | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7994189 | PA      | $7448103.26    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60404 | PA      | $56906.04      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEAV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     886026 | PA      | $850315.87     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ES77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5003463 | PA      | $4498223.73    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHXM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3491 | PA      | $3433.24       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1373838 | PA      | $1231139.88    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DURG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37922148 | PA      | $35075022.90   | 0.09%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MAUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27635 | PA      | $25563.17      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14224045 | PA      | $12890918.01   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        602 | PA      | $617.10        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGH72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        814 | PA      | $809.58        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1262260 | PA      | $1227338.97    | 0.00%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GREL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32423 | PA      | $28305.98      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3881653 | PA      | $3767949.33    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJRA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8345384 | PA      | $6529078.49    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945ZL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1238801 | PA      | $1219702.02    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7969701 | PA      | $7761620.15    | 0.02%             | 2046-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G4J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.62         | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33747 | PA      | $32431.33      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86452 | PA      | $81226.76      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQ5B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6475944 | PA      | $6582978.47    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WPW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48178 | PA      | $48395.62      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4914046 | PA      | $4128128.74    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209Y5R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        156 | PA      | $158.05        | 0.00%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HNWG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     733343 | PA      | $657343.67     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3N89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     809495 | PA      | $737061.22     | 0.00%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADVM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271508 | PA      | $250846.56     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1204168 | PA      | $1061392.24    | 0.00%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMT84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43664 | PA      | $42597.65      | 0.00%             | 2028-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302783 | PA      | $270234.93     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6LE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382948 | PA      | $357528.36     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31326FRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61719 | PA      | $62969.50      | 0.00%             | 2043-05-01      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJWD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6102 | PA      | $5817.38       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7521596 | PA      | $7734636.90    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8C88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31403838 | PA      | $26799624.48   | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUNF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1035551 | PA      | $936536.63     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102208 | PA      | $108643.02     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KWQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22286 | PA      | $21402.57      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400HPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        418 | PA      | $428.73        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        497 | PA      | $509.60        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3PZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2491698 | PA      | $2065353.07    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUJ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1427 | PA      | $1417.79       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H062669<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  136543493 | PA      | $139417057.64  | 0.36%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9492990 | PA      | $8316739.72    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1184765 | PA      | $940716.63     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.12          | 0.00%             | 2025-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7XT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1763657 | PA      | $1700488.92    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KZD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26416 | PA      | $26753.55      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7EF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1633526 | PA      | $1525092.95    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413SNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $194.85        | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378890 | PA      | $334060.03     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSLF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10061899 | PA      | $10381975.86   | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   99458236 | PA      | $98655671.22   | 0.26%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19541 | PA      | $19656.10      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     919178 | PA      | $833852.95     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EXT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        408 | PA      | $420.33        | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GZR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $41.99         | 0.00%             | 2027-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21230726 | PA      | $21247699.93   | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALJ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9906768 | PA      | $8205223.12    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3XJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423442 | PA      | $383057.64     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13659070 | PA      | $12924058.35   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19260 | PA      | $18946.21      | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294SS32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        448 | PA      | $456.55        | 0.00%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C3CG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13663 | PA      | $12889.43      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6999 | PA      | $6520.92       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTQE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4484743 | PA      | $3730212.79    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QKW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        335 | PA      | $351.46        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7W53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        789 | PA      | $784.70        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409VDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        213 | PA      | $214.59        | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT6H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2668194 | PA      | $2106137.45    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3751 | PA      | $3848.86       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2B49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10204 | PA      | $9645.55       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129383F8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     119203 | PA      | $120062.58     | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKGL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39438 | PA      | $38779.89      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13989 | PA      | $13808.34      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11008 | PA      | $11098.64      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58076 | PA      | $55960.48      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N6Q62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4430145 | PA      | $4429137.07    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5YU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116555 | PA      | $101982.18     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        259 | PA      | $268.69        | 0.00%             | 2029-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVUT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     721114 | PA      | $703437.59     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J82S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4125020 | PA      | $3916336.48    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11103 | PA      | $11194.53      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W6RG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1082532 | PA      | $1000609.38    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8790824 | PA      | $8185104.33    | 0.02%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     741915 | PA      | $649111.42     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E5FZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19587 | PA      | $18873.98      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPTD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3513339 | PA      | $3001183.05    | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2974295 | PA      | $2582745.50    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     687119 | PA      | $661860.05     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FALF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276222 | PA      | $243375.25     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213ER81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        191 | PA      | $196.18        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7EL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     989735 | PA      | $913884.82     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.69          | 0.00%             | 2025-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELQA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60177 | PA      | $59209.39      | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314527 | PA      | $303683.16     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QU6X6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     245690 | PA      | $238369.60     | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391PBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2030 | PA      | $2127.43       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1061133 | PA      | $1094388.99    | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNAW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3643961 | PA      | $2980892.59    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CZ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        947 | PA      | $978.52        | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213C6C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $86.65         | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5111 | PA      | $5239.69       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MXQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1033912 | PA      | $1005378.42    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2453 | PA      | $2396.29       | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SBM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184898 | PA      | $159672.35     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2396820 | PA      | $2356832.26    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1295029 | PA      | $1241873.77    | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGDT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6169 | PA      | $5933.78       | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3CM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2457776 | PA      | $1939489.50    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5E54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2706532 | PA      | $2532991.34    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1325035 | PA      | $1231195.43    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0FP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114243 | PA      | $109863.03     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPQR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4161235 | PA      | $3834640.62    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210HQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        107 | PA      | $107.69        | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6811942 | PA      | $5646376.35    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QZD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1700169 | PA      | $1529172.24    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M3M6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     249537 | PA      | $241104.01     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60272 | PA      | $60862.85      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQN86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     861790 | PA      | $685052.23     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4XV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        923 | PA      | $946.31        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9WL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2310368 | PA      | $2092314.98    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FV3J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354910 | PA      | $321447.45     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412WJN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        539 | PA      | $574.13        | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KQM45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $108.97        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417J5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43156 | PA      | $43350.96      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETDZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82644 | PA      | $77684.79      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9DD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     720040 | PA      | $685337.27     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE6U4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      71315 | PA      | $69500.75      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8457405 | PA      | $6595469.85    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3605966 | PA      | $3224775.12    | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X2T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7978 | PA      | $7233.40       | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WG6K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     211687 | PA      | $213909.83     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8KV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2785269 | PA      | $2853515.60    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DYS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1804 | PA      | $1851.90       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8437 | PA      | $8641.32       | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8TQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2314506 | PA      | $2162225.47    | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4DM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320007 | PA      | $291618.28     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28713739 | PA      | $23548392.89   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9491962 | PA      | $8086005.21    | 0.02%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5G96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1278935 | PA      | $1193894.16    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BTN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1381 | PA      | $1414.72       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179KAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78558 | PA      | $73822.22      | 0.00%             | 2043-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103294 | PA      | $93633.17      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   86085947 | PA      | $70416437.78   | 0.18%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1982257 | PA      | $1729193.99    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1066812 | PA      | $1053112.57    | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5704 | PA      | $5655.50       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LWVP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11503 | PA      | $10640.22      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8RA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297455 | PA      | $260265.24     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9LG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280380 | PA      | $273362.98     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206N4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $78.68         | 0.00%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7781890 | PA      | $7635399.11    | 0.02%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8127177 | PA      | $7471602.04    | 0.02%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10120 | PA      | $9909.82       | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSC70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $179.87        | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W7KX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556392 | PA      | $543982.18     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $251.38        | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     331718 | PA      | $314517.93     | 0.00%             | 2040-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBLF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263486 | PA      | $249083.77     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11405 | PA      | $10301.10      | 0.00%             | 2042-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5MU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40527703 | PA      | $37443544.53   | 0.10%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNWS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     694185 | PA      | $625666.45     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14628 | PA      | $14771.59      | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400CCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $142.95        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6446 | PA      | $6493.20       | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36291FSC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3261987 | PA      | $2828449.40    | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1712773 | PA      | $1408979.13    | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1710 | PA      | $1687.46       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K6XV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7859 | PA      | $7933.64       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KGD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     618364 | PA      | $588018.35     | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KM6X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461317 | PA      | $400700.90     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SFL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     183297 | PA      | $175362.74     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23961737 | PA      | $20100052.92   | 0.05%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352919 | PA      | $327600.02     | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWGK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128817 | PA      | $112671.83     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     391724 | PA      | $355242.54     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     896228 | PA      | $845990.87     | 0.00%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     756524 | PA      | $676507.79     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RB24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85493 | PA      | $86121.82      | 0.00%             | 2045-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10985 | PA      | $11705.70      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAQV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     478381 | PA      | $410301.72     | 0.00%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62586 | PA      | $58629.11      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WK4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40753 | PA      | $38047.45      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        976 | PA      | $973.34        | 0.00%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296S2V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        629 | PA      | $644.77        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315998 | PA      | $311111.06     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEN40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343374 | PA      | $330900.79     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24971046 | PA      | $19488861.97   | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386STW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         55 | PA      | $55.69         | 0.00%             | 2031-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1539679 | PA      | $1460229.91    | 0.00%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBNM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     506493 | PA      | $497267.12     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297B6C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1603 | PA      | $1695.70       | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1644 | PA      | $1723.70       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210262 | PA      | $204772.19     | 0.00%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNF33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11902971 | PA      | $10279073.00   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMBL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62888 | PA      | $58681.55      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297GMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        437 | PA      | $448.63        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5R53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1201 | PA      | $1185.30       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1946626 | PA      | $1816041.93    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380EHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        463 | PA      | $466.78        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXPM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10377462 | PA      | $9105024.10    | 0.02%             | 2037-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B6X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3231183 | PA      | $2900954.42    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298MUU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $33.36         | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9H89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     827976 | PA      | $794611.10     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10379912 | PA      | $8708101.83    | 0.02%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2381 | PA      | $2440.45       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40185 | PA      | $39058.47      | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y15H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13755 | PA      | $13396.79      | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XABA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7376907 | PA      | $5735414.86    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53781 | PA      | $49156.40      | 0.00%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WML41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275706 | PA      | $254851.90     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13287364 | PA      | $13427969.35   | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932LG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15439 | PA      | $15836.13      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9P40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5489 | PA      | $5397.34       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VL91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.21          | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356178 | PA      | $322561.50     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8BV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1301399 | PA      | $1251147.21    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1608 | PA      | $1647.28       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5FQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2438946 | PA      | $2184507.81    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26628 | PA      | $27287.68      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4596251 | PA      | $3657947.88    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FRC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        708 | PA      | $738.24        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294SA64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        677 | PA      | $712.27        | 0.00%             | 2036-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23980 | PA      | $22531.85      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211187 | PA      | $184783.18     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HKX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $227.01        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206UQ93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        131 | PA      | $130.81        | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYY32<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      15231 | PA      | $15022.84      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QP5E0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2508144 | PA      | $2156442.47    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $71.19         | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9RZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1780030 | PA      | $1669637.28    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4732016 | PA      | $4169458.82    | 0.01%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMNQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      54088 | PA      | $53649.23      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407RBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75146 | PA      | $75765.73      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKP74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2273966 | PA      | $2000189.55    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184CR80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20119 | PA      | $18925.39      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JK6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1193908 | PA      | $1179259.94    | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15145076 | PA      | $13725626.97   | 0.04%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8HW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21350985 | PA      | $19363070.73   | 0.05%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64289 | PA      | $61739.89      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1031429 | PA      | $1004687.84    | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11763 | PA      | $11608.94      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HRZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5461 | PA      | $5605.00       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     849677 | PA      | $749020.10     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5DR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1643785 | PA      | $1496440.73    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMSB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22648354 | PA      | $17928806.64   | 0.05%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDCM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11417 | PA      | $11714.47      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195JJJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100727 | PA      | $91199.36      | 0.00%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AWL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $120.90        | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L8CS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1900559 | PA      | $1672691.52    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290XHC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1226 | PA      | $1224.11       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26163 | PA      | $25442.61      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3EK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6311670 | PA      | $5404456.24    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1105891 | PA      | $1021732.80    | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1105819 | PA      | $1074507.39    | 0.00%             | 2051-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JWD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1588 | PA      | $1555.13       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.24         | 0.00%             | 2026-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379V2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        119 | PA      | $120.20        | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XV5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3783857 | PA      | $3426735.91    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7864502 | PA      | $7487013.04    | 0.02%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332644 | PA      | $309821.35     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5YF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26148 | PA      | $24826.77      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9YV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9424 | PA      | $9196.60       | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     272370 | PA      | $251596.61     | 0.00%             | 2053-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HYG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $420.20        | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1001101 | PA      | $949191.49     | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9ZQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3464412 | PA      | $2886533.43    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4515469 | PA      | $4089786.18    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287X6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        115 | PA      | $117.91        | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUAE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1295083 | PA      | $1158463.96    | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        620 | PA      | $644.40        | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XJ26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12702 | PA      | $12528.31      | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8FB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1009954 | PA      | $938394.14     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LYL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7911 | PA      | $7811.88       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9315713 | PA      | $7495414.92    | 0.02%             | 2050-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940G52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8339 | PA      | $8242.84       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SAV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     691281 | PA      | $640301.10     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BMW78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1302119 | PA      | $1178028.43    | 0.00%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJA67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1469 | PA      | $1523.04       | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26898945 | PA      | $21140762.42   | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178AKM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7282 | PA      | $7165.72       | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5AQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388873 | PA      | $353393.14     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HWY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      10568 | PA      | $10840.37      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461088 | PA      | $430428.38     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9952564 | PA      | $8218493.63    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8Z75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7020384 | PA      | $5546340.91    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J73P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8945197 | PA      | $8552490.90    | 0.02%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FL6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70570 | PA      | $66290.44      | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375JUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $10.80         | 0.00%             | 2026-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTR22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480192 | PA      | $462185.43     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     794352 | PA      | $772475.62     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402URB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        223 | PA      | $234.86        | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1487767 | PA      | $1349211.55    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5167265 | PA      | $4432052.46    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDZ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     522694 | PA      | $427798.13     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     828835 | PA      | $778817.82     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XP3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16721 | PA      | $16286.22      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNU48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000029 | PA      | $794576.30     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        947 | PA      | $987.37        | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QR2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19201392 | PA      | $18668811.75   | 0.05%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29495615 | PA      | $26158072.40   | 0.07%             | 2055-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K26F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670201 | PA      | $627004.76     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1276668 | PA      | $1163476.07    | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9BT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $99.03         | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q86B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53001 | PA      | $47865.50      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     435888 | PA      | $408271.42     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414PU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2039 | PA      | $2173.05       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQDP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     264462 | PA      | $249992.73     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18081054 | PA      | $17927901.34   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9888 | PA      | $9780.25       | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FUJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167799 | PA      | $175991.09     | 0.00%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4087068 | PA      | $3673650.77    | 0.01%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69843 | PA      | $68946.46      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y15R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2891717 | PA      | $2859918.48    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4431562 | PA      | $4551321.88    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11810 | PA      | $11907.69      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1872251 | PA      | $1848216.95    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8A20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24135 | PA      | $23855.48      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      66535 | PA      | $58546.64      | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8058561 | PA      | $6596722.78    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CMM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3769 | PA      | $3721.96       | 0.00%             | 2032-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422102 | PA      | $416709.66     | 0.00%             | 2048-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UQN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27146 | PA      | $27438.78      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187943 | PA      | $164445.18     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YD2Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127265 | PA      | $123874.67     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296N3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1031 | PA      | $1042.24       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXL26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9955936 | PA      | $9204352.69    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   59412735 | PA      | $47757096.16   | 0.12%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401PF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5951 | PA      | $6096.42       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YDG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247369 | PA      | $232521.79     | 0.00%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296KKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1156 | PA      | $1185.64       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JTB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1242652 | PA      | $1121694.34    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XGG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2684 | PA      | $2862.32       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66906227 | PA      | $68225320.96   | 0.18%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MNT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        665 | PA      | $673.97        | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1520840 | PA      | $1459554.02    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19080 | PA      | $19823.60      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BDN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124845 | PA      | $121596.11     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413JLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1734 | PA      | $1808.06       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62905 | PA      | $64507.94      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5VJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285378 | PA      | $246444.26     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KDR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1683 | PA      | $1724.88       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589864 | PA      | $581463.88     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X76C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4863 | PA      | $4348.64       | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        124 | PA      | $130.50        | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARLR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54054 | PA      | $52949.96      | 0.00%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0WS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15415613 | PA      | $14632417.33   | 0.04%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VQLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     988113 | PA      | $893250.59     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230UEZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23740 | PA      | $22395.19      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602880 | PA      | $567831.62     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9919 | PA      | $9693.83       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KG7E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10543 | PA      | $9077.39       | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416B2Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1555 | PA      | $1656.81       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ELW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        815 | PA      | $855.26        | 0.00%             | 2037-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAWR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134124 | PA      | $130633.99     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     454237 | PA      | $427840.72     | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3503 | PA      | $3689.45       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WT40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3754433 | PA      | $3613526.53    | 0.01%             | 2051-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SZS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5895 | PA      | $6041.73       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL2S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33077092 | PA      | $29675134.26   | 0.08%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4ED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     808033 | PA      | $758619.68     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        993 | PA      | $1057.88       | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1612711 | PA      | $1631239.47    | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFEG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     571846 | PA      | $556314.65     | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23970168 | PA      | $20987112.37   | 0.05%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11775 | PA      | $10733.56      | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBHX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20640 | PA      | $20254.05      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XSW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1198 | PA      | $1208.34       | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177YRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17759 | PA      | $16263.37      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400RH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        621 | PA      | $636.53        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTDN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10497383 | PA      | $9112835.94    | 0.02%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157851 | PA      | $142952.82     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20852757 | PA      | $18877489.82   | 0.05%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26329491 | PA      | $20721768.43   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UGY27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8191 | PA      | $8382.65       | 0.00%             | 2041-07-01      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22734 | PA      | $21832.46      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1113968 | PA      | $911404.63     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1847014 | PA      | $1747313.30    | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AW3M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23185 | PA      | $22341.00      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7YJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        624 | PA      | $652.03        | 0.00%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMBV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120020 | PA      | $112567.55     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930CC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        282 | PA      | $289.17        | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     626704 | PA      | $574124.46     | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5954 | PA      | $6205.28       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0RM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2019251 | PA      | $1985646.26    | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1821480 | PA      | $1784094.42    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MT23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        500 | PA      | $512.58        | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1206118 | PA      | $1121276.99    | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QC6X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1396627 | PA      | $1329796.68    | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3285453 | PA      | $2974924.87    | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293THX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1374 | PA      | $1407.16       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381788 | PA      | $376348.56     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617AGWQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     754161 | PA      | $682880.81     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDKD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340968 | PA      | $322330.36     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7AR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168591 | PA      | $165789.24     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     704681 | PA      | $727692.43     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8875760 | PA      | $7381869.01    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2399020 | PA      | $2333825.59    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307E5Q3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      24396 | PA      | $23944.45      | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRVV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3701 | PA      | $3427.61       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $77.17         | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1592 | PA      | $1659.60       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16399609 | PA      | $17028093.32   | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1630 | PA      | $1639.69       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        191 | PA      | $195.73        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499346 | PA      | $478929.38     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491279 | PA      | $461672.00     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G5V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $81.65         | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4470788 | PA      | $4133562.83    | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGTN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108944 | PA      | $105555.31     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1473944 | PA      | $1334832.69    | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     743777 | PA      | $613899.98     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXP92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110928 | PA      | $110923.85     | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALY36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4823519 | PA      | $3800700.50    | 0.01%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVB61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19318133 | PA      | $18269633.40   | 0.05%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411HWP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23780 | PA      | $25277.50      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTGS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        977 | PA      | $971.58        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4122281 | PA      | $3249913.23    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22548 | PA      | $19205.93      | 0.00%             | 2045-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     312181 | PA      | $268405.79     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241L3C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1739911 | PA      | $1763417.59    | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ES76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1286149 | PA      | $1249551.78    | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L9PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        252 | PA      | $258.62        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JK6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329780 | PA      | $326706.28     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQEA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17881 | PA      | $17801.98      | 0.00%             | 2026-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TL90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189705 | PA      | $183002.05     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6BJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     764980 | PA      | $730834.94     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49494913 | PA      | $38886098.88   | 0.10%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JPZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15688 | PA      | $15844.48      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44466 | PA      | $42013.83      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1058 | PA      | $1077.88       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15115267 | PA      | $12429590.20   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMB54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9177512 | PA      | $9152444.94    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12619367 | PA      | $9985048.11    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931T73<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1427329 | PA      | $1411354.44    | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2590 | PA      | $2654.45       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279392 | PA      | $274498.07     | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7660363 | PA      | $7022398.77    | 0.02%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKZZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1887 | PA      | $1936.39       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99235 | PA      | $95290.64      | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291MMG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5090 | PA      | $5138.88       | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3564 | PA      | $3601.82       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTCY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38803 | PA      | $35461.42      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297TR47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3896 | PA      | $3998.94       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3122245 | PA      | $2427490.25    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8532 | PA      | $8397.50       | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     859374 | PA      | $777684.50     | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YYD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $213.47        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617NUBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     726074 | PA      | $628817.77     | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $8.92          | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31546 | PA      | $30995.35      | 0.00%             | 2051-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238448 | PA      | $217074.09     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UHG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15956 | PA      | $14541.25      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10833699 | PA      | $10534335.05   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6845748 | PA      | $6260650.11    | 0.02%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247689 | PA      | $230152.67     | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73524 | PA      | $67337.39      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     557468 | PA      | $535730.29     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1680284 | PA      | $1633797.20    | 0.00%             | 2038-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297KKZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8207 | PA      | $8284.67       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M5AJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1851588 | PA      | $1596899.18    | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8529 | PA      | $8751.20       | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595249 | PA      | $571261.82     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        392 | PA      | $410.10        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E24G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265481 | PA      | $249456.87     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13679731 | PA      | $12286456.47   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $28.30         | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0C34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     545941 | PA      | $526593.05     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72222 | PA      | $71295.18      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307N7K4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      67401 | PA      | $64916.42      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11463 | PA      | $11750.33      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QB4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306000 | PA      | $265210.31     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M64P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1998 | PA      | $2082.67       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BTU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         43 | PA      | $44.44         | 0.00%             | 2029-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K22Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199175 | PA      | $196192.07     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YFG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     693130 | PA      | $624044.62     | 0.00%             | 2053-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613223 | PA      | $534840.03     | 0.00%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     478245 | PA      | $472157.85     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418T2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20686 | PA      | $20420.60      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210A4T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        110 | PA      | $112.45        | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AHE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15486276 | PA      | $15672318.93   | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3S37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1377 | PA      | $1307.47       | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31995227 | PA      | $30217682.33   | 0.08%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1824623 | PA      | $1418611.82    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251260 | PA      | $247489.73     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4BN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336675 | PA      | $294581.59     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293PMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $150.13        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9FH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4883 | PA      | $4615.98       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16867195 | PA      | $16735332.22   | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NGB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70011 | PA      | $72035.15      | 0.00%             | 2043-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     418146 | PA      | $386502.12     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     501952 | PA      | $472987.76     | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33087229 | PA      | $25841163.68   | 0.07%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1856 | PA      | $1901.48       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16769 | PA      | $17179.71      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352196 | PA      | $335966.89     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287MRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $76.94         | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25182 | PA      | $25798.61      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NHF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41529750 | PA      | $40293693.11   | 0.11%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18659 | PA      | $19457.47      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51822452 | PA      | $45343220.73   | 0.12%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0MG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17126 | PA      | $17577.66      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97668 | PA      | $96964.89      | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4FF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4814 | PA      | $4798.77       | 0.00%             | 2036-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8FN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258573 | PA      | $233525.45     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LXU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2200 | PA      | $2035.19       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297MUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        363 | PA      | $372.68        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2411 | PA      | $2509.69       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19835367 | PA      | $18382807.21   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTL40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61041144 | PA      | $55980540.56   | 0.15%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9U27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529066 | PA      | $471266.12     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176AEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244655 | PA      | $231150.21     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LG66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27073 | PA      | $25075.30      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168157 | PA      | $143249.22     | 0.00%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV4H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297532 | PA      | $279668.22     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K3G35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1694 | PA      | $1738.13       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E8XP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6582 | PA      | $6491.89       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3000279 | PA      | $2879357.90    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3790797 | PA      | $3683894.66    | 0.01%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291PUP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1157 | PA      | $1163.40       | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQTC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5455940 | PA      | $5161082.69    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10250314 | PA      | $9166157.53    | 0.02%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     888253 | PA      | $825116.08     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3316951 | PA      | $2877326.23    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293JHC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1118 | PA      | $1124.47       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288AZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        636 | PA      | $650.29        | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3048 | PA      | $3065.41       | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7933077 | PA      | $7187123.61    | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2607278 | PA      | $2147598.21    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     792212 | PA      | $648474.11     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        407 | PA      | $433.80        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XLZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3542 | PA      | $3348.73       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $115.32        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423758 | PA      | $351644.34     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293RYB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $154.97        | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7G69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358720 | PA      | $339870.17     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJ4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2532596 | PA      | $2004844.28    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291NTW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3444 | PA      | $3560.68       | 0.00%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1469 | PA      | $1508.06       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9276621 | PA      | $7276080.39    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQCY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30404072 | PA      | $31003505.56   | 0.08%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50150 | PA      | $48708.38      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938CF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10119 | PA      | $10191.35      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FMVS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.67          | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4768 | PA      | $4747.04       | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4482 | PA      | $4673.61       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQBA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     900725 | PA      | $825154.87     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371J3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        509 | PA      | $522.22        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409APS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9392 | PA      | $9628.46       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35825 | PA      | $34973.27      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57026 | PA      | $48048.79      | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MP63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1582 | PA      | $1637.12       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM2X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14963 | PA      | $13396.80      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11088371 | PA      | $10014040.31   | 0.03%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9988 | PA      | $9549.28       | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRYN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32409307 | PA      | $30733372.88   | 0.08%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YK4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22436 | PA      | $21550.30      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36291FRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4580528 | PA      | $3971748.14    | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENZ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173268 | PA      | $170672.02     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87036 | PA      | $83084.81      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H4V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6376 | PA      | $6773.56       | 0.00%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.27          | 0.00%             | 2026-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2926 | PA      | $3096.17       | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   73254942 | PA      | $61510757.76   | 0.16%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJRD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33417 | PA      | $31930.52      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1ZQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1238749 | PA      | $1203540.71    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12116 | PA      | $11941.32      | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8695446 | PA      | $8806233.56    | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1750995 | PA      | $1699508.04    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRBL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5122240 | PA      | $4982209.91    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MY2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     845960 | PA      | $822570.15     | 0.00%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     857099 | PA      | $771670.32     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11730693 | PA      | $10750597.96   | 0.03%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPYH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18086526 | PA      | $18052162.07   | 0.05%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9E56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372161 | PA      | $337036.35     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3373477 | PA      | $3149547.19    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404VA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3923 | PA      | $4021.10       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYD26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234759 | PA      | $206303.57     | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WENA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143419 | PA      | $126034.93     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7LJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234730 | PA      | $225044.92     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JT21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1329 | PA      | $1337.29       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GWG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $173.99        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296RUJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3827 | PA      | $3899.85       | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43457050 | PA      | $39324345.04   | 0.10%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31421AF57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7575 | PA      | $7480.40       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFFL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223147 | PA      | $203627.75     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2822334 | PA      | $2616922.25    | 0.01%             | 2036-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82489 | PA      | $79217.47      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12887468 | PA      | $10690321.73   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6251210 | PA      | $6323983.88    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LF34<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1420644 | PA      | $1315875.44    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AEYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2270904 | PA      | $1888591.52    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388VFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4539 | PA      | $4615.97       | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68085694 | PA      | $68867937.77   | 0.18%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPVN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3236066 | PA      | $2903409.64    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17384896 | PA      | $14501170.37   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1637426 | PA      | $1474220.41    | 0.00%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1672923 | PA      | $1685338.83    | 0.00%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7VL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3322313 | PA      | $3163251.22    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64881 | PA      | $58765.02      | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7327558 | PA      | $6931552.25    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDNH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     347325 | PA      | $337291.01     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     917688 | PA      | $835428.56     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20179838 | PA      | $18835987.43   | 0.05%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14453795 | PA      | $11343980.45   | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61442 | PA      | $62975.69      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206W7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.90          | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNUV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32169831 | PA      | $25142136.14   | 0.07%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XM5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39740698 | PA      | $35520636.95   | 0.09%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        895 | PA      | $917.66        | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GUKM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3909 | PA      | $3620.34       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2FT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93996 | PA      | $87860.95      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213QUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $195.38        | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132G7YY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     445122 | PA      | $435873.74     | 0.00%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LKH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13684 | PA      | $13814.40      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACRL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2829205 | PA      | $2488579.96    | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     862572 | PA      | $856995.48     | 0.00%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUGV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9644116 | PA      | $9101166.64    | 0.02%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938WZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37922 | PA      | $36444.09      | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74078 | PA      | $72149.59      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178EWA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112681 | PA      | $110997.50     | 0.00%             | 2027-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1412 | PA      | $1403.07       | 0.00%             | 2026-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XN6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6429541 | PA      | $6650350.21    | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4403828 | PA      | $4332020.13    | 0.01%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9AY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2505716 | PA      | $2286924.71    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YND61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577230 | PA      | $562086.63     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2425 | PA      | $2481.61       | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HTV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $390.73        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CG53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1167 | PA      | $1198.18       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JPMM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6639 | PA      | $6522.82       | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JPYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     392468 | PA      | $351395.76     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEZU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422483 | PA      | $370134.33     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NHU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1389 | PA      | $1423.03       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208V4F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $35.16         | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMZF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288419 | PA      | $270471.69     | 0.00%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X53Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563572 | PA      | $489206.00     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PXR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6175 | PA      | $6202.96       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30777 | PA      | $31570.35      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18072 | PA      | $17404.08      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47620 | PA      | $45731.34      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1744 | PA      | $1817.67       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKPX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20027 | PA      | $19320.77      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9Z81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1486462 | PA      | $1381444.42    | 0.00%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHDU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620679 | PA      | $553029.40     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XX2J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     982904 | PA      | $942631.08     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YAT62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58439 | PA      | $56901.76      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201JHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        262 | PA      | $266.35        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43212181 | PA      | $42832802.25   | 0.11%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ESM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2637751 | PA      | $2562693.68    | 0.01%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197973 | PA      | $183131.02     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11265 | PA      | $11540.82      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412FUY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2690 | PA      | $2928.49       | 0.00%             | 2037-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26102 | PA      | $24526.45      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU6Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123685 | PA      | $115870.69     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334773 | PA      | $348505.07     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4299 | PA      | $4165.75       | 0.00%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A4D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3647090 | PA      | $3452037.45    | 0.01%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486501 | PA      | $469139.48     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295TRB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1145 | PA      | $1193.42       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296K5E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1450 | PA      | $1449.70       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4M67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10371 | PA      | $10635.21      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M95V2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     258842 | PA      | $244953.72     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12494692 | PA      | $11294392.04   | 0.03%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3226 | PA      | $3213.86       | 0.00%             | 2035-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2015460 | PA      | $1923544.31    | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123159 | PA      | $111226.68     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488930 | PA      | $427800.36     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370737 | PA      | $335746.82     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BJP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2339015 | PA      | $2326980.13    | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6780122 | PA      | $5622100.66    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765601 | PA      | $711182.01     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178124 | PA      | $173463.04     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201ESG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1146 | PA      | $1164.19       | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402V4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8829 | PA      | $8916.05       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9168965 | PA      | $8196067.12    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297QRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6885 | PA      | $7066.28       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1239 | PA      | $1298.55       | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1FX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51330 | PA      | $46485.23      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60835 | PA      | $45089.26      | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5S84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1518 | PA      | $1620.28       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178WDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14425 | PA      | $12966.24      | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413NYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        435 | PA      | $463.29        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5715962 | PA      | $5091501.87    | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40880 | PA      | $38301.35      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22658 | PA      | $22874.61      | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XG3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15082510 | PA      | $13617851.84   | 0.04%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWE68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130068 | PA      | $117792.03     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2534 | PA      | $2595.26       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKT48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179727 | PA      | $177764.73     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25103735 | PA      | $22808424.02   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946XU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20917 | PA      | $20179.51      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1021737 | PA      | $893991.48     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MARS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140056 | PA      | $126273.47     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XM87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3191 | PA      | $3185.42       | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        449 | PA      | $464.35        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1732 | PA      | $1775.81       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5UC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16290 | PA      | $15627.73      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6E0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3425 | PA      | $3515.23       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDDE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27665644 | PA      | $25149441.93   | 0.07%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1914 | PA      | $1981.97       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18448529 | PA      | $17188303.96   | 0.04%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A7VK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     484450 | PA      | $435624.65     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6LH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3558693 | PA      | $2996437.14    | 0.01%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9WK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1211512 | PA      | $1083372.48    | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KH49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5189 | PA      | $5410.04       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        402 | PA      | $404.20        | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEGA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     665283 | PA      | $602284.57     | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YLN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4188009 | PA      | $4118137.81    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5220753 | PA      | $4630924.81    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356477 | PA      | $359416.87     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3111566 | PA      | $2859863.15    | 0.01%             | 2054-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CAH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10507109 | PA      | $9205202.30    | 0.02%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSNS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     345465 | PA      | $331483.14     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7907604 | PA      | $7328523.37    | 0.02%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTUD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61104 | PA      | $59725.06      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5US6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     599051 | PA      | $559949.20     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291Y2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3130 | PA      | $3220.51       | 0.00%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209DBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.38         | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1996198 | PA      | $1841393.71    | 0.00%             | 2054-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294L7J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.20          | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXH86<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        287 | PA      | $294.97        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9MB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2398284 | PA      | $2289091.03    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEEY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37478 | PA      | $36900.56      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17741017 | PA      | $15981390.24   | 0.04%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3403812 | PA      | $2736240.49    | 0.01%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1570257 | PA      | $1313616.57    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUVK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     923529 | PA      | $898407.99     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     471273 | PA      | $424918.80     | 0.00%             | 2042-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDMC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     566153 | PA      | $524268.16     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19316660 | PA      | $18810454.47   | 0.05%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5JF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31712949 | PA      | $32500223.05   | 0.09%             | 2055-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6DL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3098 | PA      | $3126.63       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        441 | PA      | $457.18        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4408627 | PA      | $3971361.14    | 0.01%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280861 | PA      | $283176.92     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1104260 | PA      | $1007839.28    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2064 | PA      | $2082.58       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180FAR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82742 | PA      | $73557.62      | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17519 | PA      | $17269.40      | 0.00%             | 2027-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEX22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375785 | PA      | $360691.75     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20243460 | PA      | $18281516.87   | 0.05%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9RS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     233275 | PA      | $202910.27     | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6EC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     277146 | PA      | $279797.58     | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AA7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1620 | PA      | $1586.27       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297K4U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5403 | PA      | $5454.45       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202XWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3535 | PA      | $3576.05       | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28270 | PA      | $26669.35      | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1847 | PA      | $1836.34       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4386248 | PA      | $3931188.34    | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2555936 | PA      | $2252883.07    | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     984117 | PA      | $993772.39     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9813708 | PA      | $9796805.91    | 0.03%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QHQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13893 | PA      | $13719.89      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M47B3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      66813 | PA      | $68576.97      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24785 | PA      | $24371.33      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BWG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        246 | PA      | $255.21        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18181 | PA      | $17933.47      | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJX31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     430411 | PA      | $398127.32     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP3P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7602058 | PA      | $7432251.05    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VWA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319203 | PA      | $310779.74     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81908 | PA      | $69013.41      | 0.00%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8E50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83913 | PA      | $75782.98      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237288 | PA      | $214302.17     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12145706 | PA      | $12027782.40   | 0.03%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36176XVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6688 | PA      | $6342.22       | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296QCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1224 | PA      | $1265.22       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2763 | PA      | $2779.50       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7NT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410409 | PA      | $360663.31     | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEMJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2279606 | PA      | $2126142.02    | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        252 | PA      | $259.04        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SW29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1412737 | PA      | $1422975.63    | 0.00%             | 2047-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8544422 | PA      | $7318119.45    | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4103 | PA      | $3956.93       | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JV83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      85646 | PA      | $82967.40      | 0.00%             | 2029-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19040 | PA      | $19125.63      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296SQM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7966 | PA      | $7802.60       | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2087459 | PA      | $2010696.00    | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10706 | PA      | $10427.45      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56772 | PA      | $55896.23      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DP3G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6204233 | PA      | $4840461.36    | 0.01%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1272020 | PA      | $1089065.21    | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRT66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334528 | PA      | $265528.06     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETYK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2311267 | PA      | $2171657.51    | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMT96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14456281 | PA      | $11818579.14   | 0.03%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295HU24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6286 | PA      | $6649.03       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXZ87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393305 | PA      | $355198.73     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EFDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19832 | PA      | $18345.66      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KETA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5206 | PA      | $5054.01       | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26668284 | PA      | $22061933.15   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABLE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5413481 | PA      | $4210275.87    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M4BL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13908819 | PA      | $12416285.62   | 0.03%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1583 | PA      | $1640.00       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     727749 | PA      | $678035.87     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3007694 | PA      | $2870526.86    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ABC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171691 | PA      | $160276.33     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256509 | PA      | $239965.86     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K3GR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4073 | PA      | $4236.60       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57302 | PA      | $55918.56      | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3554818 | PA      | $3349694.80    | 0.01%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2402418 | PA      | $2156474.57    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FR5Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111428 | PA      | $108877.92     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     791774 | PA      | $739126.79     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9169619 | PA      | $8929186.24    | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31113 | PA      | $29879.10      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3145128 | PA      | $3093562.75    | 0.01%             | 2034-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27686 | PA      | $27811.05      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932WL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9669 | PA      | $9920.61       | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472108 | PA      | $473024.72     | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     430349 | PA      | $422905.00     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114076 | PA      | $118960.99     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68203 | PA      | $61756.80      | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4667543 | PA      | $4439451.75    | 0.01%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNEX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4047 | PA      | $3623.36       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   92784462 | PA      | $72783936.19   | 0.19%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2225179 | PA      | $2163617.37    | 0.01%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7JC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25021 | PA      | $23979.89      | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234205 | PA      | $222377.28     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4617543 | PA      | $3840669.71    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73877 | PA      | $74421.03      | 0.00%             | 2044-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523050 | PA      | $459650.25     | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGLR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720761 | PA      | $633396.57     | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WF44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4559 | PA      | $4606.34       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6D63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622137 | PA      | $598777.94     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WB49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1709414 | PA      | $1645258.87    | 0.00%             | 2051-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LY87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        271 | PA      | $288.68        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31300LWV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202618 | PA      | $207675.38     | 0.00%             | 2042-05-01      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0BS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10983411 | PA      | $10704080.56   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177UE91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61021 | PA      | $54850.29      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14910299 | PA      | $12219405.16   | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HBT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8002 | PA      | $7830.10       | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6547122 | PA      | $5420106.94    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4706081 | PA      | $4243191.98    | 0.01%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ADN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14872124 | PA      | $15045845.00   | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20481368 | PA      | $18945401.83   | 0.05%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18555 | PA      | $17163.76      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KDSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $404.46        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GTGV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27823 | PA      | $25771.03      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11337771 | PA      | $10250803.14   | 0.03%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5850276 | PA      | $5007017.61    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AUT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     852004 | PA      | $739687.76     | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     738886 | PA      | $692172.50     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  279886179 | PA      | $224965916.43  | 0.59%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AES3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19094 | PA      | $17166.13      | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UD98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     828360 | PA      | $715348.83     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMMJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        656 | PA      | $654.38        | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729231 | PA      | $697056.04     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQPM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51898915 | PA      | $50738043.60   | 0.13%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2602920 | PA      | $2277483.73    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DBV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64613 | PA      | $58869.36      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2342922 | PA      | $2038691.95    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5DM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2358729 | PA      | $2250024.31    | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5316886 | PA      | $5090538.44    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104420 | PA      | $91364.84      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1M31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1817342 | PA      | $1700816.06    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLVU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524483 | PA      | $505165.81     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5UN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1753 | PA      | $1722.88       | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10797257 | PA      | $10991718.44   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5649 | PA      | $5552.88       | 0.00%             | 2027-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3ZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6072 | PA      | $5300.92       | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16852 | PA      | $16195.48      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   66472000 | PA      | $64335335.33   | 0.17%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KQDT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2357 | PA      | $2417.08       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1574376 | PA      | $1417345.25    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310728 | PA      | $305580.29     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1227740 | PA      | $1111865.52    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1535292 | PA      | $1446701.11    | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942XS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41327 | PA      | $39740.64      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1812 | PA      | $1823.83       | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2CX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5155 | PA      | $5088.67       | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13389 | PA      | $12656.16      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60761 | PA      | $62265.49      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702545 | PA      | $660389.25     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AVH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17155 | PA      | $17263.79      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        304 | PA      | $304.39        | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19516 | PA      | $19994.67      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QZ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4081 | PA      | $4029.99       | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $98.72         | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442521 | PA      | $437461.44     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     579770 | PA      | $557182.72     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1694304 | PA      | $1393601.55    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9WK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1693151 | PA      | $1565402.80    | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406N4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        302 | PA      | $301.08        | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QL4T7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     606910 | PA      | $574345.38     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2501634 | PA      | $2448561.97    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199320 | PA      | $200650.42     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2319593 | PA      | $2028815.13    | 0.01%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L5LH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        762 | PA      | $813.42        | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178YRE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267151 | PA      | $244671.26     | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCAQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7709605 | PA      | $5994162.19    | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HNZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     513380 | PA      | $462175.15     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8XR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41012 | PA      | $38977.46      | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13130 | PA      | $12618.27      | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GTGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23500498 | PA      | $23431825.23   | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9042 | PA      | $9130.88       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8QK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2971696 | PA      | $2346375.12    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7342701 | PA      | $6878159.59    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413KZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4111 | PA      | $4210.46       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6FF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677461 | PA      | $657304.77     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939S51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1927 | PA      | $1938.22       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3546393 | PA      | $3282649.90    | 0.01%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2444 | PA      | $2474.12       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1R48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1120780 | PA      | $960031.12     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XWFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1592 | PA      | $1554.60       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291SRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2588 | PA      | $2603.49       | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HP57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85145 | PA      | $77576.12      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EADR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3222 | PA      | $3177.03       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WX72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1092 | PA      | $1086.65       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412PHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1128241 | PA      | $1134898.26    | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KFLQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7915 | PA      | $8420.82       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9VE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15676 | PA      | $15767.54      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M9MD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     511458 | PA      | $484157.38     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1720018 | PA      | $1627987.73    | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARG88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11373 | PA      | $10729.02      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176FWT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36318 | PA      | $32645.54      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6L57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138685 | PA      | $131268.41     | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     952832 | PA      | $896455.45     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EK2M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2729551 | PA      | $2797870.37    | 0.01%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21123 | PA      | $21228.36      | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YUZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     949455 | PA      | $830175.77     | 0.00%             | 2054-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5JD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193827 | PA      | $180938.77     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7LZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19283024 | PA      | $17350806.48   | 0.05%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GADD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1065613 | PA      | $991638.20     | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        286 | PA      | $300.48        | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6433029 | PA      | $6462025.36    | 0.02%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253418 | PA      | $244450.14     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYJ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211036 | PA      | $192609.40     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14981 | PA      | $15090.30      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1V82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2401098 | PA      | $2188900.68    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10872365 | PA      | $9827402.45    | 0.03%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371L6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1682 | PA      | $1724.01       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89997 | PA      | $81276.97      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WRE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1405 | PA      | $1463.86       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYYX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110713 | PA      | $99162.65      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CJV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4002 | PA      | $3904.77       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFB84<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     121397 | PA      | $117912.54     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TL56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263143 | PA      | $264694.65     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DT6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3117648 | PA      | $3221225.66    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  141242018 | PA      | $113588617.45  | 0.30%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1491 | PA      | $1472.59       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GGY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162570 | PA      | $141587.95     | 0.00%             | 2047-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     863980 | PA      | $772598.23     | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411AWZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        812 | PA      | $844.90        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M3QN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2895 | PA      | $2844.71       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2275684 | PA      | $2157866.77    | 0.01%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBD50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577432 | PA      | $528950.13     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JY7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     558905 | PA      | $538842.53     | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ML4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146252 | PA      | $143080.86     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1111426 | PA      | $1092861.66    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307C3H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110031 | PA      | $108081.48     | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6X91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     437273 | PA      | $413136.00     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1808927 | PA      | $1617859.44    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98794 | PA      | $99534.32      | 0.00%             | 2033-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     692563 | PA      | $647357.27     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8PW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1759305 | PA      | $1539343.93    | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603610 | PA      | $545131.83     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184608 | PA      | $170637.37     | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CKZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        689 | PA      | $675.86        | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3520903 | PA      | $3084315.95    | 0.01%             | 2053-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208VUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $20.06         | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250973 | PA      | $242246.00     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLSP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25091 | PA      | $21948.24      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187826 | PA      | $171217.05     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2094646 | PA      | $1633885.53    | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVYU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1359488 | PA      | $1189514.86    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5309563 | PA      | $5392469.57    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209BC97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2010 | PA      | $2049.07       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YTT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1526 | PA      | $1493.58       | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCUR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379623 | PA      | $314067.96     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRCW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1625319 | PA      | $1386218.94    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GAHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     461369 | PA      | $439206.92     | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        861 | PA      | $882.13        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDGH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1164252 | PA      | $1084914.95    | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5338 | PA      | $4497.45       | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416SVT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2541 | PA      | $2555.84       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SHR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        212 | PA      | $210.61        | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1076 | PA      | $1083.62       | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XXFZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2670 | PA      | $2604.90       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2850843 | PA      | $2662157.83    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293GAY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1239 | PA      | $1246.38       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8JG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1923938 | PA      | $1534750.01    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EATP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23087 | PA      | $20288.48      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKF95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75339 | PA      | $74084.01      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167455 | PA      | $157084.75     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297MTZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2471 | PA      | $2494.20       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220397 | PA      | $214621.55     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8GS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15655696 | PA      | $14203078.30   | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     945647 | PA      | $857918.44     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAC83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6448432 | PA      | $5332409.57    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTTG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5984024 | PA      | $6128051.30    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     650943 | PA      | $633947.57     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36196CZQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9971 | PA      | $9606.09       | 0.00%             | 2046-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18881144 | PA      | $19580461.87   | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391195 | PA      | $386209.94     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLRS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     342048 | PA      | $333604.74     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTVN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3639 | PA      | $3618.70       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343794 | PA      | $302122.36     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFQM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188159 | PA      | $165712.88     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWVQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   65554455 | PA      | $60677485.67   | 0.16%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1842 | PA      | $1889.17       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ABX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2077588 | PA      | $1960149.57    | 0.01%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        852 | PA      | $873.38        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        414 | PA      | $424.29        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     988880 | PA      | $962965.31     | 0.00%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374GBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.50          | 0.00%             | 2027-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     769053 | PA      | $732244.33     | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM2E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78459 | PA      | $74590.50      | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1470374 | PA      | $1360840.10    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SA83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     484666 | PA      | $423439.13     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253391 | PA      | $1195252.67    | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247416 | PA      | $241374.43     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297QRH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4633 | PA      | $4677.02       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALWK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3449 | PA      | $3474.11       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MF2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114559 | PA      | $105974.07     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBG20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1322074 | PA      | $1161927.93    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175262 | PA      | $163958.61     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XACJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124483 | PA      | $122887.63     | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8YY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33530 | PA      | $34412.26      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940EQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55818 | PA      | $55172.46      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427M5E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24018430 | PA      | $24729672.81   | 0.06%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1509 | PA      | $1547.33       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89209 | PA      | $75974.37      | 0.00%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312943YS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1137 | PA      | $1123.37       | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $33.91         | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378935 | PA      | $367807.40     | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38270091 | PA      | $29994529.60   | 0.08%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571349 | PA      | $519265.49     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNB44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16856591 | PA      | $13794679.57   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329MDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1241734 | PA      | $1213696.78    | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFDB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11468531 | PA      | $10951771.94   | 0.03%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4VR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378704 | PA      | $355935.12     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9731128 | PA      | $9670447.50    | 0.03%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRB75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185642 | PA      | $171953.97     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1216 | PA      | $1247.90       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9YX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1382080 | PA      | $1279295.66    | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q85Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1071634 | PA      | $979905.99     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0LA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1105911 | PA      | $1059823.94    | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4361107 | PA      | $3450783.69    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSVP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11325714 | PA      | $11581585.28   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1443 | PA      | $1478.92       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GRG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $16.65         | 0.00%             | 2026-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2565352 | PA      | $2448982.65    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        897 | PA      | $893.25        | 0.00%             | 2026-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12399183 | PA      | $10157632.87   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9DC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3240386 | PA      | $3116807.11    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     981078 | PA      | $877064.55     | 0.00%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAQM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1407 | PA      | $1387.33       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KP6Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7243181 | PA      | $7078596.10    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414ANH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        625 | PA      | $640.23        | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307P2N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4839 | PA      | $4647.98       | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ATF62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39521 | PA      | $38861.24      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404GS85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4470 | PA      | $4579.45       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68714 | PA      | $66283.55      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9AR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1362 | PA      | $1328.81       | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ANBV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3568115 | PA      | $3070371.12    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MQQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         70 | PA      | $70.19         | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GTM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $39.51         | 0.00%             | 2026-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        868 | PA      | $898.23        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3175415 | PA      | $2605293.41    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLCB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11251617 | PA      | $10448748.00   | 0.03%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2406371 | PA      | $2437609.40    | 0.01%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27553460 | PA      | $22512597.06   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKUE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     682746 | PA      | $636107.04     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7581 | PA      | $7480.18       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        419 | PA      | $438.44        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206BQ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $56.49         | 0.00%             | 2026-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455575 | PA      | $393421.52     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77212 | PA      | $72077.97      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9195420 | PA      | $8328640.68    | 0.02%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0KT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12301090 | PA      | $11647498.02   | 0.03%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDYZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     757453 | PA      | $731565.66     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5G90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265317 | PA      | $254446.40     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0UQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1244312 | PA      | $1181363.12    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9WF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     467700 | PA      | $426975.98     | 0.00%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1074 | PA      | $1078.68       | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87794 | PA      | $83242.06      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEGX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5047 | PA      | $4867.56       | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8T39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17991266 | PA      | $16271631.74   | 0.04%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5333 | PA      | $5263.69       | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KJN81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16261 | PA      | $16948.44      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296KTY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        445 | PA      | $457.09        | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4625 | PA      | $4751.77       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1052223 | PA      | $1006827.50    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1838551 | PA      | $1439224.10    | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YDF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205079 | PA      | $184637.96     | 0.00%             | 2053-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212WUS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3584 | PA      | $3667.80       | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2378154 | PA      | $1964304.63    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22118 | PA      | $21312.10      | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212DLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1594 | PA      | $1639.54       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KJXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $275.68        | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJU24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4678 | PA      | $4562.21       | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GAKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2214901 | PA      | $2061577.48    | 0.01%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41212 | PA      | $36281.38      | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5282912 | PA      | $4758930.94    | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7376 | PA      | $6971.95       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5RA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3119 | PA      | $3256.32       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406TFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1062 | PA      | $1070.92       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELQX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12845 | PA      | $12605.45      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     714084 | PA      | $647697.68     | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1465375 | PA      | $1197287.06    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6AP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     194516 | PA      | $199586.81     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LPX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     345288 | PA      | $319824.23     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VS74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25178 | PA      | $25841.79      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MXC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5066 | PA      | $4979.75       | 0.00%             | 2028-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2415 | PA      | $2501.66       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X64G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7187 | PA      | $6954.47       | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ECRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     992712 | PA      | $891084.53     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MJ6G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34607590 | PA      | $28276184.38   | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $130.08        | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2RT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5651410 | PA      | $4994556.27    | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     791216 | PA      | $797088.83     | 0.00%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1RS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     376515 | PA      | $341242.84     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5G58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232640 | PA      | $223108.05     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294V4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        632 | PA      | $657.71        | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1683074 | PA      | $1390221.84    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WKX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        636 | PA      | $653.05        | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405PVB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4979 | PA      | $5260.90       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8KR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1470580 | PA      | $1333792.20    | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7PG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600479 | PA      | $570847.46     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2553 | PA      | $2619.20       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127288 | PA      | $114768.29     | 0.00%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ME3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1710187 | PA      | $1690987.94    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337907 | PA      | $316528.72     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413NX26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15029 | PA      | $16014.67      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8650658 | PA      | $8566407.41    | 0.02%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2929097 | PA      | $2645360.56    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNUS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13421189 | PA      | $10439101.90   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5Y40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11228 | PA      | $9866.81       | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LX38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1627 | PA      | $1667.79       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5CC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3487 | PA      | $3296.37       | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EK81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        314 | PA      | $323.05        | 0.00%             | 2036-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CCW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1449267 | PA      | $1457784.68    | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9413386 | PA      | $9774136.44    | 0.03%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2562031 | PA      | $2320078.99    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     822743 | PA      | $810203.17     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $379.35        | 0.00%             | 2038-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933AN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36674 | PA      | $36936.84      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378TQU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        189 | PA      | $191.13        | 0.00%             | 2028-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBFW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152764 | PA      | $152010.47     | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22683 | PA      | $20284.08      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10801 | PA      | $10652.33      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2238780 | PA      | $2201429.30    | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13171 | PA      | $12901.12      | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408DK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17338 | PA      | $17772.72      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YDCP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369944 | PA      | $359029.03     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNWE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2794796 | PA      | $2479046.92    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ANPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20432304 | PA      | $20734545.59   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJS23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3951 | PA      | $3712.18       | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVS63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     761106 | PA      | $665946.75     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296U3U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21165 | PA      | $20875.26      | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230SZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3249 | PA      | $3182.63       | 0.00%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18962862 | PA      | $16525510.05   | 0.04%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5M56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9400 | PA      | $9648.53       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8EY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57467 | PA      | $56061.36      | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MCAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   96345266 | PA      | $75141173.03   | 0.20%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E45H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3007 | PA      | $2823.80       | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292HRD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3209 | PA      | $3249.94       | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2XC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20923 | PA      | $20623.83      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170634 | PA      | $150146.86     | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UF86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261125 | PA      | $254890.90     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        627 | PA      | $617.72        | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRCZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3175695 | PA      | $2610454.13    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297H4M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2659 | PA      | $2686.90       | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERMW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1222624 | PA      | $1172797.78    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M62T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3832 | PA      | $3932.77       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C34N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34787 | PA      | $32815.01      | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     559855 | PA      | $573295.29     | 0.00%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRCS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3053560 | PA      | $3029195.97    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4118 | PA      | $3909.41       | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3XU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20713 | PA      | $19664.77      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XMG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      54147 | PA      | $53287.86      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BFZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5223052 | PA      | $5080608.20    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0DQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     952402 | PA      | $890235.74     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     593974 | PA      | $558130.12     | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201PLF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1742 | PA      | $1770.42       | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KWYR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $434.50        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L0RF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $397.48        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        636 | PA      | $641.13        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KPC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $340.97        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L9GR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     833809 | PA      | $836249.18     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y47E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46817 | PA      | $46167.86      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3VA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     423657 | PA      | $395153.35     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UHER2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302609 | PA      | $308166.87     | 0.00%             | 2041-09-01      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q83A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174419 | PA      | $162981.11     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E4L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     816554 | PA      | $770396.83     | 0.00%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAYJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1989702 | PA      | $1654403.08    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3403386 | PA      | $3198005.20    | 0.01%             | 2046-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271734 | PA      | $260874.01     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53578173 | PA      | $53061398.10   | 0.14%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176DHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17450 | PA      | $17077.20      | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206W6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $3.27          | 0.00%             | 2026-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10952 | PA      | $9884.62       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388DS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $44.53         | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279723 | PA      | $267680.05     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ASU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138725 | PA      | $139542.57     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   55864106 | PA      | $46865337.92   | 0.12%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407M2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134444 | PA      | $137815.88     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        868 | PA      | $889.51        | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARUZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10620 | PA      | $10403.34      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DU4Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14505565 | PA      | $14121125.07   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414BUX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $230.27        | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA2S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7474325 | PA      | $7451606.58    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68226 | PA      | $66464.99      | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FD3R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17692 | PA      | $16916.58      | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AM3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6568 | PA      | $6427.95       | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315737 | PA      | $317598.93     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6ER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     103510 | PA      | $90035.87      | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412V4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        850 | PA      | $870.79        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36184SYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142322 | PA      | $134045.30     | 0.00%             | 2045-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177QZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180501 | PA      | $170578.25     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368561 | PA      | $355707.77     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5451889 | PA      | $4275925.81    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JS41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12965 | PA      | $13023.76      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406RLJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4250 | PA      | $4356.18       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APTJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5555259 | PA      | $4584974.96    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2FD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3003509 | PA      | $2607363.15    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1PH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1047161 | PA      | $945231.52     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  145401353 | PA      | $122013337.62  | 0.32%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129367L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1949 | PA      | $1927.42       | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296YQE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1580 | PA      | $1589.73       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2165750 | PA      | $1955434.27    | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KFK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   84323526 | PA      | $69314805.24   | 0.18%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84399 | PA      | $75333.01      | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201KAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1974 | PA      | $2014.89       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1206 | PA      | $1247.23       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E07M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6323872 | PA      | $5871550.76    | 0.02%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A5B0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     980432 | PA      | $866352.59     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47972 | PA      | $41973.96      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44680 | PA      | $37646.35      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $850.72        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GWZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     640303 | PA      | $572400.93     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1645554 | PA      | $1412399.04    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7R60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5630435 | PA      | $4442854.26    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDGE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56751 | PA      | $55965.24      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18741387 | PA      | $18645433.18   | 0.05%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168812 | PA      | $142236.48     | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8510 | PA      | $8263.46       | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9670 | PA      | $9629.38       | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7HT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13148 | PA      | $13252.85      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291536 | PA      | $273966.28     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3971075 | PA      | $3910548.68    | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGDW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2467082 | PA      | $2105987.87    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230753 | PA      | $217818.86     | 0.00%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HU28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2042 | PA      | $2094.93       | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183253 | PA      | $186114.54     | 0.00%             | 2042-02-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205174 | PA      | $193959.96     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296M2N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2025 | PA      | $2093.34       | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4009432 | PA      | $3298818.98    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5728383 | PA      | $5621454.87    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKQY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2956622 | PA      | $2414720.70    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1438 | PA      | $1474.14       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1393 | PA      | $1369.72       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        791 | PA      | $784.77        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1629 | PA      | $1615.46       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1452362 | PA      | $1476279.40    | 0.00%             | 2052-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412HN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2137 | PA      | $2151.19       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12075781 | PA      | $11622567.95   | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59177 | PA      | $54740.97      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3388032 | PA      | $3299247.01    | 0.01%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10347824 | PA      | $9571806.24    | 0.03%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293QFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.07          | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13504012 | PA      | $12288009.45   | 0.03%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2365080 | PA      | $2375727.37    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5552973 | PA      | $5722324.93    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5692315 | PA      | $5316374.71    | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134776 | PA      | $127407.61     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0GB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757606 | PA      | $686102.61     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7AL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1309828 | PA      | $1252224.44    | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54247 | PA      | $55342.47      | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBLT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10186940 | PA      | $9509576.89    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5VF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $181.92        | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKZU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     626212 | PA      | $563073.12     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19009 | PA      | $18772.22      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415AVN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11069 | PA      | $11816.46      | 0.00%             | 2038-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10445793 | PA      | $10286581.03   | 0.03%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1486106 | PA      | $1290008.07    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     915541 | PA      | $862711.70     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   74959204 | PA      | $72742243.13   | 0.19%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7QS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152177 | PA      | $144045.80     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     922371 | PA      | $733620.33     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5419958 | PA      | $4922125.07    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19953 | PA      | $19649.93      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6237961 | PA      | $5233262.35    | 0.01%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C5Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222134 | PA      | $222478.59     | 0.00%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6513551 | PA      | $5610348.85    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16779339 | PA      | $15207552.13   | 0.04%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E5CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7375 | PA      | $7274.77       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W92G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459363 | PA      | $410777.21     | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407247 | PA      | $370090.84     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297ABT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        672 | PA      | $680.39        | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2141764 | PA      | $2046812.51    | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39833 | PA      | $35862.40      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVEV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     967234 | PA      | $874752.06     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $36.55         | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202C5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        103 | PA      | $104.57        | 0.00%             | 2028-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JKZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4204 | PA      | $4407.12       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1V94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     853668 | PA      | $822674.61     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQH62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     469191 | PA      | $429019.68     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQPD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4593930 | PA      | $3641712.23    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27740746 | PA      | $21583841.40   | 0.06%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7184242 | PA      | $6497484.16    | 0.02%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1912561 | PA      | $1805445.49    | 0.00%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14584 | PA      | $14420.54      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18213 | PA      | $18691.79      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9VM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4647 | PA      | $4460.09       | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.24         | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GG60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1495 | PA      | $1558.91       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M86L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2639 | PA      | $2708.18       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GSUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133731 | PA      | $123868.81     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M85S9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     835689 | PA      | $856956.91     | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329N6T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377075 | PA      | $351305.02     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BW46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8405 | PA      | $8764.57       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXQD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     434220 | PA      | $445639.14     | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DPR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $120.42        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20206 | PA      | $19470.37      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4899 | PA      | $5022.41       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24263 | PA      | $23744.17      | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGTR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     485222 | PA      | $420541.50     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271328 | PA      | $268190.07     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1394806 | PA      | $1332828.99    | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FS3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114791 | PA      | $110694.91     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        254 | PA      | $264.60        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0FJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168117 | PA      | $152287.02     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13813763 | PA      | $12198402.79   | 0.03%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE6L4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     817192 | PA      | $795822.30     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        457 | PA      | $453.59        | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0YT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4912867 | PA      | $5096685.39    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.46         | 0.00%             | 2027-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES | BlackRock Cash Funds: Treasury, SL Agency Shares | CUSIP: 066922477<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |     100000 | NS      | $100000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292LRZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1380 | PA      | $1417.71       | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52860 | PA      | $52594.20      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1988 | PA      | $1915.61       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45926 | PA      | $47037.82      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7209629 | PA      | $6737200.21    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382FH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        541 | PA      | $547.46        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23889682 | PA      | $19680123.59   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XJP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4010 | PA      | $4131.67       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M83L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1740493 | PA      | $1424224.74    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49525 | PA      | $51556.86      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249137 | PA      | $225935.11     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382WYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        332 | PA      | $337.67        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DCJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $235.28        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9065766 | PA      | $7183237.03    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1990815 | PA      | $1809948.56    | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3023 | PA      | $3051.40       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       6895 | PA      | $6642.80       | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19158747 | PA      | $17588268.61   | 0.05%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNMN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4127352 | PA      | $3514654.85    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PYM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1551 | PA      | $1589.22       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B4CV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5242314 | PA      | $4686064.56    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128CUWF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1033086 | PA      | $987973.63     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9KD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     930806 | PA      | $913477.66     | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  107741307 | PA      | $93040074.57   | 0.24%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6N23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7786571 | PA      | $6117585.41    | 0.02%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209LLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        210 | PA      | $213.86        | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412APN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32121 | PA      | $34288.02      | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6138 | PA      | $5965.93       | 0.00%             | 2045-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M5VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277277 | PA      | $256489.77     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVR21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2403958 | PA      | $2195921.54    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9919423 | PA      | $9624051.50    | 0.03%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKYD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153257 | PA      | $142788.34     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561732 | PA      | $536856.74     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3926613 | PA      | $3480635.79    | 0.01%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18491 | PA      | $18217.02      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXEL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4077 | PA      | $4135.19       | 0.00%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20138111 | PA      | $16714038.62   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1963513 | PA      | $1877464.80    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13648 | PA      | $13308.78      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0JJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1609769 | PA      | $1408503.38    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        777 | PA      | $816.11        | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128566 | PA      | $125488.28     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  153843394 | PA      | $129065057.29  | 0.34%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2P96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4055 | PA      | $3563.38       | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMMY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1338803 | PA      | $1288306.63    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PHY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        710 | PA      | $735.21        | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FFS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1088 | PA      | $1133.39       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAPT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4046 | PA      | $3970.09       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288H7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        104 | PA      | $107.70        | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRMM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6265173 | PA      | $6118579.27    | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UPT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147277 | PA      | $140094.52     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1169989 | PA      | $1060993.69    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AXBL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107428 | PA      | $105636.52     | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FFT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     808218 | PA      | $792735.01     | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1654065 | PA      | $1608276.22    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXHC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56409 | PA      | $51084.69      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LH58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1071785 | PA      | $1109719.74    | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0BE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300575 | PA      | $262766.77     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ABYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1962233 | PA      | $1749940.43    | 0.00%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9GS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2397982 | PA      | $2414301.23    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29484335 | PA      | $26677811.69   | 0.07%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108365 | PA      | $105535.86     | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $385.23        | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414D4X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1048 | PA      | $1054.85       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31525 | PA      | $31013.58      | 0.00%             | 2027-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2355149 | PA      | $1946816.09    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L14U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1281956 | PA      | $1140977.54    | 0.00%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKHV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26452555 | PA      | $20721504.73   | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        401 | PA      | $405.58        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312926ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        276 | PA      | $287.98        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471119 | PA      | $454049.36     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3011147 | PA      | $2463876.55    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAWK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7332195 | PA      | $7238745.78    | 0.02%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7MK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8837 | PA      | $8737.87       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417F3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405903 | PA      | $362971.78     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9888999 | PA      | $8236410.22    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202TR99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7564 | PA      | $7948.76       | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A63A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5409 | PA      | $5464.68       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416J5H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3748 | PA      | $3698.66       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JRF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37956 | PA      | $36451.07      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2249936 | PA      | $1983164.85    | 0.01%             | 2048-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     960083 | PA      | $897170.71     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6068 | PA      | $6125.71       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7E44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18379 | PA      | $18525.55      | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42349 | PA      | $36972.37      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSR38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9277001 | PA      | $8769420.50    | 0.02%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2070041 | PA      | $1939011.68    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297S6L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        570 | PA      | $575.12        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WFGV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2853053 | PA      | $2764428.87    | 0.01%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3484141 | PA      | $3249187.19    | 0.01%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229612 | PA      | $220359.38     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0VT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592734 | PA      | $574288.95     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSYU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12075710 | PA      | $11718888.75   | 0.03%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7927 | PA      | $7984.75       | 0.00%             | 2045-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5086918 | PA      | $4674087.87    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383SPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $127.46        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5UF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6654816 | PA      | $5777082.66    | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QASP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184426 | PA      | $176469.50     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18085 | PA      | $17430.84      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QRC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        958 | PA      | $965.14        | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEEW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     285942 | PA      | $282304.47     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1W80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7112 | PA      | $7179.96       | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12309746 | PA      | $10730545.44   | 0.03%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UCC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220515 | PA      | $212602.26     | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1184287 | PA      | $1141115.04    | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296HQ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1645 | PA      | $1665.91       | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140APSL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15952470 | PA      | $15455180.74   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1763294 | PA      | $1678897.50    | 0.00%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KLV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2279701 | PA      | $2293143.74    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19341 | PA      | $18574.45      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     814038 | PA      | $744358.98     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWGA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3699 | PA      | $3307.52       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HAL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $98.58         | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2583191 | PA      | $2567083.24    | 0.01%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18144 | PA      | $18794.71      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211AAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $30.92         | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7VR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6034293 | PA      | $5464775.66    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7XG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     246226 | PA      | $254569.65     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJGL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56507 | PA      | $49941.63      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42842232 | PA      | $40748639.61   | 0.11%             | 2053-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJPA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5923 | PA      | $5854.14       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2VK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6929 | PA      | $6464.64       | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMYX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494995 | PA      | $457563.35     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1056228 | PA      | $1045806.14    | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        491 | PA      | $485.95        | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4942429 | PA      | $4591121.43    | 0.01%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     524291 | PA      | $469436.88     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNGW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6191578 | PA      | $5751481.06    | 0.02%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2924150 | PA      | $2742689.65    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUD79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231044 | PA      | $211267.13     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FG82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        666 | PA      | $721.17        | 0.00%             | 2036-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176PRL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11992 | PA      | $10992.80      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4LW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        489 | PA      | $502.08        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30887792 | PA      | $25532505.19   | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6023860 | PA      | $5676781.73    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2397174 | PA      | $2299302.83    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530460 | PA      | $490324.53     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $134.74        | 0.00%             | 2025-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389YHW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2165 | PA      | $2217.55       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFEK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     509511 | PA      | $501091.74     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     769065 | PA      | $698369.55     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GU53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        204 | PA      | $207.10        | 0.00%             | 2028-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4E69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7821520 | PA      | $7923699.90    | 0.02%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $163.83        | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     704554 | PA      | $682299.40     | 0.00%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WNTF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40765 | PA      | $40255.85      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1573478 | PA      | $1478369.40    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206968 | PA      | $161846.49     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FJX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1412 | PA      | $1472.45       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8387281 | PA      | $7422862.92    | 0.02%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HENF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254474 | PA      | $243571.22     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21818439 | PA      | $22085723.82   | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31963 | PA      | $29779.18      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115413 | PA      | $105754.35     | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHMA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5829709 | PA      | $5720945.40    | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJKB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2878217 | PA      | $2598714.52    | 0.01%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF3B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     630552 | PA      | $557183.79     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2092 | PA      | $2181.14       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5LB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2160741 | PA      | $2066132.90    | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5559946 | PA      | $4894692.06    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0S55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12200636 | PA      | $11017757.39   | 0.03%             | 2038-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241LUB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17647 | PA      | $17778.05      | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     443772 | PA      | $436535.74     | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     898474 | PA      | $732869.59     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        870 | PA      | $925.19        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QV48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12342 | PA      | $12464.06      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497678 | PA      | $470813.40     | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MACH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75459 | PA      | $74154.22      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93930 | PA      | $90204.63      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44448 | PA      | $43877.02      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0KT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168394 | PA      | $161236.29     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D5Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        497 | PA      | $500.87        | 0.00%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ED30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10733 | PA      | $10606.85      | 0.00%             | 2035-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7955 | PA      | $7635.78       | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12976525 | PA      | $12666963.32   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209R2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11918 | PA      | $11260.12      | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55425831 | PA      | $43362847.25   | 0.11%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     616006 | PA      | $608959.38     | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BXN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11502 | PA      | $10807.42      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1777 | PA      | $1820.28       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     744071 | PA      | $649599.68     | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HD50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.67          | 0.00%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9769989 | PA      | $9248863.23    | 0.02%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QREZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1963488 | PA      | $1909132.93    | 0.00%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJNG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4905 | PA      | $4933.70       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GNF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10324 | PA      | $10758.29      | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157481 | PA      | $142225.81     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMJD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     370341 | PA      | $321495.37     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414U3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5222 | PA      | $5350.95       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VL5Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1470387 | PA      | $1414797.86    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        712 | PA      | $702.75        | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PND3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13208 | PA      | $13059.13      | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KB6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768639 | PA      | $731828.92     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUEJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8362468 | PA      | $8328494.28    | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813948 | PA      | $727976.29     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1200982 | PA      | $1086386.55    | 0.00%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8920240 | PA      | $8300119.04    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407VTB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        585 | PA      | $600.07        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28403431 | PA      | $26527568.53   | 0.07%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XT4Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124283 | PA      | $121062.98     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362489 | PA      | $325893.45     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4CL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     386531 | PA      | $390227.65     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28387 | PA      | $29313.76      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0P41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62230529 | PA      | $55220859.21   | 0.14%             | 2054-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8M34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2408874 | PA      | $2321263.12    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ABP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2838 | PA      | $2807.92       | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5JJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1143040 | PA      | $1040581.04    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352449 | PA      | $289278.94     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M55X4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     305610 | PA      | $313566.28     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53849 | PA      | $53155.84      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGF60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102970 | PA      | $98527.55      | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E7HS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3371 | PA      | $3321.77       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DS4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12714306 | PA      | $12964975.59   | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJYK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3716 | PA      | $3580.50       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8228 | PA      | $8309.05       | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0D53<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      12276 | PA      | $12097.85      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1994 | PA      | $2014.43       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YCQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     125295 | PA      | $123360.34     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVP80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7237 | PA      | $6546.72       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271427 | PA      | $253378.57     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19813117 | PA      | $17358680.27   | 0.05%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127857 | PA      | $129898.38     | 0.00%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFNJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6540378 | PA      | $5334869.59    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHX51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1563238 | PA      | $1448694.99    | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LBPF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $139.90        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1836703 | PA      | $1618928.67    | 0.00%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5763530 | PA      | $5653115.52    | 0.01%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298346 | PA      | $271125.36     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403A2N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $113.32        | 0.00%             | 2028-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103402 | PA      | $99636.11      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QU4Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2777 | PA      | $2537.26       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3772386 | PA      | $3464651.06    | 0.01%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L1JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11999 | PA      | $12528.44      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2964238 | PA      | $2684069.41    | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHPW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28890296 | PA      | $23885554.71   | 0.06%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1AY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21415 | PA      | $20634.81      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389EHC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        964 | PA      | $980.67        | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4138 | PA      | $4188.32       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        443 | PA      | $468.88        | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUDW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11889462 | PA      | $9421821.69    | 0.02%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393051 | PA      | $388984.07     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFE71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658749 | PA      | $661399.07     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AJK24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22406 | PA      | $21985.99      | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXHL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128292 | PA      | $123357.19     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2706316 | PA      | $2538373.14    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QKT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        567 | PA      | $580.83        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        183 | PA      | $186.58        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $126.52        | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1708161 | PA      | $1345749.58    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JANZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284476 | PA      | $256913.51     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1031 | PA      | $1071.94       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7JK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39353 | PA      | $36741.18      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTQF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50619994 | PA      | $44967824.61   | 0.12%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201AY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $58.42         | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KFR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1316 | PA      | $1348.76       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18722 | PA      | $18830.82      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109927 | PA      | $111005.19     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     894645 | PA      | $855262.13     | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LA7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1537 | PA      | $1577.41       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28096 | PA      | $27768.51      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15656121 | PA      | $13698675.06   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932GN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        486 | PA      | $480.17        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A4X75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1639873 | PA      | $1618824.28    | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FS2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24732 | PA      | $23857.60      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6633 | PA      | $6396.25       | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942XR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10752 | PA      | $10338.97      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1541225 | PA      | $1424589.94    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BC20<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3542311 | PA      | $3117605.50    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1149 | PA      | $1102.44       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23275002 | PA      | $20569789.55   | 0.05%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117952 | PA      | $116182.44     | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192584 | PA      | $185460.87     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YS4D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79215 | PA      | $74434.08      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303792 | PA      | $275260.99     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14437999 | PA      | $14021435.69   | 0.04%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1067584 | PA      | $991700.17     | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6UE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2421 | PA      | $2527.66       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5WV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4482867 | PA      | $4022206.90    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3154 | PA      | $3289.62       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414TNE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45552 | PA      | $47493.97      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FST3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8584 | PA      | $8798.34       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNY49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6496251 | PA      | $5307771.66    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24801 | PA      | $24482.78      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VTF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1316 | PA      | $1352.19       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6WT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16457 | PA      | $15576.51      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170909 | PA      | $163013.07     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K2RW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        663 | PA      | $680.82        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382LCF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.11         | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YC6X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1802830 | PA      | $1567407.81    | 0.00%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18607 | PA      | $18303.49      | 0.00%             | 2042-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15818 | PA      | $15963.79      | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        451 | PA      | $454.38        | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDT68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13734 | PA      | $12981.79      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33068 | PA      | $32387.47      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1476888 | PA      | $1300176.63    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     290626 | PA      | $282030.16     | 0.00%             | 2054-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QNV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        788 | PA      | $745.91        | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15229222 | PA      | $13303571.83   | 0.03%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K84L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     979382 | PA      | $776886.06     | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21308409 | PA      | $16682372.17   | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1Z49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5823696 | PA      | $4802920.98    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111534 | PA      | $100728.01     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     841519 | PA      | $814392.76     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EP4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     688698 | PA      | $615855.29     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTFV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222017 | PA      | $208636.87     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9205 | PA      | $8870.21       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUUJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482653 | PA      | $462481.05     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41588 | PA      | $40084.45      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNY31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9002355 | PA      | $7355387.62    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10155 | PA      | $8769.24       | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5Q52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1185 | PA      | $1237.66       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291MMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13177 | PA      | $13316.76      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3072961 | PA      | $2793781.02    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M75Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15769 | PA      | $15585.61      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1075914 | PA      | $1047127.40    | 0.00%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MWK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7096 | PA      | $7183.07       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        493 | PA      | $521.97        | 0.00%             | 2034-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1TM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     705890 | PA      | $656684.86     | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        812 | PA      | $833.19        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRNE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     430300 | PA      | $432026.02     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19189 | PA      | $19975.79      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3330307 | PA      | $3061388.82    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10535 | PA      | $10261.51      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L63P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503790 | PA      | $417416.84     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.08         | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307GXQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235892 | PA      | $230525.82     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RP45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3026 | PA      | $3101.83       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  179287000 | PA      | $173907506.12  | 0.45%             | 2054-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1252 | PA      | $1246.03       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YLG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35016 | PA      | $33740.56      | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369026 | PA      | $353893.96     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BVX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        589 | PA      | $616.20        | 0.00%             | 2032-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E15W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10239 | PA      | $9820.40       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2844842 | PA      | $2794760.16    | 0.01%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AX53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568322 | PA      | $525717.11     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156444 | PA      | $144790.11     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1VG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50674 | PA      | $49055.67      | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XLAG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214533 | PA      | $198449.48     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377104 | PA      | $359657.52     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374F6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.34         | 0.00%             | 2026-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S3N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1458 | PA      | $1520.29       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7679 | PA      | $7462.61       | 0.00%             | 2030-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QRW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        236 | PA      | $238.95        | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36196LTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282904 | PA      | $256217.66     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11619129 | PA      | $10490798.48   | 0.03%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380BEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        395 | PA      | $398.21        | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B5CZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5374649 | PA      | $4866391.80    | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  268548130 | PA      | $209355145.90  | 0.55%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5A41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   69612350 | PA      | $69178270.28   | 0.18%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4185020 | PA      | $3263962.18    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410965 | PA      | $384972.34     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUUC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43291 | PA      | $41476.16      | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        435 | PA      | $456.24        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179BZR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     411099 | PA      | $376841.46     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15056 | PA      | $15529.61      | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YRV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     693250 | PA      | $629250.66     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180ADA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8427685 | PA      | $8165060.07    | 0.02%             | 2039-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2368576 | PA      | $2107984.46    | 0.01%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179300 | PA      | $171947.45     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371M6C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        982 | PA      | $1061.60       | 0.00%             | 2037-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRKD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41378617 | PA      | $41455753.34   | 0.11%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528136 | PA      | $464974.29     | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4TE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75418 | PA      | $67696.91      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2319297 | PA      | $2002143.86    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201VAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2838 | PA      | $2873.63       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91399 | PA      | $80461.74      | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7B36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128908 | PA      | $124791.05     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6EW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4894 | PA      | $4773.18       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5X97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     654070 | PA      | $610578.93     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296N5F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19471 | PA      | $19685.91      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414R6W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        439 | PA      | $441.57        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     795793 | PA      | $727234.92     | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     239638 | PA      | $237938.42     | 0.00%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11475 | PA      | $11176.45      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765970 | PA      | $733102.38     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7HR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19494 | PA      | $18783.96      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KXS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2790 | PA      | $2887.50       | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9280 | PA      | $9212.27       | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     815722 | PA      | $787213.24     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        843 | PA      | $809.95        | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5LF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188279 | PA      | $181760.43     | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0ZP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2679276 | PA      | $2760987.04    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405CU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2252 | PA      | $2246.57       | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XVKF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127686 | PA      | $124413.70     | 0.00%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8432 | PA      | $8838.54       | 0.00%             | 2034-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WUY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4925664 | PA      | $4387542.49    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPPT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407118 | PA      | $369973.59     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202044 | PA      | $197568.25     | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $34.83         | 0.00%             | 2029-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389JVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1765 | PA      | $1849.70       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402WN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        174 | PA      | $178.72        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASQ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2020324 | PA      | $1744300.84    | 0.00%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180STF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4480 | PA      | $3983.07       | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUPT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      58213 | PA      | $56476.36      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408JHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        833 | PA      | $853.58        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B7Z68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     413414 | PA      | $337780.86     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939DV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3120 | PA      | $3084.69       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WUMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13957 | PA      | $12480.46      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72876 | PA      | $70913.37      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVHJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1339463 | PA      | $1250424.98    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     373868 | PA      | $332408.39     | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8LS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402720 | PA      | $377241.81     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N8VF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6397578 | PA      | $6362034.63    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182461 | PA      | $175038.04     | 0.00%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11177298 | PA      | $10423553.90   | 0.03%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKYA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        457 | PA      | $452.77        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1251922 | PA      | $1168677.44    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF5X1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4050 | PA      | $3987.47       | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5706544 | PA      | $5503660.79    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617HNWH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1018246 | PA      | $911285.97     | 0.00%             | 2048-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LZ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2493 | PA      | $2462.03       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WMXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21719 | PA      | $21447.89      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9XR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     530221 | PA      | $494624.95     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     555070 | PA      | $539958.41     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22686 | PA      | $20286.36      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XM7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3149640 | PA      | $3245696.16    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307QMH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15896 | PA      | $15424.18      | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RHC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     268665 | PA      | $259943.61     | 0.00%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187609 | PA      | $177344.59     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49611593 | PA      | $36687329.87   | 0.10%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61064 | PA      | $51518.14      | 0.00%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942A21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26437 | PA      | $26588.32      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPM96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7887809 | PA      | $7996067.58    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1517282 | PA      | $1370275.60    | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219543 | PA      | $205653.29     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278972 | PA      | $254223.70     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     812524 | PA      | $670356.58     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65769 | PA      | $59561.95      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141115 | PA      | $127442.55     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407FQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        749 | PA      | $755.32        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    8602961 | PA      | $7536992.14    | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ANNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12704841 | PA      | $12652595.78   | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $270.94        | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201VU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3911 | PA      | $4017.90       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348702 | PA      | $258099.68     | 0.00%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BAU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     866992 | PA      | $841415.59     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMUM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2051731 | PA      | $1992126.59    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200KHS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1413 | PA      | $1454.82       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26065088 | PA      | $23492357.83   | 0.06%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NBC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6737 | PA      | $6784.94       | 0.00%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334Y3A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1558320 | PA      | $1350595.19    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G84T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     745408 | PA      | $709601.60     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3590 | PA      | $3671.65       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WEY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        220 | PA      | $219.30        | 0.00%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416Y5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     763196 | PA      | $756113.53     | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3585 | PA      | $3540.58       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     787498 | PA      | $777409.49     | 0.00%             | 2049-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3536 | PA      | $3642.21       | 0.00%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     891893 | PA      | $761315.39     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227384 | PA      | $218849.76     | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6FG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3701 | PA      | $3730.46       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183W5M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12592 | PA      | $11864.19      | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     585796 | PA      | $557765.22     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     427933 | PA      | $385841.15     | 0.00%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296FKC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        391 | PA      | $412.21        | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6H78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     517649 | PA      | $494290.32     | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15901 | PA      | $16819.87      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296KSY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1224 | PA      | $1255.96       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVZW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6144 | PA      | $5406.07       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AGKM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1368 | PA      | $1356.13       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1449 | PA      | $1430.23       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0E78<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     156998 | PA      | $154863.74     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTHW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     315234 | PA      | $296207.11     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAF37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7128 | PA      | $6981.84       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12591109 | PA      | $11401045.40   | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     806274 | PA      | $793984.85     | 0.00%             | 2051-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QEY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3805 | PA      | $3755.80       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     567287 | PA      | $528535.12     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJZS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7800 | PA      | $6833.58       | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12853 | PA      | $12692.83      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2972 | PA      | $2854.11       | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YUF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11234 | PA      | $11352.81      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7NS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7030 | PA      | $6979.43       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12756791 | PA      | $10043331.40   | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414RN76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19152 | PA      | $19626.26      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66904021 | PA      | $67606862.90   | 0.18%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     458331 | PA      | $415818.53     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238960 | PA      | $230279.53     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AE3L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10660 | PA      | $10461.18      | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293THW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $115.39        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1233 | PA      | $1264.88       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3502935 | PA      | $2759499.11    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     416338 | PA      | $395622.85     | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176KEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4551 | PA      | $4299.41       | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        461 | PA      | $457.89        | 0.00%             | 2025-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22201 | PA      | $22412.55      | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37951913 | PA      | $38365518.96   | 0.10%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7RH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5180714 | PA      | $4673972.89    | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2033219 | PA      | $1830564.78    | 0.00%             | 2053-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176RV25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102873 | PA      | $89596.00      | 0.00%             | 2047-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV4L4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1338589 | PA      | $1255878.25    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCPD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36223 | PA      | $35357.96      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1LM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     740607 | PA      | $693952.89     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27066059 | PA      | $27015448.04   | 0.07%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DNM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11324 | PA      | $11178.31      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43969 | PA      | $44202.51      | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11012451 | PA      | $8759954.75    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXJE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6333578 | PA      | $5178736.37    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410D4G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10117 | PA      | $10754.31      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106660 | PA      | $103116.56     | 0.00%             | 2031-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WQAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1118789 | PA      | $1011881.91    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L64H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1870622 | PA      | $1549910.78    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411CC58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5718 | PA      | $5953.26       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KA6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694235 | PA      | $627931.77     | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5626 | PA      | $5816.61       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8WW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2512687 | PA      | $2416860.48    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     770333 | PA      | $698591.96     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     425445 | PA      | $423808.12     | 0.00%             | 2054-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       6147 | PA      | $6286.56       | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1080763 | PA      | $1062764.81    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4NV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     488308 | PA      | $458551.59     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     296802 | PA      | $281486.97     | 0.00%             | 2043-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940EP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5202 | PA      | $5142.02       | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADWF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2344456 | PA      | $2249966.35    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AJMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        960 | PA      | $940.23        | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     598654 | PA      | $579292.28     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22625000 | PA      | $20126147.71   | 0.05%             | 2054-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493502 | PA      | $441305.52     | 0.00%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENHC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689110 | PA      | $671255.19     | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BBD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $19.85         | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371J3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        371 | PA      | $377.20        | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21484 | PA      | $19211.26      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226954 | PA      | $219010.95     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176FPV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7005 | PA      | $6618.84       | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.24         | 0.00%             | 2026-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298R7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        738 | PA      | $775.39        | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402YF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136654 | PA      | $139991.13     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     989693 | PA      | $907984.13     | 0.00%             | 2054-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     343061 | PA      | $302429.96     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUT44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $76.46         | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2913 | PA      | $2810.17       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54882 | PA      | $53189.65      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYZ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729022 | PA      | $662325.08     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EYR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1391 | PA      | $1414.35       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230PV64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9226 | PA      | $8463.36       | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1FB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     673382 | PA      | $584566.70     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASLE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        970 | PA      | $949.58        | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12268 | PA      | $12114.87      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        833 | PA      | $854.53        | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1330754 | PA      | $1058075.52    | 0.00%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11964 | PA      | $12254.11      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     379026 | PA      | $389017.78     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J82X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15032 | PA      | $13912.63      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUB42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36086 | PA      | $35125.01      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0PR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15251 | PA      | $14329.63      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25591 | PA      | $24659.87      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1488358 | PA      | $1440044.53    | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1818357 | PA      | $1586871.95    | 0.00%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTTD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19816787 | PA      | $20176687.65   | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU4M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25492 | PA      | $24590.60      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2758998 | PA      | $2471171.15    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176RJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9396 | PA      | $8877.95       | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDLH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26085 | PA      | $25692.47      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939NC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83374 | PA      | $82408.19      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GE7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13501 | PA      | $13293.28      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        188 | PA      | $195.95        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGNP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263667 | PA      | $261209.74     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4927 | PA      | $4723.26       | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379D7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $40.01         | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7PH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     913706 | PA      | $859355.20     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1914 | PA      | $1995.99       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QRZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4875 | PA      | $4813.81       | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXDR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2965 | PA      | $2843.54       | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200M2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1795 | PA      | $1844.48       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5SP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3563 | PA      | $3719.85       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617G7LJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129662 | PA      | $115967.61     | 0.00%             | 2048-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2T6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     355840 | PA      | $332627.73     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209FPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $79.38         | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1729441 | PA      | $1563302.63    | 0.00%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        374 | PA      | $383.21        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419J5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $55.49         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10852751 | PA      | $11268662.50   | 0.03%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2256711 | PA      | $2043415.70    | 0.01%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8TY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20631147 | PA      | $17629086.99   | 0.05%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     611837 | PA      | $547823.63     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BCZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   12462671 | PA      | $10976275.79   | 0.03%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4406393 | PA      | $4047240.00    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402E2V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14660 | PA      | $14803.84      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378UV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $129.96        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9ZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28546 | PA      | $27466.96      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307REU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283559 | PA      | $275682.32     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQQ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     413763 | PA      | $408452.24     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72220 | PA      | $74578.65      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64034 | PA      | $62436.30      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11522 | PA      | $10830.78      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14263 | PA      | $13810.44      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E07G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8116209 | PA      | $8250353.44    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B72Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12323584 | PA      | $9588433.35    | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41457223 | PA      | $41558325.18   | 0.11%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        531 | PA      | $535.29        | 0.00%             | 2036-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26808 | PA      | $27611.76      | 0.00%             | 2044-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31326FW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12481 | PA      | $12593.66      | 0.00%             | 2043-08-01      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6N48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24308431 | PA      | $22121233.55   | 0.06%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2557100 | PA      | $2572932.72    | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     789503 | PA      | $681831.96     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205KY89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.60         | 0.00%             | 2027-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L6QZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2727 | PA      | $2745.24       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYMW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1254400 | PA      | $1138048.71    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     974806 | PA      | $922698.10     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128ME7E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47369 | PA      | $45847.34      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LEB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20162 | PA      | $19451.51      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     397227 | PA      | $400150.81     | 0.00%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNG31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7257260 | PA      | $6486612.12    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQF91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999340 | PA      | $2008734.44    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3585838 | PA      | $2956204.37    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295FHW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1026 | PA      | $1052.73       | 0.00%             | 2037-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36574896 | PA      | $28852203.12   | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EX58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71373 | PA      | $70006.17      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9623655 | PA      | $8010991.76    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127678 | PA      | $126801.88     | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1617840 | PA      | $1421867.17    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198KKH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182243 | PA      | $164661.10     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58405183 | PA      | $45807286.96   | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQS64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9202465 | PA      | $7160028.79    | 0.02%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRWB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   72026414 | PA      | $74786692.77   | 0.20%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12199 | PA      | $11290.67      | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51586 | PA      | $49639.92      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47379 | PA      | $46717.52      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1739048 | PA      | $1418510.54    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141197 | PA      | $136163.71     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390NTA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $70.55         | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17941 | PA      | $16981.74      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12672 | PA      | $12989.60      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8632471 | PA      | $7041353.35    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WA5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2911 | PA      | $2847.52       | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MDZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176312 | PA      | $163094.08     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9NX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     140730 | PA      | $126638.30     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419HXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18990 | PA      | $18236.70      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L1UQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1121514 | PA      | $871929.55     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9491080 | PA      | $8834994.76    | 0.02%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27656 | PA      | $25709.92      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177XLR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78186 | PA      | $71607.03      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JD69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        137 | PA      | $142.04        | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2878331 | PA      | $2729806.37    | 0.01%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400EU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        336 | PA      | $345.90        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1263648 | PA      | $1114134.09    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1732857 | PA      | $1446491.94    | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6G5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     259910 | PA      | $266750.62     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1084 | PA      | $1122.95       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42693 | PA      | $39096.68      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8990 | PA      | $9255.38       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJM25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     334984 | PA      | $319707.12     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41983 | PA      | $39445.19      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DG72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295034 | PA      | $272915.19     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6935198 | PA      | $6443809.73    | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578402 | PA      | $558427.82     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380LLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $135.73        | 0.00%             | 2028-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6ZS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451699 | PA      | $431814.61     | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71371 | PA      | $71694.59      | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     240572 | PA      | $247573.62     | 0.00%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208HSK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         71 | PA      | $72.10         | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C5MF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11210 | PA      | $10970.11      | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PST64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1072 | PA      | $1066.80       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FQW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243470 | PA      | $217718.77     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928XJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        461 | PA      | $492.46        | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YLG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        344 | PA      | $347.61        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142187 | PA      | $135939.26     | 0.00%             | 2050-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369504 | PA      | $334292.20     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KN4M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3216260 | PA      | $2877789.03    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7QX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13384 | PA      | $12687.70      | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42409758 | PA      | $31371296.52   | 0.08%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17934967 | PA      | $16551246.45   | 0.04%             | 2053-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389EYJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        824 | PA      | $863.97        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120201 | PA      | $115666.00     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNK27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9577104 | PA      | $7514335.61    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414DZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        732 | PA      | $763.66        | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VQ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5354 | PA      | $5385.85       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13411 | PA      | $12836.01      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2416199 | PA      | $2332260.95    | 0.01%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14387 | PA      | $14246.01      | 0.00%             | 2026-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22068439 | PA      | $20284883.30   | 0.05%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382QVY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $49.34         | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2736 | PA      | $2853.57       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BPXV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5959688 | PA      | $5815965.65    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AWFD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36367 | PA      | $36633.05      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1471301 | PA      | $1295080.20    | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13020928 | PA      | $11392954.05   | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CFV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12147 | PA      | $12228.43      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4213914 | PA      | $3812804.89    | 0.01%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1840608 | PA      | $1729681.65    | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YXN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     519890 | PA      | $497460.04     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5WC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3707 | PA      | $3801.33       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1481 | PA      | $1516.97       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQUE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5680132 | PA      | $5798406.20    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XJ79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      25334 | PA      | $24928.83      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7F35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        492 | PA      | $486.78        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391N6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2522 | PA      | $2576.06       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B3YB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13144183 | PA      | $11771131.31   | 0.03%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211RCH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.34         | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJEA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79938 | PA      | $72493.17      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBXN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99057 | PA      | $87049.88      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KGKY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1996 | PA      | $2049.04       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66195 | PA      | $65349.36      | 0.00%             | 2047-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6264451 | PA      | $4872109.19    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55600 | PA      | $50616.40      | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12143340 | PA      | $10585487.93   | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180ACA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62870523 | PA      | $62478483.62   | 0.16%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AEJR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        848 | PA      | $801.26        | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQGD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4485209 | PA      | $4366677.09    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1227286 | PA      | $1208177.76    | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3766096 | PA      | $3475783.94    | 0.01%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6311 | PA      | $6580.63       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457730 | PA      | $418307.11     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP2D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1309420 | PA      | $1166716.53    | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1229 | PA      | $1241.42       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVWA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     562871 | PA      | $492496.51     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1914216 | PA      | $1605572.14    | 0.00%             | 2054-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8NN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        551 | PA      | $556.69        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3539959 | PA      | $3422006.26    | 0.01%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12665956 | PA      | $11435969.05   | 0.03%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     369233 | PA      | $377701.51     | 0.00%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16307186 | PA      | $15940538.96   | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        177 | PA      | $187.56        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944TR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112478 | PA      | $108161.39     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16474 | PA      | $16199.16      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L8DY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1055465 | PA      | $956981.32     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7UN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1872994 | PA      | $1702104.66    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8241165 | PA      | $6726591.93    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292JMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1925 | PA      | $1972.60       | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNKS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3922554 | PA      | $3340259.00    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100607 | PA      | $96688.33      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178CLX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106636 | PA      | $97658.12      | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8GL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4831 | PA      | $4877.18       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QD24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210284 | PA      | $204793.32     | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9088769 | PA      | $7854250.86    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7001493 | PA      | $6074378.55    | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7L94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1513552 | PA      | $1459267.68    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $138.68        | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138215 | PA      | $129473.53     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391TD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        928 | PA      | $948.28        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3603651 | PA      | $3069875.46    | 0.01%             | 2047-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216236 | PA      | $193365.16     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2930 | PA      | $3001.54       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15402760 | PA      | $15056447.85   | 0.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B6BV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321600 | PA      | $262804.01     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ESR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15094174 | PA      | $13839092.89   | 0.04%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6095 | PA      | $6139.67       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207ECH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        272 | PA      | $272.50        | 0.00%             | 2026-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MYAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1024552 | PA      | $1019196.45    | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2047803 | PA      | $2063001.69    | 0.01%             | 2047-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     192742 | PA      | $200892.67     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36192SX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338685 | PA      | $317468.55     | 0.00%             | 2046-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L7HD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1224100 | PA      | $1050310.49    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4544643 | PA      | $4228741.78    | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5827 | PA      | $5210.67       | 0.00%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     437560 | PA      | $421751.25     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2068 | PA      | $2119.03       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8AF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35245 | PA      | $33015.48      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     452129 | PA      | $435160.74     | 0.00%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32876 | PA      | $31538.31      | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1337122 | PA      | $1168929.31    | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296N2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24487 | PA      | $24758.18      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRV76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1172977 | PA      | $1071079.31    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPXY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161830 | PA      | $140697.62     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7N27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3765591 | PA      | $3695337.90    | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406VX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1780 | PA      | $1825.02       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407DZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1217 | PA      | $1247.91       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JWX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50815 | PA      | $49655.20      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YYV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15554 | PA      | $15294.31      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10001064 | PA      | $9684197.88    | 0.03%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2628258 | PA      | $2620596.91    | 0.01%             | 2053-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3258470 | PA      | $2468420.59    | 0.01%             | 2051-11-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     448109 | PA      | $404692.51     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MWYH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2004990 | PA      | $1996358.77    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9TM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375498 | PA      | $327141.03     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5693 | PA      | $5839.94       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419E5A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65009 | PA      | $62431.20      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1GF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25300000 | PA      | $21801639.66   | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932F68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3975 | PA      | $3820.09       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LD28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10481 | PA      | $9703.69       | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1871328 | PA      | $1649447.55    | 0.00%             | 2049-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206VZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        443 | PA      | $451.72        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWKD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23083401 | PA      | $21164015.28   | 0.06%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730208 | PA      | $681409.95     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     627530 | PA      | $587808.17     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EW6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7515 | PA      | $6575.27       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J32W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     375201 | PA      | $368759.44     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $8.77          | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23138147 | PA      | $19075340.61   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EAG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        520 | PA      | $536.90        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCQF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.22          | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        366 | PA      | $378.16        | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1338312 | PA      | $1170700.88    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGUQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20383935 | PA      | $18520169.04   | 0.05%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BYC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        570 | PA      | $594.66        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSXK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $60.26         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403KUF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3625 | PA      | $3715.85       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CJ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        112 | PA      | $118.46        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200WHZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6705 | PA      | $6890.97       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KDC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     562379 | PA      | $578340.22     | 0.00%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2TM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136455 | PA      | $128525.79     | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     990087 | PA      | $891403.28     | 0.00%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFMW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28217846 | PA      | $23316726.51   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RE91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3948 | PA      | $4045.53       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387608 | PA      | $361367.95     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQBR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     955783 | PA      | $882106.18     | 0.00%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3DB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64959 | PA      | $62350.68      | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6298205 | PA      | $5632055.86    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SAQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        895 | PA      | $933.63        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455263 | PA      | $426072.08     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     775046 | PA      | $666188.73     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382FYN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        672 | PA      | $684.09        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J83Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3367 | PA      | $3288.83       | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338940 | PA      | $347244.46     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294QD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5090 | PA      | $5367.48       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTQ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9754 | PA      | $9398.74       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMA44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10489 | PA      | $10565.22      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   63054966 | PA      | $52941710.95   | 0.14%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196711 | PA      | $182783.60     | 0.00%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182LDS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25738 | PA      | $24250.91      | 0.00%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51762075 | PA      | $51775225.09   | 0.14%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W02R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10093853 | PA      | $7880571.59    | 0.02%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1680830 | PA      | $1706526.61    | 0.00%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKV47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497745 | PA      | $479412.71     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23594 | PA      | $24561.33      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYZW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     716979 | PA      | $625947.60     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VVV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     822572 | PA      | $800228.25     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500552 | PA      | $468867.79     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9TD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311849 | PA      | $308085.18     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229843 | PA      | $209519.49     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8570611 | PA      | $7574463.99    | 0.02%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G3Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        240 | PA      | $245.17        | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8025742 | PA      | $7723031.37    | 0.02%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1601604 | PA      | $1494164.53    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1995 | PA      | $1970.46       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288D5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20424 | PA      | $20880.36      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B2X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     606193 | PA      | $495852.38     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        244 | PA      | $250.44        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27095 | PA      | $25193.96      | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300868 | PA      | $272472.12     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRFX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21507050 | PA      | $20917516.13   | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2120945 | PA      | $1781572.58    | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351071 | PA      | $318952.34     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207KU57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.57         | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B3RH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4587819 | PA      | $4101016.54    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N4DG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1595940 | PA      | $1557452.70    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAVX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32201 | PA      | $32534.03      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297NH33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1477 | PA      | $1516.13       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384VV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $63.72         | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139443 | PA      | $141171.64     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287N6S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1327 | PA      | $1362.82       | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1713251 | PA      | $1409909.83    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403563 | PA      | $382071.58     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409CZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2548 | PA      | $2611.59       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GX68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        710 | PA      | $728.62        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383JWB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        995 | PA      | $1003.62       | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEUP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12532 | PA      | $10979.47      | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     641161 | PA      | $594213.36     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293THV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        104 | PA      | $104.59        | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E2KR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292665 | PA      | $282040.43     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JFZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $45.19         | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1740070 | PA      | $1630456.12    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402GSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        618 | PA      | $624.14        | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GYH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        218 | PA      | $224.67        | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8FM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72414 | PA      | $74301.89      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1564928 | PA      | $1297964.90    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9D65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     938642 | PA      | $910770.45     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WKC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $74.26         | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     697759 | PA      | $651362.95     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19906 | PA      | $17416.98      | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9BJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388600 | PA      | $372790.90     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19299652 | PA      | $16946035.86   | 0.04%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKTX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416121 | PA      | $378630.45     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HEK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        375 | PA      | $384.74        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5586 | PA      | $5382.13       | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVW92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39170 | PA      | $34272.38      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254442 | PA      | $255942.25     | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7619004 | PA      | $6663905.02    | 0.02%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295H6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1070 | PA      | $1132.02       | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H5J0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     638709 | PA      | $655519.76     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2838699 | PA      | $2697010.68    | 0.01%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XC4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174565 | PA      | $171090.72     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCMT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11791161 | PA      | $9316940.71    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EPN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        813 | PA      | $813.46        | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5274825 | PA      | $5127766.37    | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938AR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8275 | PA      | $7952.44       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233117 | PA      | $211172.44     | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20712 | PA      | $19916.25      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MKGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5850083 | PA      | $5377695.86    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238760 | PA      | $216225.57     | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      74514 | PA      | $65101.11      | 0.00%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      26952 | PA      | $26514.32      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JPT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41618 | PA      | $38497.98      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18517037 | PA      | $14466852.60   | 0.04%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKWW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2480693 | PA      | $2230197.34    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LKA83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     816708 | PA      | $798228.93     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X66B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5999024 | PA      | $5780732.14    | 0.02%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4HX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1699895 | PA      | $1654221.06    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     851206 | PA      | $821428.60     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415P3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11076 | PA      | $11347.40      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379JGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $30.78         | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBMB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27234 | PA      | $26474.14      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24393 | PA      | $24158.71      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4470 | PA      | $4686.17       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2902 | PA      | $2861.18       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1049 | PA      | $1076.60       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350161 | PA      | $306381.29     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1025765 | PA      | $999514.73     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122169 | PA      | $125725.17     | 0.00%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M86F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12314 | PA      | $12432.20      | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9HH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1178815 | PA      | $1133858.12    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BBCR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10022 | PA      | $9650.00       | 0.00%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5072945 | PA      | $4673230.45    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5871978 | PA      | $5455923.78    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LD36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20341 | PA      | $19524.34      | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37888247 | PA      | $38637575.79   | 0.10%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W4UG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416570 | PA      | $407280.23     | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K26E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344119 | PA      | $320931.73     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUAZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1903288 | PA      | $1978835.78    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M5V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1708224 | PA      | $1775303.30    | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36427290 | PA      | $36200141.22   | 0.09%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128055 | PA      | $126620.48     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XR6D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106579 | PA      | $97399.59      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M9X97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26958 | PA      | $23518.11      | 0.00%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7973483 | PA      | $7909671.37    | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210PUD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         72 | PA      | $72.74         | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QADS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53039 | PA      | $52363.02      | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPLY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3369273 | PA      | $3097208.34    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12069318 | PA      | $12586067.87   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4093927 | PA      | $3873627.66    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XPQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     668230 | PA      | $634412.34     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291GY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        562 | PA      | $563.22        | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WJ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2309 | PA      | $2334.61       | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD2F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151387 | PA      | $138676.02     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRJA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13636 | PA      | $12629.94      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4300411 | PA      | $4243684.19    | 0.01%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EQA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14383 | PA      | $15084.73      | 0.00%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y3UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191110 | PA      | $183821.37     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RXX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1205 | PA      | $1241.90       | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181BRN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181312 | PA      | $165902.78     | 0.00%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33776163 | PA      | $29709646.43   | 0.08%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96690 | PA      | $92793.42      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253271 | PA      | $237251.77     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10870 | PA      | $10727.83      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202SAZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2809 | PA      | $2871.61       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN2C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8792574 | PA      | $8116356.10    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8QJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11531 | PA      | $11247.17      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5U49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21784 | PA      | $20990.48      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U5Z7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     227706 | PA      | $219203.34     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7YF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9553558 | PA      | $7862007.41    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3050284 | PA      | $3034234.60    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7288543 | PA      | $6634781.67    | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AGJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     590164 | PA      | $575555.95     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XXX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70456 | PA      | $70334.43      | 0.00%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M43N1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        650 | PA      | $666.28        | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19373 | PA      | $19513.14      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        871 | PA      | $926.46        | 0.00%             | 2032-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5NU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200215 | PA      | $176259.12     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSQY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2978869 | PA      | $2617797.63    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23362027 | PA      | $22026083.98   | 0.06%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1581829 | PA      | $1419138.67    | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BBC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.36         | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72686 | PA      | $74601.69      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YH3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13528 | PA      | $12787.69      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52754 | PA      | $49865.64      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRUM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492996 | PA      | $439137.27     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMK21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5231623 | PA      | $5214887.60    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31300LQK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30849 | PA      | $31470.48      | 0.00%             | 2041-08-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1752 | PA      | $1766.84       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1244759 | PA      | $1028144.56    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406YTT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        796 | PA      | $802.18        | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCRS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.90         | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378WS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $71.75         | 0.00%             | 2028-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52918 | PA      | $53403.65      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUJZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107814 | PA      | $100997.53     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8784690 | PA      | $7819213.09    | 0.02%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10475507 | PA      | $9233445.15    | 0.02%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9612430 | PA      | $8891796.71    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5300071 | PA      | $4371076.84    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NJE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14235 | PA      | $14646.98      | 0.00%             | 2043-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412WRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1053 | PA      | $1058.74       | 0.00%             | 2037-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401C5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3935 | PA      | $4124.27       | 0.00%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1343570 | PA      | $1178827.54    | 0.00%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202W2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11554 | PA      | $11892.60      | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128CUWB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     527748 | PA      | $503158.30     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDD35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79164 | PA      | $69355.25      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163799 | PA      | $149116.45     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5722165 | PA      | $4521534.75    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNDM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43530 | PA      | $42429.14      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312937BJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7274 | PA      | $7192.96       | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1013827 | PA      | $912040.04     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121002 | PA      | $116629.97     | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LP6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2699649 | PA      | $2331283.91    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUJM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7692585 | PA      | $7899051.32    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132172 | PA      | $118192.38     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A93H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78307 | PA      | $77184.86      | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28534 | PA      | $28702.13      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185330 | PA      | $189978.99     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617ANZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2908166 | PA      | $2714436.29    | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E67H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3575 | PA      | $3524.28       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $216.08        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64290 | PA      | $64911.73      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176VNG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79465 | PA      | $72418.98      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9ZD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11199 | PA      | $11303.16      | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174114 | PA      | $169391.07     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51263 | PA      | $46153.06      | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115718 | PA      | $96133.57      | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RSB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10814 | PA      | $10385.07      | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7DJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83836 | PA      | $84505.89      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942QF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8611 | PA      | $8280.57       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN5V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4305641 | PA      | $3983680.31    | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617B6KW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20349 | PA      | $17722.83      | 0.00%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4TV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473811 | PA      | $460483.78     | 0.00%             | 2050-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617A8Q44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3320426 | PA      | $3015242.00    | 0.01%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386SWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $144.96        | 0.00%             | 2031-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFJL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6588 | PA      | $6189.65       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14629604 | PA      | $12643625.88   | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289947 | PA      | $251724.63     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28201 | PA      | $28459.90      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4830271 | PA      | $4509090.31    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1L33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $164.62        | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2R61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4367402 | PA      | $3897191.50    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     201566 | PA      | $194612.61     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36222 | PA      | $35757.30      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22553 | PA      | $22092.80      | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MPE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42765375 | PA      | $38366983.28   | 0.10%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24705 | PA      | $25762.37      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261473 | PA      | $253330.09     | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U2R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1385498 | PA      | $1336428.55    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WCSL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189399 | PA      | $191252.75     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XCCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29985 | PA      | $29204.88      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        328 | PA      | $330.19        | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2017754 | PA      | $1721063.31    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401PEU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1122 | PA      | $1149.58       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1JP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428566 | PA      | $399911.01     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AE2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9151731 | PA      | $9269597.98    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1413 | PA      | $1498.54       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2763477 | PA      | $2383839.27    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CCS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        889 | PA      | $894.44        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4820 | PA      | $5020.34       | 0.00%             | 2032-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371L4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1288 | PA      | $1320.59       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1760 | PA      | $1875.04       | 0.00%             | 2039-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2470289 | PA      | $2160619.61    | 0.01%             | 2053-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M4MS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9724 | PA      | $9242.21       | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206WYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.74          | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUTT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1381213 | PA      | $1239814.12    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     758553 | PA      | $757163.46     | 0.00%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492015 | PA      | $439975.75     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275490 | PA      | $250802.05     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402Q3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        324 | PA      | $322.97        | 0.00%             | 2028-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     561561 | PA      | $471575.30     | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4NA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342380 | PA      | $307329.31     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2966395 | PA      | $2423697.92    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13955 | PA      | $13776.38      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSSM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91279 | PA      | $88658.94      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     344712 | PA      | $325389.52     | 0.00%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVS89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7447 | PA      | $7322.46       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VQY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3642 | PA      | $3497.62       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JH6J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1217674 | PA      | $1165423.39    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5XF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     840929 | PA      | $847644.01     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322216 | PA      | $265164.88     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68765 | PA      | $62684.77      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31654 | PA      | $30669.88      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1666921 | PA      | $1494935.98    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K3XA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3969 | PA      | $4073.43       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1100 | PA      | $1106.31       | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BGDA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3012146 | PA      | $2939525.72    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289679 | PA      | $285330.56     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4MW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12828614 | PA      | $12002663.27   | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16533846 | PA      | $12895004.28   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373URD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.37         | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303695 | PA      | $299113.16     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404RYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1158 | PA      | $1186.76       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NNL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1041 | PA      | $1047.26       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401BLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2511 | PA      | $2572.91       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSDX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     561528 | PA      | $510009.10     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7355972 | PA      | $7338909.16    | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1040755 | PA      | $968652.95     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HH4K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2200424 | PA      | $2032971.61    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36184Q2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69231 | PA      | $62543.80      | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M84T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19660 | PA      | $18905.26      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297PKL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        584 | PA      | $599.22        | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HPHK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     740900 | PA      | $667129.27     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23612 | PA      | $22751.79      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CE85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76772 | PA      | $78673.93      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12372808 | PA      | $11388273.27   | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14746 | PA      | $14251.20      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5AP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16463 | PA      | $14549.73      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33618157 | PA      | $29584709.43   | 0.08%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38806 | PA      | $36463.58      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     986387 | PA      | $818534.31     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JAVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14837 | PA      | $13284.84      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2270 | PA      | $2210.54       | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8990381 | PA      | $8505209.05    | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     971024 | PA      | $774313.54     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     585169 | PA      | $565913.19     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     426545 | PA      | $436625.08     | 0.00%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2002735 | PA      | $2032019.95    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9W56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262613 | PA      | $257094.54     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFPE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     279640 | PA      | $267806.64     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSDS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.32         | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332755 | PA      | $328391.21     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSGY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     525017 | PA      | $479669.35     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1162796 | PA      | $948471.95     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  167936593 | PA      | $131477706.80  | 0.34%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8GQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     849824 | PA      | $827334.90     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3XW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1597986 | PA      | $1443159.94    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1711 | PA      | $1753.74       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4Z66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45985 | PA      | $45685.67      | 0.00%             | 2032-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11716580 | PA      | $10477340.06   | 0.03%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96645 | PA      | $83460.31      | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230NJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283074 | PA      | $267026.43     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXMQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3337 | PA      | $3484.56       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K85V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $306.68        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42202 | PA      | $41513.86      | 0.00%             | 2042-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7LH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     266244 | PA      | $269189.19     | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5U35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1362824 | PA      | $1334736.85    | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BJT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1635 | PA      | $1628.73       | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E7LM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2674 | PA      | $2434.62       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1319191 | PA      | $1175071.13    | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $93.92         | 0.00%             | 2029-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414L4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10687 | PA      | $10745.66      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMS61<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      43337 | PA      | $41884.24      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FB7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27848 | PA      | $27456.16      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265539 | PA      | $263822.35     | 0.00%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9JQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360453 | PA      | $333260.31     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QVY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1278 | PA      | $1297.10       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129357C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2617 | PA      | $2587.61       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8V46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131728 | PA      | $122969.01     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M0BG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7929727 | PA      | $6539808.42    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LGW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     562749 | PA      | $521203.66     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25510 | PA      | $24611.33      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8543901 | PA      | $7832354.71    | 0.02%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     885666 | PA      | $907881.35     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9L93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22014 | PA      | $21892.99      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KTA26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3076 | PA      | $3211.76       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4773 | PA      | $4968.97       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657080 | PA      | $623169.27     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6TV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     741192 | PA      | $707175.03     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MXKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4882722 | PA      | $4785912.52    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1946301 | PA      | $1749486.88    | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4187712 | PA      | $3422637.38    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17955 | PA      | $16140.17      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405003 | PA      | $379490.48     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DST77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3742002 | PA      | $3870513.23    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18352 | PA      | $17383.40      | 0.00%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MPWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122914 | PA      | $120238.40     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1135 | PA      | $1127.19       | 0.00%             | 2025-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XANJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301844 | PA      | $294926.37     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMU35<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3053829 | PA      | $2962109.15    | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130009 | PA      | $134630.10     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $137.89        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413CF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8794 | PA      | $9170.21       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUB55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28693030 | PA      | $26546860.07   | 0.07%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JJH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1880 | PA      | $1926.43       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY2N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20814 | PA      | $18847.52      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5AN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2093216 | PA      | $1911124.99    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3461396 | PA      | $3315375.05    | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9J23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76989 | PA      | $72338.58      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345672 | PA      | $299792.45     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9DE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     599672 | PA      | $555429.88     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178ENX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15171 | PA      | $13882.56      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C2J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8489140 | PA      | $8400771.45    | 0.02%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YZQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      47287 | PA      | $46487.50      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        799 | PA      | $844.64        | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RGR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     512232 | PA      | $492256.61     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180HSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3547 | PA      | $3138.60       | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2526824 | PA      | $2309527.62    | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HZN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      66493 | PA      | $68208.08      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DT6A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10728722 | PA      | $10641695.64   | 0.03%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT37<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     943654 | PA      | $917992.22     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGEU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2177660 | PA      | $1717662.04    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1658367 | PA      | $1605459.69    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNLB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4748875 | PA      | $3770658.54    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2174 | PA      | $2141.21       | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1091533 | PA      | $1073322.52    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348207 | PA      | $317252.38     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1021397 | PA      | $1071358.21    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMR47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5110 | PA      | $5036.97       | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4775 | PA      | $4733.33       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297UVE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1924 | PA      | $2020.44       | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MWG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9656 | PA      | $10044.74      | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291FVR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3820 | PA      | $3865.22       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14491 | PA      | $14596.65      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3791534 | PA      | $3008463.86    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LWT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5542 | PA      | $5905.75       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18704366 | PA      | $16310225.61   | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4209 | PA      | $3954.67       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0L56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20317 | PA      | $19577.19      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1QG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1089324 | PA      | $951557.33     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M7WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34078 | PA      | $30636.76      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ86<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     128437 | PA      | $116156.64     | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176QEN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11113 | PA      | $10499.99      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382G3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $300.67        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ACNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18710893 | PA      | $18696989.47   | 0.05%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2323719 | PA      | $2147866.88    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23002165 | PA      | $21161174.81   | 0.06%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVUV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     568153 | PA      | $498747.06     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQ7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8362274 | PA      | $8551195.04    | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265995 | PA      | $248338.36     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408DQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1259 | PA      | $1269.83       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JLZ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     730316 | PA      | $703044.78     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVGC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30685 | PA      | $28869.06      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1444382 | PA      | $1402544.62    | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78217130 | PA      | $67546124.05   | 0.18%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181497 | PA      | $170008.16     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J47J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     877883 | PA      | $865858.12     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWC85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     928159 | PA      | $914485.52     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10220 | PA      | $10113.50      | 0.00%             | 2027-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KHEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2590 | PA      | $2657.62       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3973395 | PA      | $3940149.54    | 0.01%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NKFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21758254 | PA      | $21566463.31   | 0.06%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QV2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58672675 | PA      | $56815479.56   | 0.15%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B2SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7342022 | PA      | $5708369.18    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287YND2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        252 | PA      | $257.78        | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572175 | PA      | $545494.63     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2355239 | PA      | $2144121.70    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HQC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $104.90        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2083 | PA      | $2159.86       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2156040 | PA      | $2004744.62    | 0.01%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11195810 | PA      | $9766212.35    | 0.03%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598769 | PA      | $540755.12     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411AJE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $315.15        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17757590 | PA      | $15438717.07   | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209149 | PA      | $184037.93     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91629 | PA      | $90484.88      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0NL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1747106 | PA      | $1535337.53    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7200201 | PA      | $5918639.37    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4EK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3464 | PA      | $3755.08       | 0.00%             | 2036-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68452 | PA      | $55009.38      | 0.00%             | 2052-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1488785 | PA      | $1341836.19    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5985609 | PA      | $5830200.34    | 0.02%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YGB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        824 | PA      | $853.14        | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4TL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93151 | PA      | $91086.59      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9KG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4147 | PA      | $4100.50       | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJGM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3598 | PA      | $3433.72       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     733679 | PA      | $706143.14     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KUTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $206.05        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     715744 | PA      | $695854.20     | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198VLY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35950 | PA      | $32706.20      | 0.00%             | 2044-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FH7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1945641 | PA      | $1611782.17    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26692404 | PA      | $21801148.62   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2041 | PA      | $2128.18       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MJ4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13472746 | PA      | $11482641.79   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22681529 | PA      | $18233571.81   | 0.05%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9PK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1703620 | PA      | $1535466.26    | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NRD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1390 | PA      | $1408.38       | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18733910 | PA      | $14814830.72   | 0.04%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WARA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39761 | PA      | $39018.80      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945LK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     401231 | PA      | $396576.21     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASDV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     820448 | PA      | $775160.29     | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT6P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2305979 | PA      | $1816106.28    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3970845 | PA      | $3689709.99    | 0.01%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QR6F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     300436 | PA      | $264688.24     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16177468 | PA      | $14543900.12   | 0.04%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $128.42        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326321 | PA      | $318121.33     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MBMB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11906 | PA      | $10703.75      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DQ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2609511 | PA      | $2484612.29    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129302P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42663 | PA      | $43775.20      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AGR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12254 | PA      | $12233.39      | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19821 | PA      | $19119.76      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1902 | PA      | $1919.72       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HKZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $55.10         | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AARQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1068627 | PA      | $976590.01     | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        418 | PA      | $421.86        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRJD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        418 | PA      | $444.39        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4170924 | PA      | $4107351.63    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     806672 | PA      | $680624.11     | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AY6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33880 | PA      | $32011.47      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104895 | PA      | $110015.43     | 0.00%             | 2040-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AHM59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8379 | PA      | $8206.98       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2069738 | PA      | $1872845.51    | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4464 | PA      | $4394.35       | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BAFQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6486687 | PA      | $5574182.67    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1V37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1013729 | PA      | $880024.11     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     478131 | PA      | $468109.12     | 0.00%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292VT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $167.97        | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   84022918 | PA      | $68728924.06   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209CUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $65.64         | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     571006 | PA      | $565112.37     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EG38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18809870 | PA      | $16503486.90   | 0.04%             | 2037-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N16T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22274150 | PA      | $21068657.80   | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207173 | PA      | $197570.41     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36188QHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41663 | PA      | $40412.80      | 0.00%             | 2045-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177NQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28101 | PA      | $25759.45      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAFW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16496 | PA      | $16251.68      | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391PNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1586 | PA      | $1633.28       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31232 | PA      | $31269.44      | 0.00%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201BNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        851 | PA      | $876.00        | 0.00%             | 2032-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBAX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7553 | PA      | $7139.78       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PXL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7367 | PA      | $7100.48       | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11154646 | PA      | $10308623.19   | 0.03%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8122 | PA      | $8321.03       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179BN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4243 | PA      | $4002.43       | 0.00%             | 2043-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131661 | PA      | $120700.02     | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SV36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4726285 | PA      | $4109103.59    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41918 | PA      | $41379.62      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHJN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3634427 | PA      | $3105577.69    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        671 | PA      | $678.27        | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E26C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236665 | PA      | $222369.78     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757629 | PA      | $705851.63     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65268438 | PA      | $54037988.83   | 0.14%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25531416 | PA      | $22948849.32   | 0.06%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHCQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     906882 | PA      | $879233.11     | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E14G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311455 | PA      | $299905.65     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1430255 | PA      | $1294583.41    | 0.00%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402N4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        647 | PA      | $645.98        | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKMG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     735126 | PA      | $740033.85     | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343891 | PA      | $366440.12     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WALT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1507555 | PA      | $1479447.74    | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8T66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     862429 | PA      | $834640.78     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XFG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1826055 | PA      | $1725667.82    | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7GL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     388690 | PA      | $387002.47     | 0.00%             | 2034-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307US33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254965 | PA      | $245204.75     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     552755 | PA      | $514995.80     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AJEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3491094 | PA      | $3007334.41    | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29455931 | PA      | $23198432.97   | 0.06%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CAP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2260938 | PA      | $2054228.61    | 0.01%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36188KK28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104681 | PA      | $98455.70      | 0.00%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18811 | PA      | $18575.79      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378AW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $116.15        | 0.00%             | 2027-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5465 | PA      | $5660.97       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBTT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310686 | PA      | $295816.14     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAEB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2538559 | PA      | $1995663.81    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     269106 | PA      | $262456.98     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295GQM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7451 | PA      | $7754.54       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8QG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6069352 | PA      | $5488809.46    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4L40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3934 | PA      | $3832.26       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405EPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24192 | PA      | $24414.14      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316882 | PA      | $293333.37     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AGJD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15207 | PA      | $14368.63      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3505 | PA      | $3543.50       | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414APL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2528 | PA      | $2588.80       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1320 | PA      | $1305.00       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2JY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7239 | PA      | $6840.17       | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263655 | PA      | $260299.41     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103051 | PA      | $97408.33      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31189 | PA      | $31397.59      | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G5H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.82         | 0.00%             | 2026-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUMA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88535 | PA      | $79956.98      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NBE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8285 | PA      | $8074.22       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1354641 | PA      | $1226323.29    | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     738887 | PA      | $685928.69     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DPC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26090144 | PA      | $20512102.02   | 0.05%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297PCE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1176 | PA      | $1207.31       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DT3R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4801488 | PA      | $4664992.88    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25715099 | PA      | $24963762.45   | 0.07%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17297 | PA      | $15134.77      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9JT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9787 | PA      | $9502.62       | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YAFD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188886 | PA      | $178542.27     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        530 | PA      | $542.70        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7433425 | PA      | $6544006.82    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XES3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $122.74        | 0.00%             | 2025-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934FS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23982 | PA      | $23713.74      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3PV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2634 | PA      | $2809.73       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A15B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1554 | PA      | $1536.70       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4N85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     611058 | PA      | $551975.99     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F3KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1382538 | PA      | $1295070.60    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AXX64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1875167 | PA      | $1547106.27    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y5H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281420 | PA      | $258221.73     | 0.00%             | 2054-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     905432 | PA      | $864931.44     | 0.00%             | 2030-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBBR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4734950 | PA      | $4321820.86    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQMG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5232832 | PA      | $4367501.60    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6A59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     650955 | PA      | $588841.91     | 0.00%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ADDK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32450 | PA      | $32810.94      | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SNQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4403 | PA      | $4502.50       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5GR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  105044118 | PA      | $107297324.90  | 0.28%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342593 | PA      | $299095.49     | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9027 | PA      | $9264.15       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     963975 | PA      | $951601.50     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293UAU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        546 | PA      | $549.95        | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415BN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $273.30        | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERTJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536735 | PA      | $526043.68     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2116722 | PA      | $1914379.46    | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HCY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $40.86         | 0.00%             | 2030-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EW39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19481 | PA      | $20091.76      | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KM4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3661139 | PA      | $3331462.33    | 0.01%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15780021 | PA      | $14271021.45   | 0.04%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     649984 | PA      | $599835.96     | 0.00%             | 2053-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9991 | PA      | $10241.45      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5475 | PA      | $4944.24       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16208 | PA      | $15937.13      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD3H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402082 | PA      | $355363.73     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48170 | PA      | $42330.89      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30411 | PA      | $31164.37      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16412 | PA      | $14863.06      | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEMT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1091730 | PA      | $1051519.99    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7159083 | PA      | $7017140.98    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23678583 | PA      | $23569396.99   | 0.06%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        964 | PA      | $951.30        | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7BW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12773 | PA      | $12027.10      | 0.00%             | 2032-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A6G8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1334301 | PA      | $1289917.76    | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YE6L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11184 | PA      | $10893.11      | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2M1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    9928803 | PA      | $8979458.93    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     734858 | PA      | $678210.69     | 0.00%             | 2037-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180MX69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14881 | PA      | $13617.25      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346929 | PA      | $339785.27     | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8236280 | PA      | $7831025.15    | 0.02%             | 2053-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9332467 | PA      | $8938154.67    | 0.02%             | 2037-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298442 | PA      | $284876.85     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5YL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5120 | PA      | $5054.23       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     536725 | PA      | $476430.43     | 0.00%             | 2044-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416HJJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13517 | PA      | $13606.77      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRCX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4833 | PA      | $4654.00       | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407M7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2400 | PA      | $2460.36       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390BPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        223 | PA      | $234.79        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     930743 | PA      | $912912.53     | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1UF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370438 | PA      | $325536.62     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9BX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3164 | PA      | $3081.38       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5974 | PA      | $6123.85       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AZP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         29 | PA      | $29.44         | 0.00%             | 2027-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1591849 | PA      | $1574021.41    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JRP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        295 | PA      | $310.03        | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SEU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $214.08        | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FBG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230671 | PA      | $219840.14     | 0.00%             | 2039-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52987 | PA      | $47628.88      | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8339926 | PA      | $8184330.38    | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QYG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10101375 | PA      | $9135408.40    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RBY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     321364 | PA      | $303350.13     | 0.00%             | 2045-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JQE48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3311 | PA      | $3253.04       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40125037 | PA      | $33130901.27   | 0.09%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1MF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166511 | PA      | $148884.00     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3AT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1521347 | PA      | $1417423.25    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263112 | PA      | $246457.10     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48073951 | PA      | $39615889.33   | 0.10%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LY6L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2540904 | PA      | $1998665.24    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.05         | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7JX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4839918 | PA      | $4035596.01    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XNP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        327 | PA      | $341.89        | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDDW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2305 | PA      | $2279.48       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9LV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1077396 | PA      | $1007909.83    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3512105 | PA      | $3109988.63    | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WPM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     381488 | PA      | $366158.70     | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     899207 | PA      | $867396.31     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6DE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287092 | PA      | $276270.24     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     660407 | PA      | $631975.55     | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BGEN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     350597 | PA      | $314485.52     | 0.00%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8V95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102037 | PA      | $100737.19     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AZG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2022 | PA      | $2065.91       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44579191 | PA      | $45616724.83   | 0.12%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294NFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2111 | PA      | $2217.99       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E8KU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5673 | PA      | $5591.23       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23939301 | PA      | $18626106.07   | 0.05%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211FLA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2082 | PA      | $2122.98       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BLHA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     780852 | PA      | $700424.06     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1197502 | PA      | $1093375.70    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938J38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32730 | PA      | $32362.16      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2716699 | PA      | $2242252.67    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WZA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4326 | PA      | $4510.23       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27781 | PA      | $27057.76      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83921 | PA      | $80464.73      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKEM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10536871 | PA      | $9062465.60    | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NXB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3828 | PA      | $3770.96       | 0.00%             | 2029-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FF7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49326 | PA      | $44685.60      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJQ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     718504 | PA      | $688146.12     | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QL23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        374 | PA      | $377.95        | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A36X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4453 | PA      | $4276.64       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8RQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1944898 | PA      | $1701732.63    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E44U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23328 | PA      | $21918.56      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UC30<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     681175 | PA      | $662882.26     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278424 | PA      | $279678.95     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6NS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     926355 | PA      | $885999.29     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138965 | PA      | $136986.14     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206VLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37 | PA      | $37.44         | 0.00%             | 2026-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPN75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11760 | PA      | $11708.67      | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9081228 | PA      | $7827602.98    | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LXN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9131 | PA      | $8714.45       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1865627 | PA      | $1641013.11    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19749930 | PA      | $16109666.33   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     228245 | PA      | $200748.93     | 0.00%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1686 | PA      | $1783.90       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LVR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     700465 | PA      | $547063.64     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823678 | PA      | $785475.44     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151788 | PA      | $137081.49     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4TM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41368 | PA      | $36992.33      | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200EBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7859 | PA      | $8068.25       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1UF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1149173 | PA      | $1102423.30    | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     991406 | PA      | $939999.29     | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374326 | PA      | $322911.04     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8DM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2906118 | PA      | $2448613.02    | 0.01%             | 2047-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36197F2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1237235 | PA      | $1119216.10    | 0.00%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFBC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1637094 | PA      | $1587291.96    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70743012 | PA      | $55646185.28   | 0.15%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSV33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35556859 | PA      | $33192565.94   | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124711 | PA      | $124491.60     | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179A3K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19149 | PA      | $17021.89      | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WB7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19001 | PA      | $17397.33      | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K64X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $160.98        | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3SR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57307 | PA      | $56034.43      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8754 | PA      | $8445.12       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413B6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1050 | PA      | $1095.08       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410QNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3260 | PA      | $3341.56       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KLAK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6114 | PA      | $6269.89       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176MFJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4907 | PA      | $4801.77       | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489855 | PA      | $445939.71     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25270 | PA      | $26005.90      | 0.00%             | 2044-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7U96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3231984 | PA      | $3011232.15    | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221013 | PA      | $214205.34     | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938R62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8662 | PA      | $8565.13       | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UST0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274602 | PA      | $247231.69     | 0.00%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8291715 | PA      | $8559827.86    | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210RW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $59.00         | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16067179 | PA      | $12623315.82   | 0.03%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12223 | PA      | $12069.97      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8H75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35139 | PA      | $30745.75      | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21413643 | PA      | $17002665.59   | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PT7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9209 | PA      | $9153.64       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304567 | PA      | $300893.73     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1219 | PA      | $1145.70       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XASF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9649280 | PA      | $7997936.89    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29199 | PA      | $28835.02      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7KY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2158 | PA      | $2302.29       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2BR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27840 | PA      | $27150.34      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649774 | PA      | $564923.18     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXA51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4116696 | PA      | $3943289.10    | 0.01%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LVR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146695 | PA      | $137850.62     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MBNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13935 | PA      | $12890.21      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15503 | PA      | $14889.18      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176W7G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12546 | PA      | $11501.90      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620APKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4618 | PA      | $4523.51       | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKQV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1203 | PA      | $1252.96       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        652 | PA      | $678.31        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404C6R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15885 | PA      | $16274.37      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBS82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1126266 | PA      | $1010655.42    | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294NSB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      88679 | PA      | $86857.55      | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     652735 | PA      | $621500.54     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1946 | PA      | $1993.28       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLAT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     835453 | PA      | $743673.97     | 0.00%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5ET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9913820 | PA      | $9355660.15    | 0.02%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HHLK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320891 | PA      | $309072.61     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBHU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1437362 | PA      | $1378887.59    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BTHE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5969030 | PA      | $6126748.54    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9103762 | PA      | $7425777.03    | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DP2E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40397408 | PA      | $40086877.93   | 0.10%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1125194 | PA      | $1050504.54    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASTV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2320675 | PA      | $1826063.17    | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPWZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1964950 | PA      | $1731149.14    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G77F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5452497 | PA      | $5075855.84    | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347336 | PA      | $314554.23     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36293556 | PA      | $32872451.41   | 0.09%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405SKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1190 | PA      | $1199.95       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180M2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27906 | PA      | $25570.86      | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMUS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1162517 | PA      | $1128201.65    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J8DU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1312772 | PA      | $1247812.37    | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        712 | PA      | $729.88        | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N7QA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4534398 | PA      | $4505329.74    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371J7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        384 | PA      | $401.46        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        601 | PA      | $650.09        | 0.00%             | 2036-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QXL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2758 | PA      | $2905.56       | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y3JQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     897225 | PA      | $803164.59     | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3615136 | PA      | $3301086.22    | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AN5F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9819198 | PA      | $8126611.40    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ATUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387428 | PA      | $395989.68     | 0.00%             | 2041-10-01      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSHA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12015438 | PA      | $11531176.00   | 0.03%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209RB28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        596 | PA      | $607.08        | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M2E5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      67324 | PA      | $64963.52      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GPR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10299 | PA      | $10252.22      | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2091 | PA      | $2165.83       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4Z33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6533611 | PA      | $6315656.18    | 0.02%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380Q5T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $61.57         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201DAB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        911 | PA      | $939.52        | 0.00%             | 2032-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     527994 | PA      | $496079.41     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y7CU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276794 | PA      | $268458.86     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4157 | PA      | $4175.56       | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6424 | PA      | $6699.35       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7738060 | PA      | $7620118.71    | 0.02%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140A9Z94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7154767 | PA      | $7236544.22    | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UWN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194034 | PA      | $174409.00     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177JUD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16884 | PA      | $15954.94      | 0.00%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5AR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4500153 | PA      | $3710062.47    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M62Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1829 | PA      | $1954.17       | 0.00%             | 2038-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6162524 | PA      | $5094072.95    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1AD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1017225 | PA      | $911104.91     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     660761 | PA      | $600326.78     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1DS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36671 | PA      | $32792.12      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHUR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3233 | PA      | $3165.13       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4363951 | PA      | $3947264.49    | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XYQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1910 | PA      | $1898.36       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5081 | PA      | $5325.82       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2782267 | PA      | $2600659.90    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213UUP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        228 | PA      | $234.02        | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AWW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      88686 | PA      | $83206.94      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     226183 | PA      | $218010.59     | 0.00%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449757 | PA      | $436209.43     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GN90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25328 | PA      | $25960.32      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25625 | PA      | $24273.04      | 0.00%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1561 | PA      | $1638.03       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5738 | PA      | $5903.83       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1594851 | PA      | $1602034.57    | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVEF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9749 | PA      | $8887.26       | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GSN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $40.41         | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141802 | PA      | $119100.99     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1782478 | PA      | $1807814.03    | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18383732 | PA      | $18904431.91   | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YR5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13427 | PA      | $11799.17      | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178XCG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500524 | PA      | $458011.72     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677254 | PA      | $605621.81     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BRM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27249 | PA      | $27473.54      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1499 | PA      | $1476.32       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GABL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     568800 | PA      | $541477.71     | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9633639 | PA      | $8615964.94    | 0.02%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGKU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2245 | PA      | $2231.09       | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386PRL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        276 | PA      | $277.90        | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9273887 | PA      | $8580222.65    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111028 | PA      | $100412.09     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2229278 | PA      | $2243841.71    | 0.01%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5029746 | PA      | $4690869.49    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2242341 | PA      | $1961986.81    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222756 | PA      | $219581.69     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YDJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4459368 | PA      | $4344861.00    | 0.01%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495892 | PA      | $477759.68     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PA51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22466 | PA      | $23042.87      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307000 | PA      | $298243.16     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1039718 | PA      | $987544.65     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BPG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5400131 | PA      | $4834997.82    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQAD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213958 | PA      | $195371.20     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7008891 | PA      | $7088340.73    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7WC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347097 | PA      | $334648.02     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22527 | PA      | $20821.93      | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QT3G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     608852 | PA      | $572634.76     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945CZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1430 | PA      | $1413.29       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EMG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70254 | PA      | $68081.91      | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3197639 | PA      | $3109173.57    | 0.01%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KUQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97990 | PA      | $94055.11      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287094 | PA      | $268777.31     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172191 | PA      | $155507.95     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411CJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        496 | PA      | $516.21        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGAD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     740214 | PA      | $647623.19     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414P7J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5033 | PA      | $5067.03       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E03B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5243608 | PA      | $4691784.85    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5736594 | PA      | $5439137.19    | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27820 | PA      | $27944.99      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383LMQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4412 | PA      | $4492.63       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391FKJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.48         | 0.00%             | 2032-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7AU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396011 | PA      | $348333.21     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DEB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71383 | PA      | $66778.12      | 0.00%             | 2034-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17406663 | PA      | $17912200.36   | 0.05%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M64L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        976 | PA      | $1019.18       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6RP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4403975 | PA      | $4102727.36    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6667481 | PA      | $5530065.81    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XEFH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5031 | PA      | $4962.53       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4755323 | PA      | $4396045.70    | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311760 | PA      | $278786.17     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8648 | PA      | $8129.04       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351337 | PA      | $345452.42     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28840919 | PA      | $23635935.79   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7UJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51627 | PA      | $48866.28      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GAN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4708 | PA      | $4909.16       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288CLY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21635 | PA      | $22303.98      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3725 | PA      | $3718.59       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GMW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.09          | 0.00%             | 2026-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMY90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11924642 | PA      | $9726718.54    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWJ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1629 | PA      | $1616.39       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11952401 | PA      | $10056628.20   | 0.03%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7GP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     313506 | PA      | $304155.50     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7385063 | PA      | $6998140.16    | 0.02%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9ZB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2648414 | PA      | $2574412.62    | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427343 | PA      | $385938.61     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5DD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1638 | PA      | $1681.29       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A55N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26937 | PA      | $27209.60      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1079778 | PA      | $936687.41     | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $218.86        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59665 | PA      | $53796.50      | 0.00%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     447202 | PA      | $431266.21     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YL2F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17343 | PA      | $15241.25      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10281 | PA      | $9630.51       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FE99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.41          | 0.00%             | 2026-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14475000 | PA      | $14862435.53   | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        263 | PA      | $269.00        | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     125871 | PA      | $121231.40     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $28.80         | 0.00%             | 2030-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VCP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21288 | PA      | $21840.23      | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BLGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200231 | PA      | $181131.02     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WGYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128573 | PA      | $112641.87     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184115 | PA      | $176188.98     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2728544 | PA      | $2727136.21    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7956037 | PA      | $7351148.60    | 0.02%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12978 | PA      | $13299.89      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALJP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17797082 | PA      | $14045293.84   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2716 | PA      | $2831.82       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15755 | PA      | $15492.61      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39575670 | PA      | $32359775.16   | 0.08%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414TQ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4297 | PA      | $4325.36       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8390 | PA      | $8066.75       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346277 | PA      | $302606.93     | 0.00%             | 2042-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVZF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     414978 | PA      | $384951.22     | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12834975 | PA      | $11766063.83   | 0.03%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000586 | PA      | $960934.44     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2659 | PA      | $2624.59       | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNJK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      23505 | PA      | $22570.28      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7NB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     524470 | PA      | $493138.12     | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405VCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6403 | PA      | $6563.56       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402EXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3386 | PA      | $3418.89       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JBH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18446 | PA      | $16516.18      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXRW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        267 | PA      | $269.72        | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5W78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372679 | PA      | $349866.45     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4388942 | PA      | $4056800.03    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $453.20        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DK58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90732 | PA      | $93952.94      | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     836010 | PA      | $747367.56     | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4595635 | PA      | $4046045.63    | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDRM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132756 | PA      | $130610.39     | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383EYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        293 | PA      | $297.12        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VB21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14865 | PA      | $14410.52      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6871737 | PA      | $5719401.70    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AL3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26363 | PA      | $25799.92      | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAW32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15397003 | PA      | $14364068.04   | 0.04%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NKG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $391.58        | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     542450 | PA      | $501032.64     | 0.00%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9T91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198373 | PA      | $198368.34     | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5203126 | PA      | $4182562.09    | 0.01%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     575838 | PA      | $506558.68     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4104309 | PA      | $4205179.93    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5KC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132603 | PA      | $127258.79     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BWNQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1736591 | PA      | $1724900.03    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        272 | PA      | $279.58        | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930RM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5420 | PA      | $5794.16       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182735 | PA      | $168906.10     | 0.00%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JL6K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1297715 | PA      | $1245420.62    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5800933 | PA      | $5650535.94    | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QE5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3505864 | PA      | $3200596.33    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1887794 | PA      | $1773763.90    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3641190 | PA      | $3479817.36    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200FNY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6475 | PA      | $6612.30       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9860 | PA      | $9602.42       | 0.00%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9HB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     447413 | PA      | $418196.69     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5911 | PA      | $5230.84       | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EN4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28244 | PA      | $27717.04      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        584 | PA      | $604.73        | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7BU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10475591 | PA      | $8718918.05    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNFY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65288 | PA      | $58455.57      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9RX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     981189 | PA      | $851775.30     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2626263 | PA      | $2297751.69    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13865 | PA      | $13704.80      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NTS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1162 | PA      | $1176.94       | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261946 | PA      | $249403.34     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70543 | PA      | $68358.03      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F2HJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6019 | PA      | $5451.12       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WV3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56478 | PA      | $50504.25      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     937190 | PA      | $910521.90     | 0.00%             | 2038-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3776 | PA      | $3870.03       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYEL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     523050 | PA      | $483806.98     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574304 | PA      | $611961.51     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JASE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6659 | PA      | $5962.87       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390TM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2959 | PA      | $3102.14       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4225 | PA      | $4197.38       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPRH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1043401 | PA      | $1031864.51    | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8TA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2778993 | PA      | $2196485.33    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2015541 | PA      | $1673086.71    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKLP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15027986 | PA      | $12274179.22   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3769326 | PA      | $3717004.44    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174693 | PA      | $167113.00     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FAW57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4041 | PA      | $3784.60       | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444477 | PA      | $391294.45     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247986 | PA      | $237992.89     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KFP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560142 | PA      | $509021.22     | 0.00%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19075400 | PA      | $19470061.48   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAYE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240892 | PA      | $233459.79     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXU90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260112 | PA      | $242816.06     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514646 | PA      | $500640.66     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11418 | PA      | $11081.83      | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335ALX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1453229 | PA      | $1436420.14    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207EKX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2349 | PA      | $2366.37       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95582 | PA      | $92253.33      | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405QLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8992 | PA      | $9313.95       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22968 | PA      | $22146.25      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAR30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73015 | PA      | $66726.21      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BHQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6956150 | PA      | $6576772.61    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1H33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379477 | PA      | $360710.96     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388PMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        263 | PA      | $269.80        | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4LX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179793 | PA      | $161986.99     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287RD89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1703 | PA      | $1787.67       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210KV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        244 | PA      | $247.36        | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6DC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1941774 | PA      | $1739201.77    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315729 | PA      | $276160.54     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489104 | PA      | $439499.16     | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9N38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1547395 | PA      | $1367602.28    | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HD76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $104.27        | 0.00%             | 2030-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7R52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382735 | PA      | $302325.49     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6QT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11583266 | PA      | $9759731.70    | 0.03%             | 2047-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WNZQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10536 | PA      | $10404.67      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41491 | PA      | $41656.89      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3478726 | PA      | $3043789.37    | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     919210 | PA      | $835990.05     | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2374968 | PA      | $2058276.71    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8JE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     880913 | PA      | $841597.29     | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5259699 | PA      | $5062298.39    | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8ZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23916 | PA      | $23551.88      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     824308 | PA      | $752204.62     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YN3W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534586 | PA      | $515198.84     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419B5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10043 | PA      | $9913.75       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474497 | PA      | $479134.92     | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253919 | PA      | $226285.95     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5835691 | PA      | $5272202.75    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WP85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99949 | PA      | $75844.58      | 0.00%             | 2051-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HP7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1201389 | PA      | $1108801.94    | 0.00%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235358 | PA      | $211883.03     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        724 | PA      | $759.29        | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $53.30         | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5K90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1327 | PA      | $1415.90       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235331 | PA      | $226429.60     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67941 | PA      | $59902.08      | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938FW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        935 | PA      | $942.02        | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382PCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $128.67        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1599259 | PA      | $1386077.30    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596033 | PA      | $572029.29     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7558923 | PA      | $6759429.99    | 0.02%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934HK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12496 | PA      | $12584.86      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G4U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $79.29         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129355F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5650 | PA      | $5430.76       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295DQC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9289 | PA      | $9637.71       | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUGZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73702 | PA      | $70622.13      | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402E2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $270.69        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QN5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73458 | PA      | $64719.32      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXG48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30305841 | PA      | $27426399.75   | 0.07%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AS3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3771 | PA      | $3633.72       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415P4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62597 | PA      | $64641.17      | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFCF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187659 | PA      | $176329.02     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407ADJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3522 | PA      | $3647.01       | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415QPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        722 | PA      | $740.33        | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   63326753 | PA      | $55996304.85   | 0.15%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292L4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11810 | PA      | $12388.44      | 0.00%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288FE59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3948 | PA      | $4069.17       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127141 | PA      | $124646.37     | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        738 | PA      | $777.40        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194RR44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231710 | PA      | $208703.12     | 0.00%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     891343 | PA      | $804982.18     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997776 | PA      | $984978.11     | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        196 | PA      | $200.84        | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4WW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18424 | PA      | $18893.35      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8WL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3833392 | PA      | $3029547.86    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195514 | PA      | $174835.28     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283152 | PA      | $275759.18     | 0.00%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXH25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3822 | PA      | $3775.40       | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25405 | PA      | $24883.03      | 0.00%             | 2028-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3331405 | PA      | $3144667.55    | 0.01%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23495188 | PA      | $18896943.54   | 0.05%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2427 | PA      | $2388.47       | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FTK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     435746 | PA      | $413186.80     | 0.00%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     446173 | PA      | $433323.79     | 0.00%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K22X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     751117 | PA      | $739869.65     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WKAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     897750 | PA      | $872928.25     | 0.00%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8H83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30501023 | PA      | $28214396.34   | 0.07%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     334674 | PA      | $317320.64     | 0.00%             | 2040-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQN93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85268 | PA      | $77006.35      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8618 | PA      | $7794.20       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11719 | PA      | $11558.38      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207FYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $7.73          | 0.00%             | 2026-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5AZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10653279 | PA      | $9762143.81    | 0.03%             | 2054-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212547 | PA      | $207079.16     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        511 | PA      | $513.90        | 0.00%             | 2037-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRTD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1799 | PA      | $1735.80       | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1589553 | PA      | $1481233.20    | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414TCL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        603 | PA      | $607.48        | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45293368 | PA      | $36404845.60   | 0.10%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5736024 | PA      | $5918510.62    | 0.02%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213798 | PA      | $187067.78     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQSH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32878 | PA      | $28966.61      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2626168 | PA      | $2086875.81    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5845 | PA      | $6026.40       | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6PY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14643665 | PA      | $13327701.96   | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1276426 | PA      | $1214739.49    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRHP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5320335 | PA      | $5051423.90    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XY7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8760 | PA      | $8533.16       | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36219RF55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        749 | PA      | $751.54        | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8MH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30584480 | PA      | $25367028.99   | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1702879 | PA      | $1600210.52    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2578412 | PA      | $2482130.21    | 0.01%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5084479 | PA      | $4029202.97    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PEJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8594 | PA      | $8689.01       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QBM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4081 | PA      | $4191.22       | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3700652 | PA      | $3489032.69    | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123082 | PA      | $119631.20     | 0.00%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86470 | PA      | $84410.49      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323866 | PA      | $291563.46     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11716 | PA      | $11069.79      | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279686 | PA      | $230911.05     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8WV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4798513 | PA      | $4222339.41    | 0.01%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128CUJL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4629 | PA      | $4618.91       | 0.00%             | 2025-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1158776 | PA      | $1124719.10    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HR89<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      13787 | PA      | $14100.15      | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXEF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     490114 | PA      | $457524.75     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WP3B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2038546 | PA      | $1884274.62    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5048637 | PA      | $4571458.93    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1251 | PA      | $1312.68       | 0.00%             | 2034-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0AC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22141609 | PA      | $22578143.92   | 0.06%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MJE68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2773740 | PA      | $2266288.64    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CYZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        746 | PA      | $770.64        | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405NTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        982 | PA      | $990.58        | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AGXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2903 | PA      | $2843.59       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     176533 | PA      | $170442.94     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L0Q83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27041112 | PA      | $24473403.59   | 0.06%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   59587076 | PA      | $51942732.46   | 0.14%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307S4P5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     301985 | PA      | $295935.13     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4491802 | PA      | $4030223.78    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F012668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22925000 | PA      | $16884469.51   | 0.04%             | 2054-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210B6C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2990 | PA      | $3018.30       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUB30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     545194 | PA      | $510712.19     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8RJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1686542 | PA      | $1635600.44    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1269386 | PA      | $1117954.76    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EVX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10728 | PA      | $10470.24      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDRR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7412507 | PA      | $6664278.62    | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116313 | PA      | $102214.41     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4868 | PA      | $5146.48       | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YN3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61817 | PA      | $59614.27      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5BH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350740 | PA      | $335618.26     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19402560 | PA      | $17060719.92   | 0.04%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180F2G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     644686 | PA      | $573079.33     | 0.00%             | 2043-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJP95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27218 | PA      | $26798.69      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SQB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18387 | PA      | $19181.54      | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4127272 | PA      | $3580752.49    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYG40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2108 | PA      | $2058.07       | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50242 | PA      | $48200.04      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKKN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7196294 | PA      | $6655658.32    | 0.02%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4L20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6728349 | PA      | $5743556.23    | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357127 | PA      | $333816.61     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4899155 | PA      | $4773355.19    | 0.01%             | 2053-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213MWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1548 | PA      | $1575.90       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32512 | PA      | $32057.68      | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296AK60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3312 | PA      | $3358.12       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419E2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10742 | PA      | $10316.30      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     738253 | PA      | $667262.92     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228688 | PA      | $236156.24     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2WS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16522 | PA      | $15936.72      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206F5Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        142 | PA      | $142.36        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379FPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.43          | 0.00%             | 2028-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4957 | PA      | $5168.52       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YMF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221947 | PA      | $199825.25     | 0.00%             | 2053-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  140884354 | PA      | $118193227.11  | 0.31%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411E2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1806 | PA      | $1851.34       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31090712 | PA      | $31971324.26   | 0.08%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C2A99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1717744 | PA      | $1627747.22    | 0.00%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4981591 | PA      | $4738153.67    | 0.01%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $92.70         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6795245 | PA      | $6762262.36    | 0.02%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4120 | PA      | $3979.17       | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1KG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     823038 | PA      | $717965.62     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUDH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2623058 | PA      | $2039380.82    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6ZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21259 | PA      | $20914.42      | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3654322 | PA      | $3782369.61    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MAHZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3867 | PA      | $3659.38       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BPY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1927396 | PA      | $1688577.68    | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21430768 | PA      | $22412451.40   | 0.06%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4N95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230808 | PA      | $226494.07     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385H7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        671 | PA      | $700.65        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20996945 | PA      | $19598680.54   | 0.05%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1248 | PA      | $1327.00       | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLQY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     517889 | PA      | $490260.07     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQN78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6861543 | PA      | $5902251.01    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43521959 | PA      | $39445085.85   | 0.10%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524509 | PA      | $489794.31     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QD32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162777 | PA      | $163984.64     | 0.00%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HHR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        489 | PA      | $498.41        | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A8RV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8015882 | PA      | $6942038.53    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406STV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2299 | PA      | $2356.42       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25939 | PA      | $26693.91      | 0.00%             | 2042-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14975 | PA      | $15112.07      | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      16090 | PA      | $15523.31      | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HBT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        496 | PA      | $503.37        | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403MUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3936 | PA      | $4064.48       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428534 | PA      | $389434.82     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YAH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1016 | PA      | $1041.95       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XKK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1111417 | PA      | $1050385.71    | 0.00%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298BJE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1621 | PA      | $1651.98       | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701601 | PA      | $675809.30     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414C3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $124.08        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36298 | PA      | $32461.65      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ELM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     848270 | PA      | $799762.21     | 0.00%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2JE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1345791 | PA      | $1228280.89    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQXX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12770657 | PA      | $12764069.39   | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4251532 | PA      | $3831888.57    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7FY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4313 | PA      | $4423.08       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4579 | PA      | $4327.90       | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1146239 | PA      | $1048135.11    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NWW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6017 | PA      | $6190.94       | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939R78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2755 | PA      | $2649.26       | 0.00%             | 2040-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25759 | PA      | $26382.84      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383SD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        352 | PA      | $359.21        | 0.00%             | 2029-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181AKM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9349 | PA      | $8554.39       | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4164145 | PA      | $3999360.52    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7TX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     290209 | PA      | $283039.30     | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GFUJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3434 | PA      | $3380.71       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2451 | PA      | $2468.26       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YTF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        762 | PA      | $759.05        | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        679 | PA      | $684.07        | 0.00%             | 2033-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10029537 | PA      | $7863461.92    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PXR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10970 | PA      | $11091.37      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122134 | PA      | $120395.29     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617KDG27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2821189 | PA      | $2617150.75    | 0.01%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQR88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1464 | PA      | $1473.59       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AYU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55883 | PA      | $51175.31      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9K95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8556610 | PA      | $7651563.83    | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2080858 | PA      | $1716770.03    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568460 | PA      | $531860.35     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4651 | PA      | $4590.99       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M2BC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126248 | PA      | $120490.74     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11556587 | PA      | $10464301.94   | 0.03%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TYZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2386 | PA      | $2445.23       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     712092 | PA      | $672259.03     | 0.00%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A8NL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8628 | PA      | $8706.40       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5662 | PA      | $5688.01       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     721493 | PA      | $657059.02     | 0.00%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2VB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57434 | PA      | $55339.77      | 0.00%             | 2046-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158243 | PA      | $150037.68     | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7UM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997915 | PA      | $957105.51     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280104 | PA      | $302813.29     | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2416475 | PA      | $2099704.46    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     511679 | PA      | $505826.55     | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12801578 | PA      | $10552230.68   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122021 | PA      | $119843.75     | 0.00%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404KXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1775 | PA      | $1837.81       | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VPFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170440 | PA      | $168083.10     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2SC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     254269 | PA      | $224715.76     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406NQS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        958 | PA      | $981.78        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AA4V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18257 | PA      | $17952.78      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295LTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21289 | PA      | $20989.90      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63095 | PA      | $65338.21      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K4Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2595 | PA      | $2687.44       | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8125055 | PA      | $8249272.26    | 0.02%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKX76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7640 | PA      | $7522.08       | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W7RV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1131900 | PA      | $1012074.22    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43982 | PA      | $40738.06      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210APZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $55.90         | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YU5U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     447847 | PA      | $431073.97     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1798398 | PA      | $1624155.12    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.40         | 0.00%             | 2026-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297NLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        649 | PA      | $665.60        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292GJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        907 | PA      | $933.62        | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290XJA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2721 | PA      | $2754.99       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JZT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2839 | PA      | $2907.25       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5748840 | PA      | $5308269.17    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SNA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1815 | PA      | $1856.89       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119316 | PA      | $124425.12     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8UE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2393434 | PA      | $2365718.18    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q3L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33425 | PA      | $32487.95      | 0.00%             | 2045-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81359 | PA      | $81070.45      | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B8CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     354314 | PA      | $290466.65     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290R2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3232 | PA      | $3272.11       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KR6L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12449535 | PA      | $12802155.22   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5QK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9710 | PA      | $9592.63       | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123328 | PA      | $122702.83     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6972 | PA      | $6810.28       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNL68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42999252 | PA      | $33586725.20   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1205218 | PA      | $1088446.51    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     915586 | PA      | $768666.36     | 0.00%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1518914 | PA      | $1371749.37    | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133077 | PA      | $124390.91     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1400 | PA      | $1459.86       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79794 | PA      | $71346.71      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDDB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      42985 | PA      | $41500.22      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2936 | PA      | $2866.90       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AFE23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2737115 | PA      | $2147105.14    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRTM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1335937 | PA      | $1297937.25    | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XN2T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396315 | PA      | $364779.68     | 0.00%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68360 | PA      | $70014.90      | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34724 | PA      | $33869.16      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KWFU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        702 | PA      | $733.27        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23018174 | PA      | $19057539.09   | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     332858 | PA      | $314559.23     | 0.00%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GUPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29513599 | PA      | $30049904.27   | 0.08%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4639 | PA      | $4076.73       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9KP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17243 | PA      | $16201.34      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QJV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1896 | PA      | $1964.37       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6800430 | PA      | $6259303.10    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRQM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93816 | PA      | $91085.24      | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220081 | PA      | $217385.11     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFDL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     278898 | PA      | $272667.84     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VAV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     552609 | PA      | $533191.56     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KVQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2896 | PA      | $2997.78       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61140 | PA      | $60189.51      | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $113.83        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DZ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1265 | PA      | $1294.92       | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LCR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     976507 | PA      | $981661.87     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406RDJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2611 | PA      | $2632.52       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8DW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349329 | PA      | $341357.01     | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15892286 | PA      | $15484803.82   | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQ6H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6947830 | PA      | $6928204.23    | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     795739 | PA      | $765874.74     | 0.00%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HE4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823653 | PA      | $760973.18     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5XU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295581 | PA      | $269359.46     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EEB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1728547 | PA      | $1629701.51    | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        460 | PA      | $472.21        | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6004274 | PA      | $5373230.96    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BXE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        884 | PA      | $924.39        | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3345184 | PA      | $3108346.23    | 0.01%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12054308 | PA      | $10964906.23   | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57470 | PA      | $56573.60      | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1066 | PA      | $1091.91       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1YS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     930336 | PA      | $871730.80     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416S6J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7245 | PA      | $7154.73       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VVV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        962 | PA      | $986.49        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6166 | PA      | $6393.86       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QWK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2658797 | PA      | $2454618.40    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1889812 | PA      | $1653533.33    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5983 | PA      | $5403.45       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5SM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118915 | PA      | $113805.96     | 0.00%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329P6A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     567097 | PA      | $544244.69     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     458066 | PA      | $432433.53     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ADT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31075 | PA      | $29826.93      | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8K93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1288669 | PA      | $1241664.03    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KCVK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1144 | PA      | $1191.97       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LY2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117068 | PA      | $115291.54     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65841 | PA      | $64805.26      | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762580 | PA      | $706891.03     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26115 | PA      | $25515.56      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSCE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19633 | PA      | $18469.92      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7CC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15986 | PA      | $15798.35      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330816 | PA      | $319022.93     | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     792406 | PA      | $739715.90     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $26.87         | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209CQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        593 | PA      | $604.08        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WLLC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37012 | PA      | $36527.98      | 0.00%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TGU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $139.03        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     478821 | PA      | $450811.04     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6098146 | PA      | $5072170.65    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214657 | PA      | $208050.47     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8103 | PA      | $7376.98       | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFWH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3987713 | PA      | $3812522.30    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRJH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4774 | PA      | $4823.85       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QPR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        217 | PA      | $222.64        | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.65         | 0.00%             | 2027-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8VG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25659 | PA      | $24674.08      | 0.00%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1602 | PA      | $1651.01       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407Y2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        564 | PA      | $578.02        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230UFZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1364832 | PA      | $1287543.06    | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134543 | PA      | $124412.57     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2291584 | PA      | $2095805.38    | 0.01%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAFA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3538794 | PA      | $3244453.60    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  175577555 | PA      | $147376344.24  | 0.39%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F022469<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   54741000 | PA      | $50528686.07   | 0.13%             | 2039-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58661 | PA      | $58924.84      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3941923 | PA      | $3800542.98    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8596 | PA      | $8473.94       | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23562179 | PA      | $20551696.76   | 0.05%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SWX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      10618 | PA      | $10719.33      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209W6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        128 | PA      | $128.47        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FYB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14605 | PA      | $15030.20      | 0.00%             | 2041-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405XC27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        991 | PA      | $1016.28       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2JB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2532 | PA      | $2472.34       | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MSR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57717 | PA      | $59114.62      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        562 | PA      | $575.31        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466372 | PA      | $470947.77     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1341249 | PA      | $1244974.58    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     899571 | PA      | $835691.72     | 0.00%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YFM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13584559 | PA      | $13792241.74   | 0.04%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391RL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        285 | PA      | $293.47        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BDFG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12153632 | PA      | $11170355.45   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     963660 | PA      | $866723.47     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19976 | PA      | $20454.77      | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKGD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4054398 | PA      | $3661575.69    | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297BBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        521 | PA      | $526.38        | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23357938 | PA      | $23239696.13   | 0.06%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8480470 | PA      | $8162191.35    | 0.02%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207ENB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2515 | PA      | $2625.42       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1496728 | PA      | $1121492.65    | 0.00%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6HK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     807501 | PA      | $774474.90     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2324865 | PA      | $1994796.65    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WGHT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     569230 | PA      | $498698.11     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430369 | PA      | $354892.32     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A53N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108776 | PA      | $104461.96     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17236806 | PA      | $15862570.75   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4H90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5417 | PA      | $5191.87       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     565940 | PA      | $558083.91     | 0.00%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385WZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $278.16        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207V2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        488 | PA      | $490.58        | 0.00%             | 2028-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     584245 | PA      | $575304.15     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1038417 | PA      | $927525.80     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        461 | PA      | $481.40        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y1RR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     342037 | PA      | $337845.85     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BKXM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     935845 | PA      | $873385.48     | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBUX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4430070 | PA      | $4131802.71    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     738396 | PA      | $668663.62     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3462765 | PA      | $3097175.78    | 0.01%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296TWK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        750 | PA      | $771.91        | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2368430 | PA      | $2144204.89    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KL7K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43555470 | PA      | $34349959.54   | 0.09%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FA6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670420 | PA      | $607218.20     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2051 | PA      | $1976.46       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56738 | PA      | $51382.78      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3136 | PA      | $3219.13       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFBL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2445547 | PA      | $2156358.82    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4636670 | PA      | $4386808.07    | 0.01%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUGU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871768 | PA      | $793572.80     | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294NVW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1320459 | PA      | $1292326.37    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1111377 | PA      | $1097111.79    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $112.18        | 0.00%             | 2029-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307B6T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90266 | PA      | $88637.89      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WPG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5169 | PA      | $4963.81       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176SNE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6547 | PA      | $6185.24       | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   79976425 | PA      | $77611077.78   | 0.20%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939QU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251945 | PA      | $253402.10     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     297379 | PA      | $269344.86     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        812 | PA      | $832.59        | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9HE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19840403 | PA      | $15577013.35   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36150522 | PA      | $29570343.16   | 0.08%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15451939 | PA      | $15671755.17   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   96826702 | PA      | $77812306.46   | 0.20%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9396320 | PA      | $8399399.02    | 0.02%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YQB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8319 | PA      | $7310.30       | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390PGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        510 | PA      | $536.94        | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1693700 | PA      | $1700453.27    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4647785 | PA      | $4289507.61    | 0.01%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571503 | PA      | $557850.21     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67521 | PA      | $62908.17      | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QQD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        520 | PA      | $535.84        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCSK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     855818 | PA      | $746560.65     | 0.00%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8801 | PA      | $8451.51       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HHKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1106281 | PA      | $1032277.05    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XREB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20751145 | PA      | $16258518.70   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQTK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18074426 | PA      | $14904193.04   | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NH92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2213559 | PA      | $1989651.74    | 0.01%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MWL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3054 | PA      | $2972.93       | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HF3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492942 | PA      | $469349.90     | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6ND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7243 | PA      | $6846.82       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689631 | PA      | $640611.88     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938M26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6297 | PA      | $6226.15       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3919358 | PA      | $3807894.00    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        948 | PA      | $970.65        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4176160 | PA      | $3992368.97    | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2520243 | PA      | $2270649.17    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XU5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350378 | PA      | $325335.48     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLQ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12007496 | PA      | $10858986.29   | 0.03%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHT21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8178555 | PA      | $7826456.26    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133W9FU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6160455 | PA      | $6230867.80    | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4675 | PA      | $4796.58       | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1935 | PA      | $2062.82       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDFR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13874 | PA      | $13188.79      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6356 | PA      | $6124.60       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11729137 | PA      | $10365880.44   | 0.03%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29100796 | PA      | $24179238.03   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAQW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127273 | PA      | $110916.51     | 0.00%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414K6M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2756 | PA      | $2822.60       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139419 | PA      | $135576.77     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KVA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1384 | PA      | $1459.21       | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1248474 | PA      | $1200982.04    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298PC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        202 | PA      | $203.02        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QDY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     345074 | PA      | $315398.87     | 0.00%             | 2044-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6NS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42389 | PA      | $43493.78      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HCJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1279 | PA      | $1292.82       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y6DT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27290389 | PA      | $28036528.94   | 0.07%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9JH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8732831 | PA      | $7276157.19    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        361 | PA      | $368.78        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGPQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196820 | PA      | $191504.36     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8HK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191189 | PA      | $172942.47     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257455 | PA      | $259980.50     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLUA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6309527 | PA      | $5841319.46    | 0.02%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     264798 | PA      | $259389.98     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40658 | PA      | $41664.57      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L66Z9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     441157 | PA      | $428143.32     | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288D4Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2444 | PA      | $2566.32       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNMS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4169988 | PA      | $3409667.80    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     896650 | PA      | $866379.33     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203608 | PA      | $197669.44     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAZD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2633441 | PA      | $2549211.09    | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NF60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     782661 | PA      | $703493.23     | 0.00%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMZG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6911870 | PA      | $5696081.07    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DS4M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5525716 | PA      | $5132948.72    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1075 | PA      | $1169.87       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS                           | BlackRock Cash Funds: Treasury, SL Agency Shares | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        | 1731058979 | NS      | $1731751402.73 | 4.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVV31<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      53303 | PA      | $52878.50      | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1074262 | PA      | $931679.12     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9V85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81847 | PA      | $78929.59      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPMN4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     410782 | PA      | $359295.87     | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8JV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25371645 | PA      | $20863617.67   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHX36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5063660 | PA      | $4452488.91    | 0.01%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632764 | PA      | $565837.76     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1860472 | PA      | $1675777.43    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22375038 | PA      | $17468858.00   | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1050869 | PA      | $963180.95     | 0.00%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A4Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4731 | PA      | $4699.60       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208UD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        530 | PA      | $533.02        | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        892 | PA      | $915.15        | 0.00%             | 2038-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1085737 | PA      | $988348.63     | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932JW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $451.42        | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407Y3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        614 | PA      | $629.91        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41643 | PA      | $36153.32      | 0.00%             | 2043-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUBF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     564065 | PA      | $523749.72     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GPV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.58         | 0.00%             | 2026-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5DK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1231460 | PA      | $1172686.23    | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10821051 | PA      | $9986902.46    | 0.03%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ARZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49715 | PA      | $48885.39      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     569956 | PA      | $503137.41     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        408 | PA      | $434.83        | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1263 | PA      | $1273.51       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1321 | PA      | $1268.89       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9360571 | PA      | $7309004.05    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VSZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12440 | PA      | $12739.72      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946BL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7786 | PA      | $7208.89       | 0.00%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F07H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10259 | PA      | $9609.50       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.43         | 0.00%             | 2025-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HK5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324663 | PA      | $312705.26     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21952717 | PA      | $22820726.41   | 0.06%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19923710 | PA      | $19292461.70   | 0.05%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25268808 | PA      | $22027107.87   | 0.06%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386700 | PA      | $331706.74     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427M3T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4052795 | PA      | $4169714.85    | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1272207 | PA      | $1303380.10    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGVA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535616 | PA      | $471923.01     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410BFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23882 | PA      | $24053.72      | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287PCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $141.38        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTVP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444686 | PA      | $418003.03     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9843384 | PA      | $9280496.74    | 0.02%             | 2038-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3319033 | PA      | $3016491.29    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407EHX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2664 | PA      | $2686.17       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6YJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     605124 | PA      | $610253.60     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44579 | PA      | $43261.46      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411DS67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $406.17        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2204789 | PA      | $2116110.50    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34392 | PA      | $34844.23      | 0.00%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2WF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15749 | PA      | $15517.98      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1065 | PA      | $1022.17       | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177812 | PA      | $166777.85     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9UB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7939854 | PA      | $7344611.78    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M9WQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135518 | PA      | $121184.14     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6231 | PA      | $6138.91       | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJBS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     350667 | PA      | $345270.75     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31464 | PA      | $26493.19      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206JCT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         71 | PA      | $70.85         | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8676771 | PA      | $6809915.23    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     716841 | PA      | $663222.60     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNVA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8123205 | PA      | $7205464.70    | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391SS84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2094 | PA      | $2138.95       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314163 | PA      | $301546.08     | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27276425 | PA      | $22602946.51   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4992446 | PA      | $4561086.56    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15847374 | PA      | $12997429.65   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13216 | PA      | $11968.47      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCAB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315018 | PA      | $305154.28     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4920732 | PA      | $4706616.54    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJY61<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5965718 | PA      | $5226522.02    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10335562 | PA      | $8307685.55    | 0.02%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6XU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10028 | PA      | $10292.86      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53746 | PA      | $46132.12      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XC2M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193653 | PA      | $189321.10     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7481 | PA      | $7102.95       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQ3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15451 | PA      | $13910.06      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6VE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2386567 | PA      | $2060980.06    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29899 | PA      | $29538.31      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K22V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242743 | PA      | $239103.41     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8Z72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100184 | PA      | $100716.14     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     797378 | PA      | $761513.88     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1210492 | PA      | $1086570.17    | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407LAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2058 | PA      | $2137.18       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26808 | PA      | $26915.82      | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695793 | PA      | $612295.78     | 0.00%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8CE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6736 | PA      | $6810.74       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3777 | PA      | $3793.94       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178C3S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63938 | PA      | $58269.09      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0QC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182954 | PA      | $177081.72     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVJT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1234794 | PA      | $1128141.59    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2S31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     919868 | PA      | $861600.72     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2743290 | PA      | $2553656.40    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8ZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2409232 | PA      | $2237983.60    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225448 | PA      | $199244.96     | 0.00%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K4AB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        745 | PA      | $764.04        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1LE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12673787 | PA      | $11532298.99   | 0.03%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17326 | PA      | $16965.30      | 0.00%             | 2027-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583305 | PA      | $521608.19     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVDE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        623 | PA      | $619.63        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMDU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6142831 | PA      | $5609198.40    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM2X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19911128 | PA      | $15711440.23   | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253671 | PA      | $1122884.57    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295H5B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1017 | PA      | $1075.05       | 0.00%             | 2037-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KEMP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20983 | PA      | $22323.21      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7906861 | PA      | $8062749.68    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2662 | PA      | $2543.68       | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KEVP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $136.58        | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7105948 | PA      | $6262812.33    | 0.02%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNEF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18690 | PA      | $18477.29      | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FKR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5530 | PA      | $5463.28       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115438 | PA      | $117769.52     | 0.00%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177NXQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21403 | PA      | $19599.78      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77743061 | PA      | $60780715.53   | 0.16%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PNA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4250901 | PA      | $4079601.29    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6M89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6819 | PA      | $6158.44       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFSQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     569547 | PA      | $545452.23     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67052 | PA      | $62812.75      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2109 | PA      | $2078.28       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12674 | PA      | $12425.04      | 0.00%             | 2027-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7B75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14678262 | PA      | $14888730.62   | 0.04%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75816 | PA      | $75320.79      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5263 | PA      | $5201.67       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     703085 | PA      | $720312.28     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BKX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        307 | PA      | $316.04        | 0.00%             | 2029-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAD84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5541972 | PA      | $4531495.19    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C3D78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3694090 | PA      | $3588104.26    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $101.86        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1264392 | PA      | $1264793.64    | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20152 | PA      | $20426.63      | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405NC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        411 | PA      | $425.51        | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57028 | PA      | $52243.62      | 0.00%             | 2041-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1326323 | PA      | $1215650.83    | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9PP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6778086 | PA      | $5388862.60    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9SS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     957474 | PA      | $886240.28     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPK40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6853190 | PA      | $6224276.24    | 0.02%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3705778 | PA      | $3357320.57    | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TMA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156208 | PA      | $154259.56     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4013456 | PA      | $3368505.86    | 0.01%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5R88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26986861 | PA      | $23560453.83   | 0.06%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13505337 | PA      | $13465969.65   | 0.04%             | 2053-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410886 | PA      | $359514.09     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20060671 | PA      | $15687241.45   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7AZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1267 | PA      | $1322.82       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     749509 | PA      | $703385.75     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288BMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $165.98        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1675132 | PA      | $1567723.76    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1009 | PA      | $1052.53       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     788785 | PA      | $747170.85     | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCQV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $69.48         | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36189MTT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37650 | PA      | $35063.45      | 0.00%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G82G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     525805 | PA      | $500628.46     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     304566 | PA      | $286187.14     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9AV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729165 | PA      | $717676.04     | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386TRA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        415 | PA      | $433.00        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW6X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4192819 | PA      | $3893162.47    | 0.01%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1PZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208889 | PA      | $200785.91     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     282354 | PA      | $268418.15     | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y73G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1105972 | PA      | $1061397.34    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4M71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     782615 | PA      | $675827.36     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LREL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     448954 | PA      | $409195.28     | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVV44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277858 | PA      | $252506.50     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61003 | PA      | $54832.74      | 0.00%             | 2044-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210EYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        970 | PA      | $978.52        | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51346 | PA      | $49906.25      | 0.00%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NCH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1315 | PA      | $1322.52       | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTFX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4525264 | PA      | $4224363.98    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2710496 | PA      | $2452540.68    | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410PPP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1044 | PA      | $1110.23       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E2MD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346264 | PA      | $341539.43     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412E3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5433 | PA      | $5912.10       | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JN2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103640 | PA      | $96848.83      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FAKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     783159 | PA      | $671784.88     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CCK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1835 | PA      | $1913.84       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H3M5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8537 | PA      | $8756.80       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHC37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36132754 | PA      | $29818253.50   | 0.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J9GM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     661667 | PA      | $592440.31     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27967549 | PA      | $22489694.49   | 0.06%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1261413 | PA      | $1207107.51    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307ENJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21707 | PA      | $21147.59      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNE89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1513702 | PA      | $1448748.85    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNCZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3615 | PA      | $3236.72       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KV3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     966419 | PA      | $751373.86     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411XD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2212 | PA      | $2403.68       | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        489 | PA      | $495.84        | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q82U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1254013 | PA      | $1130236.41    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17850 | PA      | $15572.52      | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201TS99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4159 | PA      | $4275.05       | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YRU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37163 | PA      | $38076.48      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HRFK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     801355 | PA      | $742257.51     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4731 | PA      | $4514.94       | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572444 | PA      | $558536.40     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y7TD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322810 | PA      | $300758.59     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLV62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1026547 | PA      | $929772.19     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3F56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194116 | PA      | $191518.64     | 0.00%             | 2028-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208LZK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        492 | PA      | $495.06        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X74P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4742250 | PA      | $4382819.19    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TG78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        376 | PA      | $385.43        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBJW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316702 | PA      | $303067.03     | 0.00%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L7RW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5105018 | PA      | $4625833.88    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M3QJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7609 | PA      | $7454.82       | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJPV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6368 | PA      | $6269.97       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406GQV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4419 | PA      | $4455.43       | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3556229 | PA      | $3356889.23    | 0.01%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449762 | PA      | $402222.04     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380UTP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $168.18        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291Q4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        780 | PA      | $798.48        | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A35L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1186018 | PA      | $1070548.86    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BJLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9954637 | PA      | $9417425.55    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3918 | PA      | $3864.94       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQDR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9663739 | PA      | $9687458.74    | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4YN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        571 | PA      | $607.72        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXSQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481817 | PA      | $459398.44     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414JBX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11562 | PA      | $11841.40      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3006759 | PA      | $2877913.26    | 0.01%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BFB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13103 | PA      | $12744.15      | 0.00%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NHQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      79602 | PA      | $76604.57      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296CT83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41035 | PA      | $41473.01      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QKD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1194 | PA      | $1206.36       | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     715166 | PA      | $684377.32     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTAQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     153456 | PA      | $148880.36     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382190 | PA      | $357115.83     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        352 | PA      | $367.58        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWFJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350001 | PA      | $329316.00     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        478 | PA      | $509.74        | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0AQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195528 | PA      | $177377.67     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8ZC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2330172 | PA      | $2226909.85    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L4SK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7023 | PA      | $7333.10       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132042 | PA      | $127086.33     | 0.00%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G72X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     489276 | PA      | $473069.42     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5412 | PA      | $5469.30       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2217 | PA      | $2031.76       | 0.00%             | 2044-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFH86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658933 | PA      | $634933.93     | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J57C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208177 | PA      | $203858.77     | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QL31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3921 | PA      | $3962.81       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388953 | PA      | $388269.87     | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LNY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18446 | PA      | $18569.39      | 0.00%             | 2043-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5804361 | PA      | $5078656.36    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45017 | PA      | $43231.66      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11355099 | PA      | $9935399.47    | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22919 | PA      | $22632.98      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1598 | PA      | $1637.28       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140A1TH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8900932 | PA      | $8840040.60    | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10774763 | PA      | $8928640.73    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2WY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4897 | PA      | $4702.91       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12493398 | PA      | $12456105.78   | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414RWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $245.46        | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404WZA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        477 | PA      | $488.72        | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297ANS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $267.51        | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617QG2H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9377340 | PA      | $7825995.37    | 0.02%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129355P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5354 | PA      | $5293.64       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261077 | PA      | $243747.25     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TTG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     330706 | PA      | $322970.61     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312927ET9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1849 | PA      | $1930.37       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301092 | PA      | $293257.00     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXMK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     256805 | PA      | $263558.82     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390828 | PA      | $375929.03     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371K2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14326 | PA      | $14677.37      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178MSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44762 | PA      | $40992.85      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1315285 | PA      | $1197386.43    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J4ND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1741060 | PA      | $1691202.36    | 0.00%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389TQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        510 | PA      | $534.59        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176UZR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34670 | PA      | $31750.62      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWA96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564377 | PA      | $541815.53     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KEV93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12598 | PA      | $12317.05      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74032 | PA      | $68454.11      | 0.00%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288G3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5768 | PA      | $5917.03       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4VS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     794436 | PA      | $714828.89     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BHHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3583508 | PA      | $3391690.36    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413LLL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        524 | PA      | $546.60        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17498 | PA      | $17279.85      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ECFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16032 | PA      | $15807.77      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16775782 | PA      | $13092799.44   | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JM64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10162 | PA      | $10034.68      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3701 | PA      | $3604.69       | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AXVQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     894977 | PA      | $732871.00     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        539 | PA      | $584.61        | 0.00%             | 2036-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNVA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     539217 | PA      | $529890.20     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412L7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4230 | PA      | $4332.84       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8FH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4026994 | PA      | $3720539.57    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNX65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1600387 | PA      | $1316352.68    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4501 | PA      | $4614.12       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2127533 | PA      | $2113778.52    | 0.01%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MP89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        818 | PA      | $848.44        | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411XZL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        952 | PA      | $974.99        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11564378 | PA      | $10329437.59   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA3E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6155612 | PA      | $6228268.03    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRS97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12181444 | PA      | $12327784.45   | 0.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AKN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35476 | PA      | $35024.14      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFRM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2448118 | PA      | $2185792.17    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25433 | PA      | $23986.55      | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QANN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94096 | PA      | $90303.94      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4267500 | PA      | $4037530.14    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JA6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7060 | PA      | $6318.71       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2520 | PA      | $2428.54       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295CKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     516190 | PA      | $458898.91     | 0.00%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JQH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     590102 | PA      | $514805.26     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6034245 | PA      | $5465905.79    | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293HVN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1097 | PA      | $1103.57       | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117537 | PA      | $106436.89     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9GA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3847557 | PA      | $3561276.89    | 0.01%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38941 | PA      | $39169.12      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22710 | PA      | $21158.36      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413YRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10484 | PA      | $11171.23      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390TY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1017 | PA      | $1066.33       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7BK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     197569 | PA      | $202777.42     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1543339 | PA      | $1487180.18    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1649111 | PA      | $1413449.85    | 0.00%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1683 | PA      | $1743.32       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q86N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578429 | PA      | $557165.15     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDHL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3878719 | PA      | $3693002.16    | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HV87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      79472 | PA      | $77392.41      | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371F7C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.55         | 0.00%             | 2027-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E3CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     760680 | PA      | $737760.44     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196946 | PA      | $186750.01     | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936LL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32942 | PA      | $32571.64      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     824464 | PA      | $687367.64     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2585 | PA      | $2669.08       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41276 | PA      | $42310.82      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30846 | PA      | $31619.64      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17574 | PA      | $17354.66      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13818969 | PA      | $12220113.35   | 0.03%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     562534 | PA      | $494994.50     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7866 | PA      | $8112.02       | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SA67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249319 | PA      | $224451.82     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48214 | PA      | $49381.47      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413QX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3493 | PA      | $3642.13       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1259412 | PA      | $1194208.86    | 0.00%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WNWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12382 | PA      | $12227.80      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APVV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     459172 | PA      | $361720.53     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118244 | PA      | $113761.79     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297Y3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        329 | PA      | $338.83        | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297581 | PA      | $288918.87     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UQJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51688 | PA      | $47334.84      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L5XT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2151785 | PA      | $1958067.91    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5262074 | PA      | $4902619.98    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3256 | PA      | $3469.17       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QU7J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55187258 | PA      | $54903849.31   | 0.14%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4397465 | PA      | $3977000.99    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944AF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82632 | PA      | $79460.36      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9RJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     527690 | PA      | $514246.52     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6N88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3876786 | PA      | $3619005.74    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SQQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2749057 | PA      | $2626377.70    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13980857 | PA      | $12205766.85   | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     931744 | PA      | $867189.63     | 0.00%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AHQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6542483 | PA      | $6516102.46    | 0.02%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620520 | PA      | $597115.81     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44575 | PA      | $44018.42      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GTLB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126483 | PA      | $120853.51     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        254 | PA      | $276.50        | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4203113 | PA      | $3860241.04    | 0.01%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHL62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6941177 | PA      | $6811902.02    | 0.02%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HNH44<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     732801 | PA      | $678759.16     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291UBB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3081 | PA      | $3171.55       | 0.00%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  158620428 | PA      | $127485945.84  | 0.33%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WUR54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34899 | PA      | $34014.51      | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVAK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   66515968 | PA      | $67725392.32   | 0.18%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92665 | PA      | $83804.96      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1410994 | PA      | $1316438.83    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GNE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        103 | PA      | $102.77        | 0.00%             | 2026-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202C5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        154 | PA      | $157.36        | 0.00%             | 2028-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403056 | PA      | $389735.61     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWN29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76084 | PA      | $73094.26      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N4UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3022352 | PA      | $3026447.31    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207KLV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1465 | PA      | $1506.55       | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2472303 | PA      | $2247394.80    | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409FSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        800 | PA      | $849.49        | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NMV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        815 | PA      | $835.69        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N8VH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8681879 | PA      | $8630482.25    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KWV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1095 | PA      | $1104.09       | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNFQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     698945 | PA      | $607365.76     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76400 | PA      | $73673.75      | 0.00%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7JT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     125951 | PA      | $122822.07     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NBD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6501 | PA      | $6869.43       | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1821414 | PA      | $1704626.74    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        790 | PA      | $818.60        | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJS37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9939 | PA      | $9193.89       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26785 | PA      | $25763.54      | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTCP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35444046 | PA      | $36756818.61   | 0.10%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AB6Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200184 | PA      | $196844.27     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MEPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1495388 | PA      | $1236497.84    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5NT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     543811 | PA      | $507651.49     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38601 | PA      | $37165.65      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388SA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        409 | PA      | $417.66        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5B65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15851 | PA      | $15527.25      | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3C22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     348844 | PA      | $323388.11     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UAZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     259649 | PA      | $253181.72     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TWX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8468 | PA      | $8859.60       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5ED8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5909 | PA      | $6060.06       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASFW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2055 | PA      | $2044.88       | 0.00%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALWD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25169 | PA      | $25955.87      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JYBY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     445507 | PA      | $400552.55     | 0.00%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QD5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18504041 | PA      | $16865899.71   | 0.04%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178W7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     512169 | PA      | $469305.56     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X63A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245378 | PA      | $237322.18     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201C4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        152 | PA      | $154.84        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9EM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3981339 | PA      | $3682877.04    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1074155 | PA      | $1048074.58    | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5YE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1765574 | PA      | $1699777.81    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8628115 | PA      | $8013646.91    | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPT57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12646743 | PA      | $11622684.36   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768728 | PA      | $675008.14     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2345 | PA      | $2316.11       | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTW72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49104 | PA      | $47367.06      | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV80<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      81219 | PA      | $68457.91      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294NVQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2845 | PA      | $2782.82       | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $370.42        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138APR59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2223 | PA      | $2186.21       | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G84R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3809552 | PA      | $3541971.50    | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     857898 | PA      | $806115.47     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGZ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18264 | PA      | $17701.33      | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AQL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2685683 | PA      | $2804163.48    | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8E84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318763 | PA      | $290929.76     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        884 | PA      | $907.05        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205DCC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $10.58         | 0.00%             | 2025-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     555085 | PA      | $524714.26     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382T7J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $469.83        | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J2SY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     211696 | PA      | $202296.83     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNPA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367469 | PA      | $343389.23     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3886 | PA      | $3983.45       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2452724 | PA      | $2463779.96    | 0.01%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9ZL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2200542 | PA      | $1907109.94    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296YCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8827 | PA      | $8661.26       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193076 | PA      | $180237.64     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72685 | PA      | $69834.42      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934XE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      52616 | PA      | $52995.19      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3810 | PA      | $3934.03       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202C3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $41.68         | 0.00%             | 2028-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13718796 | PA      | $12806866.74   | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA6L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     758691 | PA      | $703947.65     | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5SJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32861 | PA      | $31064.29      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWV22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111739 | PA      | $94186.26      | 0.00%             | 2046-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q95N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5701838 | PA      | $5629288.15    | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KYB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5795 | PA      | $5936.67       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297CQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9021 | PA      | $8867.36       | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293687 | PA      | $265969.05     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450112 | PA      | $430311.79     | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6014890 | PA      | $5415375.04    | 0.01%             | 2054-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6P99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9010870 | PA      | $7086824.91    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLJ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59085371 | PA      | $48458726.79   | 0.13%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223003 | PA      | $217476.43     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28676114 | PA      | $28497298.99   | 0.07%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7273317 | PA      | $5988732.72    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJL65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1454 | PA      | $1464.92       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290WGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4023 | PA      | $4110.54       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10240630 | PA      | $9856291.61    | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NYGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413031 | PA      | $371370.39     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419FMB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13101 | PA      | $12113.94      | 0.00%             | 2040-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWVZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32237 | PA      | $31882.17      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6HX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32893574 | PA      | $31854111.93   | 0.08%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XFP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     501612 | PA      | $481719.36     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14468 | PA      | $15121.82      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HA49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2767 | PA      | $2885.39       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $227.84        | 0.00%             | 2029-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36182QRA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156197 | PA      | $143111.27     | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416ATD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3019 | PA      | $3093.09       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXBV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6678924 | PA      | $5549377.42    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2286019 | PA      | $2193898.70    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $236.72        | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5068989 | PA      | $4776493.89    | 0.01%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419CQT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54047 | PA      | $53371.65      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GCX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27270 | PA      | $26812.80      | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183BCF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7951 | PA      | $7234.36       | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQZH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1530185 | PA      | $1377521.15    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26367 | PA      | $26561.24      | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5561268 | PA      | $5396790.25    | 0.01%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390UW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $132.80        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185003 | PA      | $172927.16     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3661756 | PA      | $3747057.76    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2FH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350813 | PA      | $346734.13     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2193961 | PA      | $1726356.53    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9UR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1645373 | PA      | $1667001.28    | 0.00%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358828 | PA      | $333584.62     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1798149 | PA      | $1770741.62    | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8PN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24527 | PA      | $25170.89      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1587629 | PA      | $1331921.80    | 0.00%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7LS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102567 | PA      | $97236.66      | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2WW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31492 | PA      | $30242.72      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     351917 | PA      | $354216.08     | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KAR73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     808875 | PA      | $773791.72     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44382 | PA      | $43641.15      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBLC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1474037 | PA      | $1161869.55    | 0.00%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LREH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3135662 | PA      | $2847728.72    | 0.01%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7EM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3956 | PA      | $3987.11       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71145 | PA      | $69293.14      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        222 | PA      | $224.27        | 0.00%             | 2038-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1157958 | PA      | $1056669.64    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293SD89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $174.90        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24868 | PA      | $24278.55      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298QCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        149 | PA      | $153.43        | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5173874 | PA      | $4277219.06    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KN3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378960 | PA      | $353332.36     | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ET25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     658151 | PA      | $678777.22     | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     883277 | PA      | $806617.32     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416ALB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1399 | PA      | $1433.54       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1109 | PA      | $1104.55       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203NDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38 | PA      | $38.19         | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHPD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13072648 | PA      | $11385039.74   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8425159 | PA      | $7371782.33    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNK43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      62694 | PA      | $60200.39      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     299028 | PA      | $270806.10     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARHN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90271 | PA      | $85159.49      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406WCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        819 | PA      | $851.20        | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     435707 | PA      | $384045.64     | 0.00%             | 2049-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GMAK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4089 | PA      | $4025.67       | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4062 | PA      | $3909.23       | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7E52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386633 | PA      | $363442.27     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1591586 | PA      | $1485937.26    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JUT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1819 | PA      | $1852.49       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C04Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     648182 | PA      | $634943.97     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297HXT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24419 | PA      | $24695.94      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  118370749 | PA      | $92278128.75   | 0.24%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1EV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5091 | PA      | $4958.42       | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB3R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20467737 | PA      | $16865480.61   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A56D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6999 | PA      | $6889.42       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6868042 | PA      | $5932529.21    | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22966 | PA      | $23134.16      | 0.00%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6059728 | PA      | $5799717.53    | 0.02%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     459916 | PA      | $456943.16     | 0.00%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128LLDM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11372 | PA      | $11550.75      | 0.00%             | 2042-01-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQ4K5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1312120 | PA      | $1181247.57    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JBZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        689 | PA      | $720.24        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDT38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        146 | PA      | $149.38        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238963 | PA      | $206194.74     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ANPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23371555 | PA      | $23690300.53   | 0.06%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M4SN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36536 | PA      | $34728.09      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19917 | PA      | $20416.71      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401636 | PA      | $391300.69     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5823 | PA      | $5880.32       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295K4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2466 | PA      | $2611.13       | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M5GB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     976348 | PA      | $762699.40     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379R6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $390.19        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0CG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50415 | PA      | $48973.46      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418A2K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82031 | PA      | $79864.19      | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419A4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8319 | PA      | $7692.08       | 0.00%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9N33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27784 | PA      | $26666.37      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946UN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3548 | PA      | $3493.18       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        835 | PA      | $832.83        | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UR85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1298426 | PA      | $1125345.71    | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2628366 | PA      | $2537916.10    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418END8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9305300 | PA      | $7602909.64    | 0.02%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179M5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130351 | PA      | $113323.67     | 0.00%             | 2043-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411Y5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1850 | PA      | $1928.87       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1458617 | PA      | $1434832.75    | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV4E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114000 | PA      | $94251.84      | 0.00%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68147 | PA      | $67272.11      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TF46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1291 | PA      | $1307.65       | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378FFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $161.36        | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6979 | PA      | $6240.96       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1034 | PA      | $1028.77       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2J64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19782 | PA      | $19497.97      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJD49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2734 | PA      | $2805.79       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X52W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1156212 | PA      | $1074871.82    | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23193 | PA      | $21195.62      | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23526 | PA      | $22716.22      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418B4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51281 | PA      | $50603.26      | 0.00%             | 2026-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GGEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14949 | PA      | $14718.86      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GGX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4245046 | PA      | $3724537.45    | 0.01%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1395 | PA      | $1318.44       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNQZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10299 | PA      | $9839.10       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1340732 | PA      | $1346596.39    | 0.00%             | 2052-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1870383 | PA      | $1709293.47    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     417901 | PA      | $382406.07     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        236 | PA      | $244.58        | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGQV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193414 | PA      | $187772.56     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17153785 | PA      | $15160989.30   | 0.04%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1097014 | PA      | $1025408.60    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2W61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417122 | PA      | $389433.48     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AEGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10766 | PA      | $10586.45      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADSR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        611 | PA      | $607.08        | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K4B0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     666383 | PA      | $670243.46     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ERS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3373 | PA      | $3387.57       | 0.00%             | 2038-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294CDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.59          | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16534064 | PA      | $14412932.32   | 0.04%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31381CZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        201 | PA      | $200.21        | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLCJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37325 | PA      | $34847.78      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36186PN34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17220 | PA      | $16197.78      | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $459.03        | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297U6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2818 | PA      | $2844.63       | 0.00%             | 2030-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22117 | PA      | $22310.28      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K74M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693519 | PA      | $663661.77     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407FW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1755 | PA      | $1799.51       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945ZG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     264333 | PA      | $260256.61     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.19         | 0.00%             | 2028-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LABC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        894 | PA      | $901.31        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     849681 | PA      | $666409.45     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MWM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      74095 | PA      | $71553.18      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5A66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5601348 | PA      | $5721497.36    | 0.01%             | 2054-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWNM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42494 | PA      | $41236.93      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1123 | PA      | $1152.12       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4560 | PA      | $4596.01       | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201YCG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2144 | PA      | $2163.15       | 0.00%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10665218 | PA      | $9087343.69    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4981 | PA      | $4972.74       | 0.00%             | 2045-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74848729 | PA      | $55367014.32   | 0.14%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBF90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     669685 | PA      | $621434.32     | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AM4F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2405 | PA      | $2388.75       | 0.00%             | 2026-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8GE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56423 | PA      | $54266.98      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5AR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179418 | PA      | $165840.33     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5625 | PA      | $5650.15       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     553763 | PA      | $539367.55     | 0.00%             | 2054-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2480201 | PA      | $2448366.51    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3080852 | PA      | $2695660.70    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8R40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4466 | PA      | $4355.41       | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     237791 | PA      | $231511.90     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GES27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3149990 | PA      | $3101425.09    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4TZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15491014 | PA      | $13451705.40   | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FXD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9363 | PA      | $9431.79       | 0.00%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354651 | PA      | $338432.23     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296FMZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2987 | PA      | $3127.61       | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6109773 | PA      | $5981179.22    | 0.02%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CXU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13950 | PA      | $13637.91      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $56.52         | 0.00%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45238 | PA      | $44609.98      | 0.00%             | 2051-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA2D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22009504 | PA      | $18768956.74   | 0.05%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177JRX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7813 | PA      | $7381.32       | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211GTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         77 | PA      | $77.15         | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     258116 | PA      | $241790.54     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEAS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1557718 | PA      | $1494936.33    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SEE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24834 | PA      | $25449.32      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XK2R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     986377 | PA      | $912246.58     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HL93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $290.08        | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391GLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.73         | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3986084 | PA      | $3404674.18    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7MQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6248 | PA      | $6439.66       | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1354 | PA      | $1361.01       | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTVM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437545 | PA      | $395152.49     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13005 | PA      | $13330.99      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378DAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        757 | PA      | $760.24        | 0.00%             | 2027-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  136361256 | PA      | $114395751.31  | 0.30%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9952 | PA      | $9114.14       | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        418 | PA      | $431.79        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2823988 | PA      | $2920971.88    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201J7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1549 | PA      | $1599.33       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245760 | PA      | $230203.55     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YG5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74502 | PA      | $72449.27      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDJ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226093 | PA      | $220413.85     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHGA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3736757 | PA      | $3529947.76    | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17366460 | PA      | $15698154.26   | 0.04%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9018302 | PA      | $8525402.05    | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3NK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199069 | PA      | $181409.32     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1179 | PA      | $1226.21       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210354 | PA      | $204880.61     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JP3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109699 | PA      | $104271.17     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1056853 | PA      | $940822.65     | 0.00%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177Y2P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7612 | PA      | $6766.21       | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1470 | PA      | $1506.04       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287P5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $36.81         | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTCV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194589 | PA      | $175983.14     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178899 | PA      | $173996.98     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12027 | PA      | $11549.88      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5VL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     764462 | PA      | $693888.78     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERFX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517155 | PA      | $455276.40     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXD91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7549 | PA      | $7279.40       | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929GY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1091 | PA      | $1119.74       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62086 | PA      | $54560.89      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PB38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4000 | PA      | $3666.65       | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CY20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1241 | PA      | $1291.18       | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQUE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4411704 | PA      | $4167539.63    | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK7J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1026770 | PA      | $856351.31     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9SQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1510345 | PA      | $1409131.61    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9ZR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1099298 | PA      | $1056986.41    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9H63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1063024 | PA      | $990408.17     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20257486 | PA      | $20567185.03   | 0.05%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379YQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1917 | PA      | $1938.96       | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F5M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15261 | PA      | $15630.07      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12002255 | PA      | $10514765.72   | 0.03%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WENB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382753 | PA      | $348444.03     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HSHE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257041 | PA      | $240504.07     | 0.00%             | 2033-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101382 | PA      | $102044.08     | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GS4J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23589435 | PA      | $24017851.25   | 0.06%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85148 | PA      | $81858.16      | 0.00%             | 2029-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10738275 | PA      | $9014326.53    | 0.02%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369272 | PA      | $370936.36     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170952 | PA      | $175927.72     | 0.00%             | 2036-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179BB45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65680 | PA      | $58385.96      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AY69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1394910 | PA      | $1353502.83    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1796450 | PA      | $1682951.48    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4363385 | PA      | $4339286.42    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BFZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     563407 | PA      | $497851.46     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6FC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1796291 | PA      | $1690946.17    | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3063 | PA      | $3193.83       | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268665 | PA      | $264250.79     | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928YM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3076 | PA      | $3156.41       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10216 | PA      | $10714.50      | 0.00%             | 2042-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414R6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35424 | PA      | $35660.14      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        725 | PA      | $758.70        | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFCA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     696900 | PA      | $652309.99     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AMD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2087 | PA      | $2054.55       | 0.00%             | 2026-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     351499 | PA      | $355185.62     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     915866 | PA      | $856084.89     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375MW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.74          | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2101622 | PA      | $1909348.50    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94313 | PA      | $82313.73      | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AASW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3003958 | PA      | $2482204.36    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19638 | PA      | $18937.34      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933WS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21435 | PA      | $21984.20      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8730 | PA      | $8612.13       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8NK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76066 | PA      | $68247.95      | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2KD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10719 | PA      | $10576.33      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X97D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29174164 | PA      | $25083560.95   | 0.07%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNSJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850767 | PA      | $819193.69     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19673 | PA      | $19891.31      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307R4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172261 | PA      | $164775.51     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286354 | PA      | $254424.05     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     509455 | PA      | $485534.54     | 0.00%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AADK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1348893 | PA      | $1248213.02    | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4VX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     763544 | PA      | $737758.46     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1843 | PA      | $1862.13       | 0.00%             | 2037-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4693 | PA      | $4875.02       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180370 | PA      | $171884.65     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPJK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     866183 | PA      | $795582.49     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A7WC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5713496 | PA      | $4756068.80    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJZ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     549236 | PA      | $514470.64     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9T45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1309650 | PA      | $1259703.50    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9NA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1372750 | PA      | $1269188.40    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938AS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5373 | PA      | $5163.63       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1302330 | PA      | $1074812.40    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314486 | PA      | $309755.35     | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4150749 | PA      | $3576364.03    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BJL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5966 | PA      | $5811.12       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178EAB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25897 | PA      | $23695.50      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54447 | PA      | $54850.68      | 0.00%             | 2042-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212PVC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        206 | PA      | $208.48        | 0.00%             | 2031-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UTX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7006592 | PA      | $6050696.64    | 0.02%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3JD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1279415 | PA      | $1261229.94    | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8CF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     240117 | PA      | $242406.06     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4V67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3598 | PA      | $3689.56       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMPM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     440234 | PA      | $394174.62     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178BEX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2557 | PA      | $2341.45       | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1371803 | PA      | $1316515.23    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350601 | PA      | $327626.73     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201TFV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $64.38         | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52448 | PA      | $50638.61      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417F2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197493 | PA      | $193884.72     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2775813 | PA      | $2522551.96    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH5K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181263 | PA      | $157148.33     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407UJA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3710 | PA      | $3740.73       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8965934 | PA      | $7902859.37    | 0.02%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HN4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13599 | PA      | $13384.14      | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296RV39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16812 | PA      | $16997.87      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q72X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     618420 | PA      | $602336.68     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286118 | PA      | $272373.68     | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319832 | PA      | $332205.36     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WVU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2498 | PA      | $2719.35       | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97328 | PA      | $103710.34     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1255 | PA      | $1286.98       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5192794 | PA      | $4098929.91    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19995044 | PA      | $16595296.90   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204066 | PA      | $195120.94     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EVM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7340 | PA      | $7371.60       | 0.00%             | 2038-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JEM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22605 | PA      | $22880.04      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVAJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232203 | PA      | $217437.79     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HEJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $92.82         | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14910 | PA      | $14492.44      | 0.00%             | 2044-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6853612 | PA      | $5680200.00    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4048 | PA      | $4149.51       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7405996 | PA      | $6660487.32    | 0.02%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G4H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7194 | PA      | $7374.77       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQAT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     523668 | PA      | $526033.67     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14877 | PA      | $14328.62      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6807 | PA      | $7047.90       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJA73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     862232 | PA      | $780854.58     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500349 | PA      | $484545.10     | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11565 | PA      | $11416.41      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HP74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5507 | PA      | $5658.24       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10855850 | PA      | $11052618.59   | 0.03%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRL72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1488096 | PA      | $1229630.36    | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8988 | PA      | $8182.30       | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0RA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64784 | PA      | $59927.16      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5KT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     476954 | PA      | $436859.27     | 0.00%             | 2055-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBPM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62508 | PA      | $61074.15      | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHP21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     890466 | PA      | $827676.47     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $102.61        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XCC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        498 | PA      | $523.34        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152520 | PA      | $143367.97     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296556 | PA      | $245760.73     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386WP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.68         | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1818 | PA      | $1882.32       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22586598 | PA      | $21416538.57   | 0.06%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDCL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16401 | PA      | $15378.63      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8924617 | PA      | $8318257.66    | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGAT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   60139415 | PA      | $47083200.60   | 0.12%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415VS55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        630 | PA      | $657.20        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435062 | PA      | $426260.17     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14619139 | PA      | $14236035.17   | 0.04%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7ZV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3301 | PA      | $3332.37       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6ZF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2031 | PA      | $2121.12       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7828158 | PA      | $7231536.40    | 0.02%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414STW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14344 | PA      | $14440.02      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4662426 | PA      | $4412961.50    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5667537 | PA      | $5357770.87    | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMF75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9052084 | PA      | $8707003.20    | 0.02%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1123779 | PA      | $1021247.37    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W44L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80080 | PA      | $71610.39      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HCKJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     362529 | PA      | $357562.81     | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133753 | PA      | $121467.15     | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DRW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $97.76         | 0.00%             | 2032-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11721552 | PA      | $9663375.19    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200D4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        919 | PA      | $923.62        | 0.00%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6548439 | PA      | $6493613.03    | 0.02%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XFQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52400 | PA      | $47991.12      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C0YB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        906 | PA      | $914.30        | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUPL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270751 | PA      | $265937.07     | 0.00%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F2R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4141 | PA      | $4244.41       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GART5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     828297 | PA      | $768872.99     | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16664 | PA      | $16767.49      | 0.00%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2923476 | PA      | $2813756.03    | 0.01%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219822 | PA      | $216354.42     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YM2J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283953 | PA      | $276345.48     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2384545 | PA      | $2131920.07    | 0.01%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M74Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19325 | PA      | $19101.14      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411W2G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3008 | PA      | $3273.86       | 0.00%             | 2037-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9CW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     414995 | PA      | $399880.53     | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KV70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8608 | PA      | $8726.68       | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390136 | PA      | $372525.11     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ESA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85660 | PA      | $86027.68      | 0.00%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K85E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2270 | PA      | $2361.05       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AKN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     815440 | PA      | $737655.34     | 0.00%             | 2047-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72104 | PA      | $65360.67      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292WCK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1627 | PA      | $1638.55       | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2EC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10585 | PA      | $10322.55      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y5M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   93257890 | PA      | $94362673.82   | 0.25%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BTE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        712 | PA      | $750.48        | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7455216 | PA      | $6959494.46    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAET2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     543414 | PA      | $516539.54     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAFM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     329170 | PA      | $323469.79     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEN85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4036279 | PA      | $3760559.14    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L95V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4977 | PA      | $5107.09       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L9HC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3544 | PA      | $3572.52       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $118.55        | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1614980 | PA      | $1408388.98    | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MUN4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      75470 | PA      | $72736.06      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2703 | PA      | $2814.24       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A2J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $58.52         | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414DFP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1455 | PA      | $1464.30       | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7A97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     241120 | PA      | $242758.77     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096602 | PA      | $934364.71     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11353 | PA      | $11398.89      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390MWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $77.60         | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AMK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     214321 | PA      | $199757.49     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200SUS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $113.05        | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YH5Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368215 | PA      | $348053.12     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKP73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665651 | PA      | $576271.46     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDHJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199365 | PA      | $194470.82     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8MU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432115 | PA      | $420203.13     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LD78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2574 | PA      | $2665.89       | 0.00%             | 2039-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386ACJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $390.17        | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14937 | PA      | $14745.53      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382GJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.56         | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380G5H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.08          | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200233 | PA      | $179734.13     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     291351 | PA      | $270723.28     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9920230 | PA      | $10144349.04   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLYR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112935 | PA      | $111801.80     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  225586182 | PA      | $177111273.85  | 0.46%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197FRX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198237 | PA      | $179499.98     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NDZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      42791 | PA      | $41669.48      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2299337 | PA      | $2184389.16    | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401A3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        578 | PA      | $592.23        | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   90137025 | PA      | $75619368.36   | 0.20%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722384 | PA      | $695537.06     | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKNQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159098 | PA      | $148730.38     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3556606 | PA      | $2959513.72    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $146.39        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SM37<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        368 | PA      | $377.13        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3685 | PA      | $3615.36       | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKAS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     856461 | PA      | $797955.68     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AYBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19949 | PA      | $18453.86      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4BP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44496 | PA      | $38932.99      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18685 | PA      | $18361.48      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16979024 | PA      | $13857937.09   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LQXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287340 | PA      | $265798.84     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AE2P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   71667343 | PA      | $58889078.21   | 0.15%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14627190 | PA      | $13176405.58   | 0.03%             | 2053-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56859 | PA      | $57115.40      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7N50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     942575 | PA      | $857653.38     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177ND31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46497 | PA      | $42584.56      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9RC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19241 | PA      | $18875.71      | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206PQ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $18.90         | 0.00%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZ25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12025 | PA      | $12114.27      | 0.00%             | 2041-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3VX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7358 | PA      | $7220.74       | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     748382 | PA      | $719193.36     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7LK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10628766 | PA      | $8699998.15    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3201851 | PA      | $2904865.83    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216965 | PA      | $209420.85     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184MB28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33453 | PA      | $31465.07      | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1F47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307921 | PA      | $279990.20     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QK4D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37031883 | PA      | $29192609.60   | 0.08%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412PE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22729 | PA      | $22445.72      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8SG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9363065 | PA      | $7762906.82    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5V34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     786644 | PA      | $772979.79     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VN7L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2337563 | PA      | $2160797.69    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184BG43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116408 | PA      | $105902.41     | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SLW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2617366 | PA      | $2503588.37    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61918552 | PA      | $62826750.78   | 0.16%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        606 | PA      | $602.83        | 0.00%             | 2035-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15024248 | PA      | $13580239.84   | 0.04%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GUSU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20171000 | PA      | $20456590.09   | 0.05%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298TW32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        386 | PA      | $403.41        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7E28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19035 | PA      | $19187.13      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4485 | PA      | $4532.29       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36846397 | PA      | $30128134.99   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288DFN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1866 | PA      | $1958.70       | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WU69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     527026 | PA      | $512871.80     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21661606 | PA      | $21923620.42   | 0.06%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307S2J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1040592 | PA      | $1006516.93    | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MEE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1189 | PA      | $1240.09       | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417A6N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1558167 | PA      | $1540068.48    | 0.00%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     820753 | PA      | $757484.88     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9KX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771405 | PA      | $722576.85     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4W41<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     106889 | PA      | $109645.65     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14412828 | PA      | $12423198.34   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNYL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400882 | PA      | $370567.21     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57724 | PA      | $54236.80      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296TUY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $97.01         | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207F7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $41.66         | 0.00%             | 2026-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.15          | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUG76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21579131 | PA      | $22095305.42   | 0.06%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MLA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16506 | PA      | $16577.03      | 0.00%             | 2042-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5378354 | PA      | $5215194.58    | 0.01%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4L95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407088 | PA      | $365412.69     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5292018 | PA      | $4930518.54    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NDU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15354 | PA      | $15453.81      | 0.00%             | 2043-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FLZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.27          | 0.00%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2025390 | PA      | $1881951.04    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EG5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9684 | PA      | $10098.06      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQT55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202926 | PA      | $185824.85     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17101 | PA      | $16436.26      | 0.00%             | 2052-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207JWJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        145 | PA      | $145.70        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4171683 | PA      | $4291889.66    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36230MA56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138360 | PA      | $131170.60     | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141941 | PA      | $136221.01     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     972569 | PA      | $910263.28     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162241 | PA      | $160171.30     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8060220 | PA      | $7052471.17    | 0.02%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5171 | PA      | $5208.60       | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4624198 | PA      | $4046046.08    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180NDN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19013 | PA      | $16903.21      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C0ZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        895 | PA      | $901.43        | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401HR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        774 | PA      | $792.50        | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MQB65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3975351 | PA      | $3670845.45    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5108892 | PA      | $5267588.05    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T3C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        675 | PA      | $702.76        | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     931737 | PA      | $902306.45     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406GZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        850 | PA      | $856.68        | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJBE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      53169 | PA      | $54568.78      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     631492 | PA      | $628148.03     | 0.00%             | 2047-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18860457 | PA      | $17995974.15   | 0.05%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUP92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193288 | PA      | $169121.63     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40658716 | PA      | $31993015.11   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JPJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10597 | PA      | $10853.41      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GR5P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14937155 | PA      | $14126368.37   | 0.04%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKW54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12223829 | PA      | $9702540.75    | 0.03%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2567 | PA      | $2734.51       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8YY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     674202 | PA      | $668413.63     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXTB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30717478 | PA      | $27829088.53   | 0.07%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XF6Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20584 | PA      | $20200.99      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195242 | PA      | $190532.46     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QS65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1024 | PA      | $1030.53       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43455 | PA      | $46190.56      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MXMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249628 | PA      | $239355.83     | 0.00%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K14S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2353347 | PA      | $2274662.98    | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLVK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12703258 | PA      | $12936394.69   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260949 | PA      | $239174.84     | 0.00%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91735 | PA      | $92334.49      | 0.00%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWVY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37332952 | PA      | $35328292.96   | 0.09%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1VZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1782 | PA      | $1769.22       | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     960936 | PA      | $870353.33     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BHHS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1401145 | PA      | $1362659.33    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29910388 | PA      | $27603637.34   | 0.07%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVR62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257271 | PA      | $233561.73     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGLF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141405 | PA      | $132919.71     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7034235 | PA      | $6934011.28    | 0.02%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4443 | PA      | $4554.49       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3970 | PA      | $3913.21       | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128P7PH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     356882 | PA      | $357008.66     | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58784 | PA      | $56675.94      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47879 | PA      | $46172.19      | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1936 | PA      | $2018.13       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQEQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10408700 | PA      | $9370523.00    | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9AV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2807 | PA      | $2763.50       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWYU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199470 | PA      | $186229.31     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E22E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22395 | PA      | $20716.46      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y1XJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138265 | PA      | $132486.62     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HGE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.77         | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942GC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24650 | PA      | $24792.76      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YDLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7077 | PA      | $6842.62       | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     492096 | PA      | $466538.51     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5627418 | PA      | $5094803.57    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6P85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        186 | PA      | $190.50        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38709 | PA      | $38098.61      | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  114428615 | PA      | $89586263.22   | 0.23%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5EJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228857 | PA      | $1147145.86    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14032 | PA      | $13732.27      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18714959 | PA      | $17703540.11   | 0.05%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        923 | PA      | $981.14        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1235526 | PA      | $1058584.51    | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NUJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     117743 | PA      | $114524.26     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931GB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $233.99        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAVR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12858598 | PA      | $11423817.35   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G5P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2826 | PA      | $2957.82       | 0.00%             | 2029-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121653 | PA      | $118444.21     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1016297 | PA      | $954967.87     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DR78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281860 | PA      | $253346.57     | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296W5V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        593 | PA      | $592.91        | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13385 | PA      | $13211.46      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10414 | PA      | $10482.00      | 0.00%             | 2042-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5008 | PA      | $5044.32       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2155 | PA      | $2176.43       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAT83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286578 | PA      | $275943.27     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3480 | PA      | $3571.89       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489678 | PA      | $454871.72     | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LRY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8882 | PA      | $9077.08       | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEFX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7701830 | PA      | $6972794.99    | 0.02%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKXZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     973303 | PA      | $949889.11     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3FM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3302915 | PA      | $2820305.23    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     620011 | PA      | $602368.27     | 0.00%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKZQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135891 | PA      | $131115.27     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19057304 | PA      | $18964332.32   | 0.05%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2258 | PA      | $2314.38       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133436 | PA      | $119151.87     | 0.00%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2691635 | PA      | $2402883.30    | 0.01%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PT6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11131 | PA      | $11064.13      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617GCTC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1043574 | PA      | $965715.73     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBE91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     631309 | PA      | $558840.64     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WHCD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36494 | PA      | $36793.66      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8452128 | PA      | $6961780.10    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6YV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5488 | PA      | $5352.74       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183CM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153858 | PA      | $139974.78     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932L38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4546 | PA      | $4369.25       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408F3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28239 | PA      | $29338.89      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HK94<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        384 | PA      | $401.72        | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5L25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8997 | PA      | $8473.08       | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MAK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $46.94         | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16047 | PA      | $15847.55      | 0.00%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196534 | PA      | $181528.45     | 0.00%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     880625 | PA      | $882837.31     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQEW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4112883 | PA      | $4092366.10    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRH51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1009771 | PA      | $983608.18     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0HD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662636 | PA      | $579788.00     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291AKC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8918 | PA      | $9151.96       | 0.00%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1YN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450425 | PA      | $421060.02     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296R3Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        553 | PA      | $586.05        | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X92Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     968467 | PA      | $901037.97     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1T28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326591 | PA      | $313338.60     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2T55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2003 | PA      | $2022.99       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52093 | PA      | $43892.17      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L23B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6583766 | PA      | $5152649.37    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128QP5C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59064 | PA      | $60075.64      | 0.00%             | 2040-11-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        565 | PA      | $576.74        | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        631 | PA      | $655.30        | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291MJ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1008 | PA      | $1027.27       | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NN20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     634053 | PA      | $556605.70     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25881 | PA      | $25449.08      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745544 | PA      | $688808.28     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2105431 | PA      | $1897616.70    | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213UKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $83.40         | 0.00%             | 2031-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134097 | PA      | $130607.48     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A9VM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14911 | PA      | $14448.05      | 0.00%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3107992 | PA      | $2579923.24    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932JX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        575 | PA      | $568.43        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28098 | PA      | $27747.09      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208L6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        112 | PA      | $112.83        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133CW3E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1488501 | PA      | $1447298.10    | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUDF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320710 | PA      | $300425.76     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414JCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1565 | PA      | $1631.87       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2920773 | PA      | $2883555.20    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938H63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3647 | PA      | $3505.10       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3603 | PA      | $3720.23       | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJMJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76937 | PA      | $69684.30      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     763290 | PA      | $688604.58     | 0.00%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210RHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2177 | PA      | $2251.82       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FAH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      20407 | PA      | $20945.30      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM3X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2211202 | PA      | $1726138.79    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248544 | PA      | $235967.98     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9EB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1568691 | PA      | $1508865.36    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22966664 | PA      | $16980783.69   | 0.04%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HA65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1621 | PA      | $1660.64       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3485362 | PA      | $3156815.57    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52277 | PA      | $51404.67      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Q5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7601 | PA      | $7295.47       | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G2N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        233 | PA      | $238.48        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18470 | PA      | $16932.58      | 0.00%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNWU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19928599 | PA      | $16386706.25   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FJCC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352910 | PA      | $321195.60     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182401 | PA      | $159595.81     | 0.00%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EDH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36587332 | PA      | $33766972.44   | 0.09%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCTW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     919219 | PA      | $804291.08     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4085241 | PA      | $4096328.60    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     707825 | PA      | $665943.91     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403EM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64083 | PA      | $65652.87      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307P2H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20177 | PA      | $19395.25      | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5309585 | PA      | $4222781.04    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385W4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17266 | PA      | $17687.38      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10161308 | PA      | $10282471.65   | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        176 | PA      | $180.63        | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206W7C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         12 | PA      | $12.23         | 0.00%             | 2026-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5SU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47857 | PA      | $46670.75      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQYP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1674452 | PA      | $1725518.79    | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415TFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3447 | PA      | $3594.55       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85364 | PA      | $89530.16      | 0.00%             | 2045-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3427097 | PA      | $3002454.44    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.60         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     560134 | PA      | $493327.66     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451113 | PA      | $458203.27     | 0.00%             | 2043-06-01      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEAX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.46          | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AK2G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        479 | PA      | $473.67        | 0.00%             | 2026-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2750 | PA      | $2871.00       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPTZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530131 | PA      | $517046.74     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     736229 | PA      | $683636.48     | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $341.15        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3732436 | PA      | $3493432.90    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     858802 | PA      | $793447.03     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AYL32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11307946 | PA      | $8895766.54    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YW78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1688 | PA      | $1675.60       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390UQB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        850 | PA      | $890.29        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293JDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        643 | PA      | $649.81        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKG25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3138190 | PA      | $3159159.10    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7231007 | PA      | $7045330.49    | 0.02%             | 2053-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54983263 | PA      | $43031523.33   | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     800087 | PA      | $758664.63     | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AAEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54849 | PA      | $50577.99      | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFDR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748322 | PA      | $727217.49     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FT85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $0.92          | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200KDK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        118 | PA      | $118.00        | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6TN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3480129 | PA      | $3142299.50    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  100440046 | PA      | $101652167.85  | 0.27%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE6Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5017 | PA      | $4714.41       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1256 | PA      | $1312.03       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1584 | PA      | $1652.27       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACLJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2256317 | PA      | $1789804.04    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AXKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19879 | PA      | $19154.68      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        194 | PA      | $202.04        | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207BU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $215.44        | 0.00%             | 2026-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172114 | PA      | $169706.53     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6HU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1086 | PA      | $1160.23       | 0.00%             | 2038-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151813 | PA      | $147740.18     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QL6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3839143 | PA      | $3623736.44    | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EL5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4069 | PA      | $3992.62       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0AK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1309 | PA      | $1321.53       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411E4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2261 | PA      | $2353.65       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7LF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2947596 | PA      | $2656723.82    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HE5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     870088 | PA      | $778873.27     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718439 | PA      | $671544.56     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401AMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8432 | PA      | $8638.41       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21937 | PA      | $19748.55      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6636 | PA      | $6463.81       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946PQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8664 | PA      | $8885.39       | 0.00%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASYQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98926 | PA      | $95322.54      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A3DD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1175602 | PA      | $1094921.02    | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3947017 | PA      | $3929485.68    | 0.01%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2319437 | PA      | $1989586.94    | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6ET1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24163 | PA      | $25229.26      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3437967 | PA      | $3113864.67    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LT89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     428343 | PA      | $441233.75     | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 362169UF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $55.58         | 0.00%             | 2029-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3449 | PA      | $3406.20       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22485972 | PA      | $17610620.16   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMU76<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1909760 | PA      | $1851809.52    | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     711936 | PA      | $642565.20     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XSB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     132957 | PA      | $130878.12     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69881 | PA      | $73291.74      | 0.00%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931N53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3083 | PA      | $3048.29       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2724 | PA      | $2840.66       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AEJ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1052 | PA      | $1013.50       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPNP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     964917 | PA      | $753077.48     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689635 | PA      | $595549.24     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1739312 | PA      | $1617259.28    | 0.00%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39770049 | PA      | $31408912.78   | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224196 | PA      | $231245.57     | 0.00%             | 2040-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVUT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68244 | PA      | $61718.85      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600629 | PA      | $559599.97     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4013792 | PA      | $3309091.70    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        999 | PA      | $982.13        | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSQJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        760 | PA      | $757.70        | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5MC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3496 | PA      | $3156.89       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13394 | PA      | $13784.29      | 0.00%             | 2041-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y1ZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     435268 | PA      | $407418.20     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4Q36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136705 | PA      | $843772.31     | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23541 | PA      | $22252.35      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  110573995 | PA      | $86187348.00   | 0.23%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146687 | PA      | $131849.39     | 0.00%             | 2044-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WB4E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108706 | PA      | $105876.66     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23782586 | PA      | $19659191.00   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455464 | PA      | $443215.69     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502552 | PA      | $441312.63     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8H65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497251 | PA      | $449073.43     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4949564 | PA      | $4242266.51    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTQE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10946129 | PA      | $11365619.53   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8Q51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1116038 | PA      | $1077267.80    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HAV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        196 | PA      | $200.57        | 0.00%             | 2028-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBH68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493953 | PA      | $460210.94     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GN3G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190165 | PA      | $171739.92     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WERN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10740 | PA      | $9800.93       | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7243 | PA      | $7312.14       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X74Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1733321 | PA      | $1516608.27    | 0.00%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5395443 | PA      | $4822501.14    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379ECF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        889 | PA      | $893.69        | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9862 | PA      | $9678.69       | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297P7L9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     154581 | PA      | $158655.81     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209NXR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        118 | PA      | $119.67        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25786 | PA      | $25443.11      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KD3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     624572 | PA      | $583868.69     | 0.00%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      67911 | PA      | $59496.13      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JP5F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1441 | PA      | $1415.90       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358765 | PA      | $353237.89     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3190764 | PA      | $2609764.84    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        844 | PA      | $851.97        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47112 | PA      | $44856.61      | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203952 | PA      | $178451.98     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QC33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56498 | PA      | $55191.66      | 0.00%             | 2029-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89605 | PA      | $87359.07      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8UY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10751386 | PA      | $9753203.05    | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2966 | PA      | $2993.95       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4SL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9186051 | PA      | $8099165.05    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        910 | PA      | $919.64        | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200QTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1360 | PA      | $1384.79       | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACZM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3422410 | PA      | $2831265.22    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3X71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108700 | PA      | $102748.42     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16755 | PA      | $16830.13      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414L4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2969 | PA      | $2985.35       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7WF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102962 | PA      | $98743.52      | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMYY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7633638 | PA      | $6315423.61    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129354H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1326 | PA      | $1335.89       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YP6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250564 | PA      | $244136.08     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYWU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      11187 | PA      | $11024.61      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5296681 | PA      | $4672012.28    | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3134918 | PA      | $3031602.71    | 0.01%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NR95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10621 | PA      | $10194.32      | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFDH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2750299 | PA      | $2493068.27    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQS40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730938 | PA      | $687700.63     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WFEM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140115 | PA      | $141401.45     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292JTL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8050 | PA      | $8314.89       | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF4Z7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97293 | PA      | $95792.69      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132H9S35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114864 | PA      | $112365.40     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6860183 | PA      | $5634887.91    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EM6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1571183 | PA      | $1491781.46    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0AN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44912705 | PA      | $39297382.08   | 0.10%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17114990 | PA      | $15354723.93   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3024 | PA      | $3095.07       | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPT57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14614957 | PA      | $14219474.95   | 0.04%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1327976 | PA      | $1239987.66    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8172447 | PA      | $8189794.59    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASF79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     261232 | PA      | $246812.33     | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2651368 | PA      | $2259417.55    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJR35<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     943738 | PA      | $910561.89     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198RXN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64977 | PA      | $59118.49      | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455411 | PA      | $411258.30     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52170 | PA      | $50893.99      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298PTR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2249 | PA      | $2351.33       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37956 | PA      | $37142.98      | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307N7E8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     122152 | PA      | $119291.08     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        719 | PA      | $750.74        | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1689498 | PA      | $1580534.99    | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9985 | PA      | $9752.74       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAY22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9435864 | PA      | $7338640.62    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQDS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3297842 | PA      | $3122289.49    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1834 | PA      | $1734.19       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388WXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2964 | PA      | $3014.28       | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4212630 | PA      | $3856038.98    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $59.17         | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294WYJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32414 | PA      | $33110.31      | 0.00%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     923561 | PA      | $892988.15     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5090222 | PA      | $4616496.74    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402GXE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1154 | PA      | $1164.82       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180HHW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148939 | PA      | $136274.99     | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     380909 | PA      | $345435.01     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2498627 | PA      | $2332234.41    | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     660051 | PA      | $577526.05     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407M7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        419 | PA      | $429.55        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8637 | PA      | $9004.51       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103542 | PA      | $99369.33      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185BRD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130856 | PA      | $123074.52     | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29121 | PA      | $28635.49      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293TJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        930 | PA      | $947.63        | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581073 | PA      | $506059.46     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5318 | PA      | $5370.46       | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMX82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3318891 | PA      | $3070650.57    | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292MA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2856 | PA      | $2754.79       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371M3W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        373 | PA      | $382.35        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7478289 | PA      | $6159656.54    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10281 | PA      | $10676.93      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     707143 | PA      | $678168.85     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73374 | PA      | $69574.86      | 0.00%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA5E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8844113 | PA      | $8360217.17    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12499578 | PA      | $9840830.01    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADSD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6919131 | PA      | $6615292.82    | 0.02%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524241 | PA      | $499344.48     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1618 | PA      | $1594.84       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   64844713 | PA      | $50416294.40   | 0.13%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934XJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9044 | PA      | $8942.23       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211EE95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $9.93          | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXQB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     306570 | PA      | $277668.70     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XC3E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261259 | PA      | $254834.88     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCU60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $14.59         | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179ME30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10327041 | PA      | $9466992.82    | 0.02%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2639 | PA      | $2708.71       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MAZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2006 | PA      | $2055.84       | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QT48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1300 | PA      | $1324.56       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FQA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1 | PA      | $1.49          | 0.00%             | 2025-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2316741 | PA      | $2154169.09    | 0.01%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383QGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.58         | 0.00%             | 2029-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1452311 | PA      | $1443683.47    | 0.00%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4807281 | PA      | $4499042.85    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $25.84         | 0.00%             | 2027-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300673 | PA      | $294912.42     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1315321 | PA      | $1270498.24    | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401JAG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        801 | PA      | $820.12        | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296NXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2271 | PA      | $2296.77       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        305 | PA      | $321.76        | 0.00%             | 2032-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BUCN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     723153 | PA      | $654803.01     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     757704 | PA      | $748567.89     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y82W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98165 | PA      | $91459.08      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142201 | PA      | $132836.34     | 0.00%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X55K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     786618 | PA      | $786598.09     | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         62 | PA      | $63.60         | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AT7H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9714 | PA      | $9163.30       | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295289 | PA      | $264029.33     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K5US9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        132 | PA      | $135.72        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTTX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5433293 | PA      | $4252255.62    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36291FSU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3698076 | PA      | $3206579.69    | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408DFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1389 | PA      | $1423.73       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LQ43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     103958 | PA      | $101611.96     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64308 | PA      | $62994.15      | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244136 | PA      | $225834.00     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JCY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9481 | PA      | $9213.67       | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13976907 | PA      | $12194346.44   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7885284 | PA      | $6471984.09    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     250783 | PA      | $250562.59     | 0.00%             | 2052-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QDW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48747 | PA      | $47303.34      | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q75N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2875406 | PA      | $2616345.31    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294TFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1231 | PA      | $1238.06       | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55316073 | PA      | $43005907.91   | 0.11%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42755 | PA      | $41762.06      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29003002 | PA      | $30114488.36   | 0.08%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7XS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123794 | PA      | $122117.55     | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRPU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89762595 | PA      | $88996725.76   | 0.23%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LANJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308745 | PA      | $297325.63     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KMM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1951 | PA      | $2054.19       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJY53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57626 | PA      | $48621.43      | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5177428 | PA      | $4554085.70    | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CL46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4905 | PA      | $4937.34       | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RL69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1238 | PA      | $1268.54       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14647 | PA      | $14458.91      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195296 | PA      | $188773.70     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72054 | PA      | $70987.27      | 0.00%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWZY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89413 | PA      | $78333.83      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        507 | PA      | $521.25        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     701050 | PA      | $549454.10     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MWXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37522834 | PA      | $36477498.66   | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2462859 | PA      | $2272918.23    | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178TTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89773 | PA      | $82214.27      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541353 | PA      | $554937.40     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54142470 | PA      | $42681059.35   | 0.11%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAQB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20944258 | PA      | $16437984.68   | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     437364 | PA      | $425944.33     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46634 | PA      | $45421.03      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     960678 | PA      | $793295.97     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASPV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12202 | PA      | $11940.89      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464265 | PA      | $444354.15     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NXA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21334 | PA      | $20863.49      | 0.00%             | 2029-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RSD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50051 | PA      | $48123.10      | 0.00%             | 2030-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6F7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     197208 | PA      | $202398.70     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BMZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161337 | PA      | $154196.58     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383RGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        499 | PA      | $507.18        | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AMG83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9083635 | PA      | $7157465.85    | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $31.76         | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449396 | PA      | $437668.19     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8SK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2209985 | PA      | $1933675.81    | 0.01%             | 2048-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410EPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        776 | PA      | $825.15        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     903020 | PA      | $926824.82     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4QQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80924 | PA      | $79411.16      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KC2B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5393 | PA      | $5621.51       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419G6B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2548 | PA      | $2446.56       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YY3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281151 | PA      | $264168.55     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMP31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24233 | PA      | $23757.09      | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26547648 | PA      | $20835872.01   | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     508786 | PA      | $530553.53     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10334531 | PA      | $9533094.53    | 0.02%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9RL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144832 | PA      | $141168.51     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415TK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7277 | PA      | $7588.29       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NEM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     656762 | PA      | $615268.34     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3751882 | PA      | $3606746.18    | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8Y60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     757001 | PA      | $727615.39     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180SUA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29776 | PA      | $26471.08      | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $362.80        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9KT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7159515 | PA      | $6402267.05    | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1ML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94279 | PA      | $82851.63      | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARHA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19163 | PA      | $18077.96      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWQ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1969 | PA      | $1952.43       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7775409 | PA      | $6949738.75    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0VJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453897 | PA      | $433074.30     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297390 | PA      | $285401.72     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1229497 | PA      | $1212656.14    | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45879 | PA      | $44059.84      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9NT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15645 | PA      | $14927.35      | 0.00%             | 2030-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4518534 | PA      | $3859461.53    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3604 | PA      | $3520.07       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3073504 | PA      | $2846405.97    | 0.01%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEP37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2429285 | PA      | $2343052.60    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLVL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6150827 | PA      | $6256840.50    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGVQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139975 | PA      | $134333.94     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ANPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16799095 | PA      | $17039042.99   | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPRG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7311558 | PA      | $6794240.45    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10336 | PA      | $10640.76      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20589482 | PA      | $19078516.04   | 0.05%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0YD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4070729 | PA      | $4205338.64    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     817530 | PA      | $793723.89     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10696 | PA      | $10802.68      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHD33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28428 | PA      | $27273.23      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3072075 | PA      | $2943675.13    | 0.01%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3964866 | PA      | $3695483.84    | 0.01%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVQ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13028 | PA      | $11651.73      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X53J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33835 | PA      | $31694.82      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296K7H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1065 | PA      | $1092.00       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NHW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6147 | PA      | $6175.24       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8ZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4290943 | PA      | $4118003.40    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EAQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36509 | PA      | $33772.38      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4JV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229752 | PA      | $221378.04     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HYU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      70801 | PA      | $68679.60      | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     405600 | PA      | $408539.57     | 0.00%             | 2047-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938JX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2207 | PA      | $2181.81       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCQD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     540001 | PA      | $497171.91     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5588 | PA      | $5542.28       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20179132 | PA      | $18250710.80   | 0.05%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201U6S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6513 | PA      | $6594.30       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8GX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        297 | PA      | $309.69        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511931 | PA      | $478034.00     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404552 | PA      | $378965.09     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AC3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     616857 | PA      | $536998.58     | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183HRG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18003 | PA      | $17082.89      | 0.00%             | 2044-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14527699 | PA      | $13422141.54   | 0.04%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KLD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5655 | PA      | $5794.86       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVRK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1079485 | PA      | $1000653.42    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230SN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12547 | PA      | $11853.77      | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10002 | PA      | $9410.10       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MKBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7101890 | PA      | $6384755.57    | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12102 | PA      | $11809.34      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13795491 | PA      | $12470229.45   | 0.03%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.87          | 0.00%             | 2026-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JL44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $142.67        | 0.00%             | 2030-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     584521 | PA      | $556533.66     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6021216 | PA      | $5445290.83    | 0.01%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8231022 | PA      | $6725168.79    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFRQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171949 | PA      | $163399.21     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     446459 | PA      | $428614.78     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MACT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     545818 | PA      | $504898.31     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405SFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2694 | PA      | $2716.63       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2926 | PA      | $2954.80       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCJM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27222 | PA      | $27937.41      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72038 | PA      | $69504.70      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7L47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2399005 | PA      | $2300657.85    | 0.01%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298VX93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $54.99         | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32610 | PA      | $31802.84      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2194 | PA      | $2172.76       | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3XR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        505 | PA      | $527.21        | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413FL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        456 | PA      | $475.67        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2685049 | PA      | $2506565.73    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486459 | PA      | $453229.17     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5167176 | PA      | $5313530.56    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6064388 | PA      | $5663011.35    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E02Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197296 | PA      | $189531.75     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYJE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      30990 | PA      | $30693.58      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J7DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114559 | PA      | $106110.38     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJU63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21799 | PA      | $20526.34      | 0.00%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J77A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3240184 | PA      | $3150684.42    | 0.01%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211ERU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1539 | PA      | $1556.60       | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8782 | PA      | $8250.79       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9R80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1711955 | PA      | $1630016.27    | 0.00%             | 2036-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5SS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14689 | PA      | $13901.23      | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71272 | PA      | $66912.84      | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     613194 | PA      | $559556.78     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8BP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1969740 | PA      | $1833203.28    | 0.00%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196313 | PA      | $172517.47     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AEH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6285 | PA      | $6194.38       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6725 | PA      | $6484.89       | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1092 | PA      | $1102.11       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XLJM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     246754 | PA      | $221874.37     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W94Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3248 | PA      | $3187.26       | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4KW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65740 | PA      | $62139.94      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1504 | PA      | $1568.88       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5064 | PA      | $5512.26       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        201 | PA      | $207.70        | 0.00%             | 2029-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92939 | PA      | $88267.09      | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J93N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536891 | PA      | $520511.40     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134328 | PA      | $127396.96     | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412DLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14880 | PA      | $15251.26      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54736073 | PA      | $54372354.64   | 0.14%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPGV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639256 | PA      | $571726.26     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDJ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20274 | PA      | $19961.11      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46734 | PA      | $43213.02      | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18191500 | PA      | $18404694.77   | 0.05%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8TH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        328 | PA      | $330.66        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCCE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235069 | PA      | $230575.02     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1530944 | PA      | $1457686.76    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDAR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11039405 | PA      | $8699481.35    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YB2N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2694 | PA      | $2628.64       | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375DVC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $114.10        | 0.00%             | 2025-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1852752 | PA      | $1866503.15    | 0.00%             | 2041-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     919019 | PA      | $836640.58     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5297 | PA      | $5427.10       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J54Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25618 | PA      | $23914.49      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574395 | PA      | $489936.19     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1479 | PA      | $1591.75       | 0.00%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EE2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140356 | PA      | $129833.90     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19196446 | PA      | $16951642.98   | 0.04%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17100970 | PA      | $13472746.50   | 0.04%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        761 | PA      | $764.03        | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11067944 | PA      | $10010176.75   | 0.03%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3221 | PA      | $3300.60       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFSF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2176287 | PA      | $2128467.23    | 0.01%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187837 | PA      | $182570.25     | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     909400 | PA      | $828557.83     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54789449 | PA      | $44820252.89   | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936RE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2841 | PA      | $2809.43       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212NAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1535 | PA      | $1586.02       | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1949766 | PA      | $1925989.70    | 0.01%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2778261 | PA      | $2677881.64    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1501938 | PA      | $1355927.80    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LKQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7540 | PA      | $7420.71       | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNNQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8407241 | PA      | $7511396.79    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385611 | PA      | $361215.11     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348353 | PA      | $349923.21     | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK7D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251187 | PA      | $234400.73     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J9P69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     593840 | PA      | $531816.34     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453895 | PA      | $425187.00     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3729 | PA      | $3756.57       | 0.00%             | 2045-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     130972 | PA      | $126454.37     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216134 | PA      | $201971.66     | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12677 | PA      | $11610.25      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCN86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30227 | PA      | $29240.53      | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1073 | PA      | $1119.33       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188875 | PA      | $183784.23     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6VL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     213151 | PA      | $201714.12     | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7M54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3342 | PA      | $3545.88       | 0.00%             | 2035-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQ4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7276 | PA      | $6845.46       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AD2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37225 | PA      | $36603.53      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMR62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1312 | PA      | $1283.48       | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XC3K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18644242 | PA      | $16024300.05   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSSZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $66.67         | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939J77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6567 | PA      | $6493.87       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7422 | PA      | $5487.09       | 0.00%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     537059 | PA      | $480868.85     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3911 | PA      | $3560.81       | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DP46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        466 | PA      | $478.13        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2724300 | PA      | $2346821.18    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASGY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6258 | PA      | $5912.65       | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107279 | PA      | $102970.63     | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5NU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.00          | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8BU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4428 | PA      | $4147.91       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BRMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3947409 | PA      | $3925449.28    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BFR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        330 | PA      | $341.46        | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7B88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        783 | PA      | $803.63        | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294EBE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        315 | PA      | $328.64        | 0.00%             | 2030-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295TVP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2026 | PA      | $2114.79       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7TS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21186 | PA      | $21338.68      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WLUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1225448 | PA      | $1212150.22    | 0.00%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6HW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1441814 | PA      | $1376752.72    | 0.00%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ESDA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71674 | PA      | $69364.65      | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WG20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2520 | PA      | $2531.26       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165759 | PA      | $148226.61     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1227 | PA      | $1309.42       | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MSQQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4816781 | PA      | $4683422.67    | 0.01%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XP3D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57920 | PA      | $57820.07      | 0.00%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     934446 | PA      | $899623.36     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188244 | PA      | $176732.70     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B3L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17391 | PA      | $17605.39      | 0.00%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M9YR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1963098 | PA      | $1539669.04    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XFM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        309 | PA      | $316.29        | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406E6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        132 | PA      | $132.59        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8G98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1008662 | PA      | $933043.50     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H042661<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34232000 | PA      | $32291025.75   | 0.08%             | 2054-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5VM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8494 | PA      | $8285.94       | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1034387 | PA      | $964997.83     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTZ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     616149 | PA      | $557997.07     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89124 | PA      | $79703.94      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W0FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101886 | PA      | $94179.70      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  117166095 | PA      | $118392843.99  | 0.31%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3100 | PA      | $3143.06       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10959 | PA      | $10822.51      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUDT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14424241 | PA      | $11303084.95   | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFXW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13481 | PA      | $13108.07      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QF4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31540221 | PA      | $25759403.90   | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0B60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8787 | PA      | $7985.71       | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175213 | PA      | $168209.81     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20116 | PA      | $20233.49      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7826 | PA      | $7515.43       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929L59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        438 | PA      | $449.28        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SFG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1959 | PA      | $2042.59       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287VUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1189 | PA      | $1247.91       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14084447 | PA      | $12719832.59   | 0.03%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9RG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6409 | PA      | $5664.01       | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3539228 | PA      | $3090294.42    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1844790 | PA      | $1524370.56    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6DR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64601 | PA      | $60706.09      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNA53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19425211 | PA      | $17373466.48   | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342729 | PA      | $339534.72     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KHW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3348490 | PA      | $3009264.71    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YDUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254893 | PA      | $247986.85     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12362720 | PA      | $9611795.47    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9XS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7606 | PA      | $7799.96       | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9445675 | PA      | $8936156.21    | 0.02%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TZP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11648 | PA      | $12119.30      | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2FS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385538 | PA      | $362303.01     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JH6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308846 | PA      | $305474.30     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YVQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2262 | PA      | $2325.35       | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NJ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     343130 | PA      | $302326.49     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7VU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254132 | PA      | $231941.79     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $199.49        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43842 | PA      | $42196.73      | 0.00%             | 2051-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1667 | PA      | $1749.40       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HL3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58377 | PA      | $57370.72      | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3NK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349956 | PA      | $303880.78     | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11628115 | PA      | $9579145.05    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941J99<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      56568 | PA      | $56895.93      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRLP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1304300 | PA      | $1217572.94    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBK82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7253168 | PA      | $6007394.09    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     564428 | PA      | $464665.73     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36186SLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8536 | PA      | $8028.05       | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16892365 | PA      | $16774935.33   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JFG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     664860 | PA      | $638493.05     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4228553 | PA      | $3967397.00    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23280062 | PA      | $21108933.67   | 0.06%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294W3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14696 | PA      | $15521.17      | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270961 | PA      | $228304.02     | 0.00%             | 2046-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9KW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1165919 | PA      | $1089819.17    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LAR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1630713 | PA      | $1652164.37    | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2GG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5265 | PA      | $5120.11       | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WP47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275319 | PA      | $257924.53     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403RR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        545 | PA      | $558.88        | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17617 | PA      | $17390.75      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57158136 | PA      | $44712586.69   | 0.12%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295RRC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1546 | PA      | $1646.11       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AFQA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36398275 | PA      | $28496241.30   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YS6K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461319 | PA      | $433473.92     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419A4G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9518 | PA      | $9395.79       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10790814 | PA      | $10220799.85   | 0.03%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413Y6V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9841 | PA      | $10261.74      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     977167 | PA      | $946132.24     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914755 | PA      | $711215.54     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15850019 | PA      | $12948036.34   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPD70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19148502 | PA      | $17014287.50   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     514763 | PA      | $496862.13     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407XA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3556 | PA      | $3590.38       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     528138 | PA      | $535352.64     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7S64<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2625 | PA      | $2595.31       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178MRR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     496941 | PA      | $455100.72     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $79.35         | 0.00%             | 2029-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65441 | PA      | $60556.82      | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4F94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235833 | PA      | $204744.21     | 0.00%             | 2043-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KN7F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2405197 | PA      | $2151893.96    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCT55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538072 | PA      | $512171.12     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4ZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434725 | PA      | $398090.06     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9T92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7288183 | PA      | $6518276.92    | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181BKX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9271 | PA      | $8242.13       | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        627 | PA      | $618.57        | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7728038 | PA      | $6616511.75    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQTR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4382995 | PA      | $4455436.78    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4978015 | PA      | $4778420.64    | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQNU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2500078 | PA      | $2241677.49    | 0.01%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         97 | PA      | $99.25         | 0.00%             | 2027-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SDL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2967 | PA      | $2995.86       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2006008 | PA      | $2016030.48    | 0.01%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33569986 | PA      | $27501133.98   | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1634122 | PA      | $1472043.28    | 0.00%             | 2053-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADVF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     921322 | PA      | $887817.00     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7220 | PA      | $6708.44       | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8DM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1318406 | PA      | $1140970.63    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTY79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15733960 | PA      | $16209897.77   | 0.04%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70963 | PA      | $67289.38      | 0.00%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1749648 | PA      | $1646125.74    | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3500 | PA      | $3586.32       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUGF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393071 | PA      | $383776.81     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUXT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1752852 | PA      | $1627571.07    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     960551 | PA      | $919948.39     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24114 | PA      | $20317.97      | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200EZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        612 | PA      | $619.28        | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4US8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81112 | PA      | $75031.49      | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706060 | PA      | $664906.85     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APKX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1028732 | PA      | $849372.05     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10887951 | PA      | $8569007.43    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7MY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7900 | PA      | $7874.64       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMBD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   53335192 | PA      | $41736512.97   | 0.11%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413FAJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        483 | PA      | $525.10        | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3776968 | PA      | $3457254.38    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4560238 | PA      | $4389088.99    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     950046 | PA      | $837401.15     | 0.00%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3F80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4331929 | PA      | $3698425.61    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     372503 | PA      | $326828.15     | 0.00%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     643253 | PA      | $619281.11     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180DLE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     735071 | PA      | $673853.86     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8Q82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5857 | PA      | $5417.68       | 0.00%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3826857 | PA      | $3650150.48    | 0.01%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74786187 | PA      | $65759682.53   | 0.17%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6607 | PA      | $6772.91       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3677784 | PA      | $3313006.08    | 0.01%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDCM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208636 | PA      | $182784.15     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5195804 | PA      | $4947023.00    | 0.01%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUDV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18450605 | PA      | $14589283.97   | 0.04%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27889166 | PA      | $27681335.02   | 0.07%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        942 | PA      | $966.77        | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VTY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49774 | PA      | $44837.20      | 0.00%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JUD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208214 | PA      | $205099.27     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271059 | PA      | $244023.50     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42824636 | PA      | $33412387.30   | 0.09%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271928 | PA      | $248624.72     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210UXD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        118 | PA      | $118.36        | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWMN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2124767 | PA      | $1910290.47    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402YGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        414 | PA      | $418.47        | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409YA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2821 | PA      | $2891.43       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206PRN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.53          | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411BGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1863 | PA      | $1980.10       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12648241 | PA      | $10323239.01   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J3UG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1001597 | PA      | $986331.07     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNWY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2355181 | PA      | $1970253.39    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35420205 | PA      | $27682446.03   | 0.07%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3752378 | PA      | $3691193.08    | 0.01%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128835 | PA      | $125520.10     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADKQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     464105 | PA      | $450850.46     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380Q5K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $85.05         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367516 | PA      | $335426.14     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23256325 | PA      | $20437401.93   | 0.05%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416203 | PA      | $421507.81     | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9XA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6686 | PA      | $6862.42       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8QM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27864 | PA      | $26938.70      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ETZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9211 | PA      | $9250.56       | 0.00%             | 2038-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AZJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $67.22         | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933WP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3977 | PA      | $3821.86       | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1320 | PA      | $1334.31       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334770 | PA      | $313305.04     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680777 | PA      | $651564.93     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKVH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2815568 | PA      | $2608363.64    | 0.01%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQYH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13749001 | PA      | $12029998.16   | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1605884 | PA      | $1544640.58    | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418M4Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1662564 | PA      | $1721663.55    | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404R4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7767 | PA      | $7962.58       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DS4K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23916222 | PA      | $21439691.17   | 0.06%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B4M93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6874749 | PA      | $5621264.82    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84995 | PA      | $71614.43      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTDC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24533 | PA      | $23192.17      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5MP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22000000 | PA      | $21347615.30   | 0.06%             | 2055-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208PY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        162 | PA      | $162.25        | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938U76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25949 | PA      | $26136.50      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296LZK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6012 | PA      | $6078.69       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5376412 | PA      | $5068964.90    | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180BZL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20245 | PA      | $17997.82      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2777215 | PA      | $2570318.21    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JPQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119952 | PA      | $110958.99     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     710200 | PA      | $681580.90     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417SAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24552 | PA      | $24245.69      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HNH51<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      37773 | PA      | $34987.08      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     324912 | PA      | $266362.74     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18796540 | PA      | $14700523.71   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1696341 | PA      | $1632664.12    | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A72W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374711 | PA      | $359879.09     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4366601 | PA      | $3561758.69    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409009 | PA      | $386766.50     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3U75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435878 | PA      | $419261.52     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412V5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10711 | PA      | $11168.91      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1523939 | PA      | $1377541.74    | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW5E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1360774 | PA      | $1295643.52    | 0.00%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A4GA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41195 | PA      | $41490.88      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N16U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3176600 | PA      | $3091924.54    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KT7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1491327 | PA      | $1271752.95    | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FP4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37443 | PA      | $33913.41      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7QU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121889 | PA      | $122437.97     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4221 | PA      | $4096.41       | 0.00%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GTBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33715299 | PA      | $33503922.29   | 0.09%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4026 | PA      | $3964.00       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HFAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119795 | PA      | $117850.18     | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1292718 | PA      | $1206908.02    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17905 | PA      | $16924.68      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7XY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101045 | PA      | $99909.57      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  174365578 | PA      | $148481359.77  | 0.39%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15661154 | PA      | $15051008.28   | 0.04%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2292773 | PA      | $2264812.95    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293CQ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.07          | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AH29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1 | PA      | $1.11          | 0.00%             | 2025-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418A6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279272 | PA      | $258137.83     | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316086 | PA      | $304828.22     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KWQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19017 | PA      | $18779.89      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311386 | PA      | $306854.00     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8GJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3241 | PA      | $3216.83       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDQQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518557 | PA      | $496184.58     | 0.00%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6PC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82220 | PA      | $80184.42      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1079933 | PA      | $1006061.80    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22599503 | PA      | $20764476.04   | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A5Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     976533 | PA      | $860847.71     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MCA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57468041 | PA      | $44713329.13   | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNEE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21421548 | PA      | $17473175.72   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2118257 | PA      | $2058004.68    | 0.01%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6DG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1157643 | PA      | $1108744.37    | 0.00%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600333 | PA      | $586221.05     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292UX34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $41.69         | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     552658 | PA      | $488423.26     | 0.00%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390J3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        125 | PA      | $130.62        | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9608229 | PA      | $8297397.75    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        514 | PA      | $535.11        | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUKN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4296229 | PA      | $3890750.58    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C36T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7932974 | PA      | $7876398.83    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMW74<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     249270 | PA      | $236389.07     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAJB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204322 | PA      | $199994.31     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298DQR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        631 | PA      | $644.17        | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36195LPZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     859432 | PA      | $758891.17     | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YDG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1535214 | PA      | $1416159.53    | 0.00%             | 2053-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7XN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1194153 | PA      | $1102449.58    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8797810 | PA      | $8115545.63    | 0.02%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292LFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6347 | PA      | $6676.02       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCY28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261474 | PA      | $244933.72     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45636 | PA      | $42270.93      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410TWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4330 | PA      | $4507.92       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9943580 | PA      | $10285071.08   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SFJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        878 | PA      | $876.00        | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $49.55         | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43274 | PA      | $41941.73      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LUQ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     575329 | PA      | $564693.29     | 0.00%             | 2027-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4L76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13141 | PA      | $13626.40      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701118 | PA      | $676768.55     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201PMW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3570 | PA      | $3660.96       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KAJZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553782 | PA      | $512597.52     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67702 | PA      | $64928.10      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AWGX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11948 | PA      | $11748.97      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPBX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     128511 | PA      | $113220.35     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     401258 | PA      | $364547.87     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209FTR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47037 | PA      | $44139.66      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1507431 | PA      | $1246653.55    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22713 | PA      | $23264.99      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L0P71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1191 | PA      | $1221.19       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201GAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1938 | PA      | $1987.23       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     818917 | PA      | $768129.73     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QR5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2064236 | PA      | $1816342.53    | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBPK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60698 | PA      | $56269.17      | 0.00%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9TA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     964698 | PA      | $839150.12     | 0.00%             | 2043-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QD7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10417791 | PA      | $8510395.73    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YF7J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318463 | PA      | $310405.15     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151941 | PA      | $148032.92     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292504 | PA      | $284925.40     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197037 | PA      | $173875.58     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24002 | PA      | $23947.79      | 0.00%             | 2035-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11002082 | PA      | $9962207.35    | 0.03%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FXH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2723 | PA      | $2794.82       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1482257 | PA      | $1224916.08    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5962212 | PA      | $5811505.86    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FPET7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $9.69          | 0.00%             | 2027-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ5T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22156 | PA      | $20943.97      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2BA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3356 | PA      | $3272.09       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FN5P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1400657 | PA      | $1312423.67    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTWA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451082 | PA      | $434777.98     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3330008 | PA      | $3038515.87    | 0.01%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7BP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     553775 | PA      | $527655.52     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113535 | PA      | $114047.22     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36193M3G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69502 | PA      | $65149.35      | 0.00%             | 2046-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406WVS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8689 | PA      | $8908.30       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XK5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2799550 | PA      | $2870821.91    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1036447 | PA      | $1021275.25    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411NLG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5636 | PA      | $5989.71       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14203827 | PA      | $13435106.39   | 0.04%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WZSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2462 | PA      | $2398.43       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8KF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        565 | PA      | $561.12        | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLL84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4453577 | PA      | $4015326.51    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5907 | PA      | $6052.46       | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296BB76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29039 | PA      | $29799.07      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408BQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1204 | PA      | $1214.28       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450232 | PA      | $420294.71     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FG7K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180430 | PA      | $164985.59     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52377 | PA      | $51705.08      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161954 | PA      | $157943.68     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHEG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     238139 | PA      | $208632.06     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TYJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1656 | PA      | $1696.83       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1666984 | PA      | $1523630.03    | 0.00%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9DW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2479168 | PA      | $2447551.76    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAQZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        653 | PA      | $623.67        | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EP3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327573 | PA      | $288601.49     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVU96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42987 | PA      | $41466.58      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1701997 | PA      | $1554002.99    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929W57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3357 | PA      | $3444.93       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408YSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1032 | PA      | $1040.42       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288DVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1804 | PA      | $1859.29       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2811804 | PA      | $2460250.79    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2207639 | PA      | $1946433.38    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82378 | PA      | $82790.13      | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     802542 | PA      | $756233.02     | 0.00%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     912527 | PA      | $832908.51     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7RL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3759626 | PA      | $3494523.36    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33665 | PA      | $33103.82      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209986 | PA      | $195676.68     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2RV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154516 | PA      | $148611.81     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     807842 | PA      | $689056.93     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     414152 | PA      | $375582.07     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4658 | PA      | $4817.64       | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q6R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2179 | PA      | $2121.67       | 0.00%             | 2045-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNSK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283842 | PA      | $273169.27     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11046 | PA      | $11499.43      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $57.35         | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83229 | PA      | $84322.95      | 0.00%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQZQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12126444 | PA      | $11552807.04   | 0.03%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34465 | PA      | $32814.61      | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJYN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33274 | PA      | $30779.23      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WNM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $162.54        | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8ZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547701 | PA      | $514693.21     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178QY55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174798 | PA      | $160077.74     | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NXJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224977 | PA      | $208110.97     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411EC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $129.83        | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129312U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $372.50        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37677603 | PA      | $29571196.28   | 0.08%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JN3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1647901 | PA      | $1571506.42    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34608213 | PA      | $31180770.76   | 0.08%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207E6E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         99 | PA      | $99.25         | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15318 | PA      | $15763.46      | 0.00%             | 2047-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137296 | PA      | $115681.67     | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FE78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14895901 | PA      | $14677848.96   | 0.04%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.49          | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C6GA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5072 | PA      | $4784.65       | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BM78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2067072 | PA      | $1807990.46    | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XREQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14354986 | PA      | $11226843.79   | 0.03%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MSQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1058510 | PA      | $1029243.75    | 0.00%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0SZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        741 | PA      | $748.07        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6FR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307017 | PA      | $287494.64     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        593 | PA      | $601.84        | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394425 | PA      | $309133.92     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3513908 | PA      | $3242802.92    | 0.01%             | 2053-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37802 | PA      | $37330.03      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     458708 | PA      | $427236.08     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36547275 | PA      | $30121536.93   | 0.08%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTN55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19699455 | PA      | $20057639.54   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F3PT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37624 | PA      | $34073.35      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2688253 | PA      | $2551490.86    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5493 | PA      | $5366.05       | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     756340 | PA      | $732450.13     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        308 | PA      | $321.09        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201CJX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2934 | PA      | $3059.16       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHVR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     302621 | PA      | $274437.98     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3103 | PA      | $2890.70       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDKU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13268 | PA      | $12541.19      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EVE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         88 | PA      | $89.14         | 0.00%             | 2032-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N25W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3731620 | PA      | $3713041.26    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34687298 | PA      | $35317266.98   | 0.09%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K96B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8707 | PA      | $8936.56       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3553 | PA      | $3574.38       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90537 | PA      | $87410.86      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1686 | PA      | $1728.61       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757716 | PA      | $705116.15     | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEPW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621398 | PA      | $599615.26     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E8PJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639475 | PA      | $591536.61     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297BA77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1869 | PA      | $1888.73       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406VME3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        728 | PA      | $746.39        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AREZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16181605 | PA      | $13256260.46   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290UQG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3477 | PA      | $3405.83       | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHWU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282216 | PA      | $248008.31     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385WW88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        171 | PA      | $178.73        | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307DDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11447 | PA      | $11180.21      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSV74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7752400 | PA      | $8011352.57    | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213RXN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2283 | PA      | $2389.49       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EG2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28493 | PA      | $28017.49      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1946151 | PA      | $1704302.42    | 0.00%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7U72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6618080 | PA      | $5736606.18    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1821005 | PA      | $1910079.06    | 0.00%             | 2047-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8938079 | PA      | $7830618.25    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3385123 | PA      | $3066133.18    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20549 | PA      | $21279.30      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CLA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5073 | PA      | $4949.65       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     949612 | PA      | $867902.74     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293TFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $34.90         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128ME3Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24578 | PA      | $23818.06      | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11195392 | PA      | $11328235.35   | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q3J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23753 | PA      | $21710.10      | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413EX91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        656 | PA      | $672.17        | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TSQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2489 | PA      | $2595.30       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706430 | PA      | $697417.09     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3711162 | PA      | $3593579.94    | 0.01%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     667886 | PA      | $621201.86     | 0.00%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3445073 | PA      | $3076718.51    | 0.01%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9912460 | PA      | $9619293.44    | 0.03%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184CAQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1786 | PA      | $1682.93       | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2876973 | PA      | $2760872.30    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383LUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $22.74         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FNL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5738 | PA      | $5607.99       | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPPS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16772555 | PA      | $15877917.17   | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     326647 | PA      | $314388.01     | 0.00%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3791613 | PA      | $2947818.50    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GUWB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20110 | PA      | $18627.22      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413VTW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $199.52        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJEB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        805 | PA      | $838.75        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1096867 | PA      | $991989.69     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206PPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $9.91          | 0.00%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933AQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36891 | PA      | $36477.82      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4803658 | PA      | $4499595.77    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1344 | PA      | $1383.31       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EEPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123878 | PA      | $114591.04     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3168 | PA      | $3081.31       | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1126 | PA      | $1171.39       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTJX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1568 | PA      | $1560.24       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210GAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         68 | PA      | $69.86         | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9DZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9484 | PA      | $9574.31       | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2593546 | PA      | $2517531.80    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21068 | PA      | $17750.96      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1385599 | PA      | $1355475.44    | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AABZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     983473 | PA      | $946562.72     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14722037 | PA      | $13094571.98   | 0.03%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406652 | PA      | $367252.56     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27573 | PA      | $24156.93      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38912 | PA      | $37898.96      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMVN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2394515 | PA      | $1887411.19    | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKUC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4015946 | PA      | $3711554.35    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413LNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        536 | PA      | $559.21        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411NWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        490 | PA      | $520.43        | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617LC4N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     343511 | PA      | $299363.27     | 0.00%             | 2049-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNMM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8018318 | PA      | $6556325.08    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8B42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498383 | PA      | $448443.28     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16815 | PA      | $16241.10      | 0.00%             | 2028-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720655 | PA      | $699585.38     | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96943 | PA      | $95684.27      | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31377HLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $50.62         | 0.00%             | 2027-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72231 | PA      | $64836.83      | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XLAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     619745 | PA      | $557257.91     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1072163 | PA      | $1033281.30    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1274201 | PA      | $1101531.59    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PEZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     694624 | PA      | $626142.26     | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30668267 | PA      | $31302821.99   | 0.08%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3334 | PA      | $2985.40       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939NH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2805 | PA      | $2821.44       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14563 | PA      | $14380.79      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXRE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2920136 | PA      | $2695306.56    | 0.01%             | 2038-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LK95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     889116 | PA      | $823476.76     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133D1LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5799175 | PA      | $5638648.89    | 0.01%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296JP59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        323 | PA      | $326.31        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASPU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1994 | PA      | $1884.11       | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     644078 | PA      | $648285.27     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80341 | PA      | $72530.57      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188222 | PA      | $174111.62     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2331 | PA      | $2350.12       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14573 | PA      | $15284.68      | 0.00%             | 2037-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12840971 | PA      | $11493164.48   | 0.03%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJYG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21149 | PA      | $19153.23      | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ADPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5370 | PA      | $5288.23       | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10089056 | PA      | $8236440.01    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3P36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     403884 | PA      | $373847.26     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207EMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1568 | PA      | $1599.25       | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7339 | PA      | $7129.69       | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13249 | PA      | $11178.88      | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KR5X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17201299 | PA      | $17860506.87   | 0.05%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   76642603 | PA      | $60286781.12   | 0.16%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     779226 | PA      | $741638.64     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375159 | PA      | $328253.89     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNMP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6613171 | PA      | $5676165.23    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT4F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8116409 | PA      | $8407196.74    | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7015241 | PA      | $6637201.89    | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208PNX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.21          | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86887 | PA      | $83813.10      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     845341 | PA      | $789047.04     | 0.00%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $132.07        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDTZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      13720 | PA      | $13401.54      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8C96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2312680 | PA      | $1975890.87    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4395576 | PA      | $3689220.57    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M82F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15493 | PA      | $15313.48      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416MYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5042 | PA      | $4839.76       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4845124 | PA      | $4412940.65    | 0.01%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8326083 | PA      | $8642856.34    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWPW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30844 | PA      | $27894.71      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175776 | PA      | $162598.64     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208VVN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.50         | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10175 | PA      | $9920.90       | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7808018 | PA      | $7147083.61    | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36189MTJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122686 | PA      | $115000.27     | 0.00%             | 2046-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300526 | PA      | $274419.21     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245510 | PA      | $238316.33     | 0.00%             | 2031-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2536 | PA      | $2557.16       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200D2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        278 | PA      | $286.61        | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HHG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $56.03         | 0.00%             | 2031-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1510 | PA      | $1595.09       | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9Y94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159097 | PA      | $154898.33     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        771 | PA      | $790.98        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8618092 | PA      | $8723747.09    | 0.02%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WC4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9205 | PA      | $9057.94       | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12701842 | PA      | $11171700.46   | 0.03%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14500 | PA      | $14257.69      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2610913 | PA      | $2577401.24    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSJX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322155 | PA      | $301140.58     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5543746 | PA      | $5175123.51    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34708 | PA      | $30407.37      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2571702 | PA      | $2530415.43    | 0.01%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9H28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850940 | PA      | $775494.22     | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1708665 | PA      | $1581465.58    | 0.00%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353432 | PA      | $329931.02     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WEE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     974269 | PA      | $945338.21     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7480 | PA      | $7714.51       | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2097341 | PA      | $1964457.24    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42744054 | PA      | $34971498.62   | 0.09%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JABM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18920 | PA      | $16940.75      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4283765 | PA      | $3748176.28    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4305348 | PA      | $3510458.51    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1035 | PA      | $995.09        | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32789 | PA      | $31592.60      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0VN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3752778 | PA      | $3416388.64    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18570 | PA      | $19035.84      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNQ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5626473 | PA      | $5028563.88    | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1176671 | PA      | $1059389.64    | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7067 | PA      | $7108.88       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JWR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13867 | PA      | $13582.51      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8260 | PA      | $8477.87       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0HK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210871 | PA      | $204687.09     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6JE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13735848 | PA      | $13301784.40   | 0.03%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        745 | PA      | $763.10        | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     280345 | PA      | $252770.51     | 0.00%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        194 | PA      | $198.29        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934UK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12022 | PA      | $11887.77      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4S46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11728 | PA      | $12027.32      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     479669 | PA      | $494751.78     | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RYE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        572 | PA      | $570.34        | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     363443 | PA      | $340449.83     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120665 | PA      | $116061.97     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A33F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1460133 | PA      | $1309782.81    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4584610 | PA      | $4539959.97    | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BZN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1091 | PA      | $1162.51       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388GTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1167 | PA      | $1218.83       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BP83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     719723 | PA      | $630786.72     | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSLK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9201754 | PA      | $7591723.86    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MVW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3741 | PA      | $3694.70       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3809894 | PA      | $3451396.67    | 0.01%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1GK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     296594 | PA      | $285222.27     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBGZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215669 | PA      | $200936.99     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9989953 | PA      | $7778694.85    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210YYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         70 | PA      | $70.90         | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9YX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2217 | PA      | $2202.44       | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5F99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1736425 | PA      | $1666351.06    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XW5V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2596837 | PA      | $2441620.24    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFPJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1756293 | PA      | $1598799.03    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175990 | PA      | $172226.29     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129426V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1777 | PA      | $1708.39       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $71.76         | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK3T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13014677 | PA      | $10628286.30   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADXX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     364478 | PA      | $339580.66     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YJK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        129 | PA      | $130.13        | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE6W0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     113642 | PA      | $109696.89     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9565 | PA      | $8692.15       | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        395 | PA      | $429.89        | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528042 | PA      | $505518.21     | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXR36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1079 | PA      | $1078.21       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     306459 | PA      | $304836.47     | 0.00%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409TT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $215.60        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411UKQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        751 | PA      | $768.89        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AKSD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5736399 | PA      | $4511534.65    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2185662 | PA      | $2045519.18    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BALE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1025257 | PA      | $915126.16     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9CR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6763679 | PA      | $5801808.63    | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2790938 | PA      | $2613467.10    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402TWU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1685 | PA      | $1726.36       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRWK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16175482 | PA      | $15328005.72   | 0.04%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0LV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1520373 | PA      | $1280161.59    | 0.00%             | 2046-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291YF28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3326 | PA      | $3467.76       | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1705 | PA      | $1780.02       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        672 | PA      | $669.41        | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4XD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67688 | PA      | $65596.37      | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5YS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2854374 | PA      | $2713568.14    | 0.01%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     894638 | PA      | $805903.98     | 0.00%             | 2054-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8CT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1205938 | PA      | $1129604.49    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        494 | PA      | $512.99        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        358 | PA      | $371.01        | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934SC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2137 | PA      | $2113.30       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4657 | PA      | $4837.26       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406J2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2441 | PA      | $2502.56       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1094201 | PA      | $1067204.98    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TZG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     449192 | PA      | $438915.35     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7336873 | PA      | $6605593.15    | 0.02%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1874 | PA      | $1973.99       | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4101 | PA      | $3957.53       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113922 | PA      | $107183.49     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPFY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6560964 | PA      | $6575979.49    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   69214561 | PA      | $67437282.60   | 0.18%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295DNH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4752 | PA      | $4691.55       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AB51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1157409 | PA      | $1009797.84    | 0.00%             | 2054-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59875861 | PA      | $46801548.09   | 0.12%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5416 | PA      | $5555.35       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MAWR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323797 | PA      | $291934.41     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5P64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3346197 | PA      | $3259496.87    | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKZ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294424 | PA      | $272401.96     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GSN79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11857985 | PA      | $12031376.42   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPU49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11561177 | PA      | $10685097.14   | 0.03%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3138694 | PA      | $2679571.49    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YS3G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150508 | PA      | $145986.28     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMHY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3595743 | PA      | $3368255.72    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHP54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245049 | PA      | $233238.59     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207540 | PA      | $199309.60     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131X8NJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4822335 | PA      | $4690676.91    | 0.01%             | 2028-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9CC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13686 | PA      | $11869.15      | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     895438 | PA      | $840679.65     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162873 | PA      | $160157.38     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205C6T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $53.94         | 0.00%             | 2025-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L74A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2020706 | PA      | $1835906.23    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1585072 | PA      | $1359052.82    | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ES83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1079 | PA      | $1083.52       | 0.00%             | 2038-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJL57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23970 | PA      | $23701.08      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16763252 | PA      | $15957434.89   | 0.04%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1145 | PA      | $1201.98       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7207521 | PA      | $7026280.64    | 0.02%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201ETB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        276 | PA      | $280.37        | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y8VW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409910 | PA      | $378715.39     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     972770 | PA      | $763736.98     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YQCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54844 | PA      | $53217.19      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5757 | PA      | $5547.64       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRUC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9004 | PA      | $8636.78       | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30718 | PA      | $31479.30      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT2H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     456495 | PA      | $427622.79     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24229 | PA      | $23598.68      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGE96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4914738 | PA      | $4018625.70    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296KPH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6958 | PA      | $7208.24       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VNE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     241277 | PA      | $234707.91     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3862967 | PA      | $3005605.21    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180C4L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62585 | PA      | $57318.34      | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9RR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2413787 | PA      | $2243026.71    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4UW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     759997 | PA      | $681899.83     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20306 | PA      | $18157.99      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1871 | PA      | $1847.84       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16599268 | PA      | $13339577.40   | 0.03%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AXSS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34232 | PA      | $32985.35      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402TRS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        997 | PA      | $1021.54       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3747919 | PA      | $3279326.06    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBKN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55920 | PA      | $51196.72      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178CUJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54246 | PA      | $49681.39      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1277 | PA      | $1313.08       | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177577 | PA      | $172597.74     | 0.00%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2015 | PA      | $1992.73       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941UZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1022058 | PA      | $1027979.05    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411BLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        968 | PA      | $1008.20       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        102 | PA      | $104.41        | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EM65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6092258 | PA      | $5476849.04    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161929 | PA      | $156254.48     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202SCL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3827 | PA      | $3895.68       | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LPD66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     812126 | PA      | $716703.93     | 0.00%             | 2036-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320662 | PA      | $301307.34     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MYWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1827825 | PA      | $1815807.24    | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1208387 | PA      | $1101373.71    | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4LV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      19391 | PA      | $19902.80      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43941819 | PA      | $36399320.97   | 0.10%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1027326 | PA      | $1014493.64    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1219 | PA      | $1229.03       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407Q6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1517 | PA      | $1529.10       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LNT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5767893 | PA      | $4777223.81    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2999984 | PA      | $2641032.46    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411HXC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2806 | PA      | $2876.44       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294XPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        686 | PA      | $709.20        | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3095 | PA      | $3107.26       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946ML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22321 | PA      | $21975.77      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J95Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1026771 | PA      | $964781.47     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QA2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11951508 | PA      | $10767884.31   | 0.03%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLE86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4210412 | PA      | $3480116.18    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LRK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69692 | PA      | $64467.72      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4697 | PA      | $4864.78       | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KB2U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351845 | PA      | $318242.20     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A0M43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1838088 | PA      | $1658305.74    | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413AWR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        858 | PA      | $879.12        | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1310115 | PA      | $1248669.56    | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  107742453 | PA      | $107549247.96  | 0.28%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7594229 | PA      | $6545877.64    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $76.57         | 0.00%             | 2031-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6160 | PA      | $6320.16       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQ6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7449 | PA      | $7208.20       | 0.00%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1798040 | PA      | $1503614.90    | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KWUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1101 | PA      | $1149.55       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTWA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        872 | PA      | $865.78        | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411FCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        508 | PA      | $511.71        | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27796047 | PA      | $25262336.79   | 0.07%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1867040 | PA      | $1526619.49    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2196 | PA      | $2217.24       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FP6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765466 | PA      | $693055.63     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1002228 | PA      | $989446.46     | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158401 | PA      | $149930.18     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1227805 | PA      | $1145432.22    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7YY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     554978 | PA      | $528405.13     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621834 | PA      | $538553.18     | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5142448 | PA      | $4657661.98    | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7271087 | PA      | $6285880.87    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5C75<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     353515 | PA      | $347351.62     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944NU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     374369 | PA      | $360062.99     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1T63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609711 | PA      | $563569.91     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1030 | PA      | $1055.42       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVUW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1048824 | PA      | $1046417.98    | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     579241 | PA      | $544286.09     | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AJC80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1043 | PA      | $1025.89       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2416 | PA      | $2330.64       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53940 | PA      | $49358.51      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406ULW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2603 | PA      | $2624.19       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K24E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523917 | PA      | $501295.52     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413QKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2581 | PA      | $2691.88       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XZJT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22475 | PA      | $21246.95      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YQA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50857 | PA      | $48878.99      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4513492 | PA      | $4276695.67    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  257948397 | PA      | $201680178.42  | 0.53%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4463866 | PA      | $4102772.19    | 0.01%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9KT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193944 | PA      | $176768.02     | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161811 | PA      | $146556.95     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     767209 | PA      | $671060.02     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16797863 | PA      | $16424075.95   | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7312540 | PA      | $5737222.00    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXQE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18381 | PA      | $18864.09      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388KMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $276.92        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1302054 | PA      | $1130408.84    | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8F29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2021654 | PA      | $1776606.84    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XR7K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     452923 | PA      | $407777.68     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24251997 | PA      | $23585341.32   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1584602 | PA      | $1298625.75    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMRZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7343 | PA      | $7240.08       | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182UZG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70473 | PA      | $69419.42      | 0.00%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSAF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6567632 | PA      | $6770886.22    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412V6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $187.29        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQLA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10283219 | PA      | $9732330.89    | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JQEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31306 | PA      | $30764.25      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418V5T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6908 | PA      | $6939.16       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FJCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6047 | PA      | $5290.99       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWT52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     606472 | PA      | $566885.92     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6CQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8317268 | PA      | $7208195.94    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8CQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477687 | PA      | $466269.21     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46023 | PA      | $43299.82      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30700087 | PA      | $24677221.68   | 0.06%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M12Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6425651 | PA      | $5663573.24    | 0.01%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414KD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3869 | PA      | $3962.60       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1319686 | PA      | $1306833.22    | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MDX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $31.34         | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4757119 | PA      | $4162348.00    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        278 | PA      | $284.76        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2867 | PA      | $2848.07       | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AHU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2648947 | PA      | $2718863.04    | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291NR37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4664 | PA      | $4842.87       | 0.00%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1737 | PA      | $1714.57       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBRL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3919372 | PA      | $3559674.02    | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2893422 | PA      | $2587767.66    | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303538 | PA      | $291993.55     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1933 | PA      | $1983.49       | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BSX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2985936 | PA      | $2879509.68    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284637 | PA      | $248964.93     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QB2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1278256 | PA      | $1223108.66    | 0.00%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1733361 | PA      | $1622073.14    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1547 | PA      | $1599.65       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LV2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3206395 | PA      | $2757126.23    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVGK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3759903 | PA      | $3555816.17    | 0.01%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27939849 | PA      | $25168660.67   | 0.07%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53890 | PA      | $52886.82      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5HZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3138 | PA      | $3167.60       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4UU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6532 | PA      | $6293.93       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LFZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4702 | PA      | $4855.17       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DCW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $87.33         | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390M4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        211 | PA      | $221.61        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW4X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3517431 | PA      | $3260424.00    | 0.01%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17932356 | PA      | $17265763.69   | 0.05%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5KQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10158 | PA      | $9842.83       | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BNL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1533689 | PA      | $1496746.21    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   66721089 | PA      | $54597080.09   | 0.14%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMGU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        794 | PA      | $786.36        | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NEC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        478 | PA      | $483.76        | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1522192 | PA      | $1368315.86    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AUN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45774 | PA      | $44635.69      | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FWN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $4.26          | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600531 | PA      | $555543.34     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2581 | PA      | $2544.15       | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     203547 | PA      | $191801.34     | 0.00%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112186 | PA      | $109256.95     | 0.00%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17021461 | PA      | $15887938.45   | 0.04%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14887 | PA      | $15260.11      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200AY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13311 | PA      | $13700.84      | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4603954 | PA      | $4656001.88    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XY3L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22672 | PA      | $22082.44      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C4RF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20540 | PA      | $20120.90      | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161491 | PA      | $158478.11     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84580 | PA      | $83005.19      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRP74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13371053 | PA      | $13531370.91   | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K4LW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        627 | PA      | $643.30        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234130 | PA      | $205769.63     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L1CB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2179000 | PA      | $1807526.46    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXV51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8787 | PA      | $8611.79       | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1964 | PA      | $1939.62       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEHX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115277 | PA      | $112614.09     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3720488 | PA      | $3222075.34    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179FQ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8042 | PA      | $7148.61       | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     982081 | PA      | $849604.89     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6055955 | PA      | $5435987.51    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103288 | PA      | $99056.40      | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20024 | PA      | $20114.24      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4E26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528664 | PA      | $495200.61     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5258 | PA      | $4820.34       | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180NAR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138539 | PA      | $123162.78     | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7JT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56304 | PA      | $53247.92      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466968 | PA      | $461249.83     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296LK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2013 | PA      | $2035.64       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPFK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2272133 | PA      | $2030855.23    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3U67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529715 | PA      | $480154.17     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406QJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $221.25        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6B74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8703388 | PA      | $8032481.53    | 0.02%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   84358231 | PA      | $68925022.88   | 0.18%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F020463<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60295791 | PA      | $54437591.83   | 0.14%             | 2039-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YDFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111459 | PA      | $98508.63      | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X67G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12875 | PA      | $12528.20      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QANZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1584806 | PA      | $1564641.52    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BX26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2198 | PA      | $2219.50       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412128 | PA      | $392644.39     | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98344 | PA      | $94410.30      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49686699 | PA      | $40898760.98   | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VV23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     934769 | PA      | $841598.93     | 0.00%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QEP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     399649 | PA      | $387103.13     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRCA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6210409 | PA      | $6067941.86    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5VU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8776 | PA      | $9000.01       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HEE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $85.02         | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YA2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     629574 | PA      | $608532.06     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1690381 | PA      | $1588275.42    | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406283 | PA      | $363690.72     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HER2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        690 | PA      | $706.32        | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417G2X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1467863 | PA      | $1357112.44    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHU32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233454 | PA      | $196569.35     | 0.00%             | 2045-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10921277 | PA      | $10011740.23   | 0.03%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQ2A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8868573 | PA      | $8403095.68    | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KZ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13864 | PA      | $13332.41      | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C2MB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3647210 | PA      | $3537143.79    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9AM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1528 | PA      | $1516.90       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3FD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4991 | PA      | $4613.44       | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109625 | PA      | $106722.07     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1057628 | PA      | $902113.95     | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA4A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448840 | PA      | $409848.68     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XX6Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     893098 | PA      | $806567.73     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101066 | PA      | $93417.74      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        976 | PA      | $1017.49       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA3D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2762955 | PA      | $2803393.17    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20081989 | PA      | $18744654.13   | 0.05%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63335104 | PA      | $63072520.22   | 0.16%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQYJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5587370 | PA      | $5205695.06    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     476518 | PA      | $430955.97     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMYC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3185924 | PA      | $2598701.17    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2V47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118426 | PA      | $107591.15     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194YBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1391479 | PA      | $1259866.31    | 0.00%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107610 | PA      | $103790.64     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12375788 | PA      | $10340528.32   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BXX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        398 | PA      | $416.25        | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGKA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3328 | PA      | $3470.57       | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293EME7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $56.68         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2141048 | PA      | $1675875.10    | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1497870 | PA      | $1439431.04    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412YCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        584 | PA      | $597.88        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22376 | PA      | $21945.02      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209MK37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        231 | PA      | $233.01        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XLC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291367 | PA      | $285908.85     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     366787 | PA      | $341048.88     | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HTP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $226.30        | 0.00%             | 2032-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRGW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11031 | PA      | $9651.55       | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488109 | PA      | $437950.75     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YL2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2524 | PA      | $2217.51       | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1LV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2540 | PA      | $2494.37       | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GR6Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40298552 | PA      | $40791091.79   | 0.11%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1751982 | PA      | $1730096.85    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPQC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37069227 | PA      | $32933598.63   | 0.09%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7KA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     731160 | PA      | $705725.54     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUHE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7720634 | PA      | $6356877.65    | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E9JY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9844862 | PA      | $9106803.93    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQQN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1139128 | PA      | $1031707.88    | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415STQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23335 | PA      | $24332.01      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12163 | PA      | $11256.91      | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7V48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494549 | PA      | $463982.02     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414R4E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1620 | PA      | $1667.95       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7DD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     634477 | PA      | $571851.87     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4342 | PA      | $4335.12       | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1318768 | PA      | $1198151.40    | 0.00%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LKD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15211 | PA      | $15361.03      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        506 | PA      | $519.12        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36758 | PA      | $36144.72      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         63 | PA      | $64.25         | 0.00%             | 2029-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPDH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2071721 | PA      | $1960079.90    | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G4T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403568 | PA      | $413563.64     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPX82<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     721386 | PA      | $635984.05     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AUF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    4013020 | PA      | $3651946.25    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEKZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3774994 | PA      | $3455896.88    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5CK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12455 | PA      | $12278.14      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9T29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     465421 | PA      | $450368.49     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPN78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153974 | PA      | $144228.06     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31365EJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $64.31         | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414LKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4289 | PA      | $4472.43       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AASB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2978 | PA      | $2932.52       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DRY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216169 | PA      | $199968.87     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945W79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35917 | PA      | $34538.36      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6QG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136910 | PA      | $135162.99     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEYW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7565522 | PA      | $6844017.21    | 0.02%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LDJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1535 | PA      | $1585.37       | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPAE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19414635 | PA      | $18925895.25   | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2040330 | PA      | $1861859.78    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BZN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        755 | PA      | $790.35        | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175712 | PA      | $169363.63     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401LRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2119 | PA      | $2115.15       | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1696678 | PA      | $1659677.71    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932EY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2589 | PA      | $2560.35       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3ZZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221929 | PA      | $203295.85     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L8H26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16037952 | PA      | $14138017.50   | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMN56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24226 | PA      | $23906.58      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2720511 | PA      | $2398225.57    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282390 | PA      | $283803.23     | 0.00%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M3H7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     468526 | PA      | $452467.07     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERW63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93188 | PA      | $91813.70      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1368 | PA      | $1454.90       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M66S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $357.42        | 0.00%             | 2038-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4536 | PA      | $4923.33       | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415585 | PA      | $408663.41     | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18971897 | PA      | $17220357.76   | 0.05%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185CAP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25289 | PA      | $23784.81      | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287321 | PA      | $281747.43     | 0.00%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177LJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1278 | PA      | $1171.93       | 0.00%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FZ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15035 | PA      | $13783.28      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KY2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7124660 | PA      | $5639305.00    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689129 | PA      | $627199.61     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307QMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2250 | PA      | $2161.58       | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85150 | PA      | $82027.30      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0TZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2139048 | PA      | $2175375.95    | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9764 | PA      | $9591.20       | 0.00%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        525 | PA      | $543.19        | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     317451 | PA      | $287097.51     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296NGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        251 | PA      | $253.08        | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297LU57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $275.54        | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPPB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6775143 | PA      | $6607984.92    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0R89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143643 | PA      | $138881.96     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11537240 | PA      | $10877490.64   | 0.03%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22314 | PA      | $21745.17      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380X6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $162.66        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWGU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1709882 | PA      | $1508495.03    | 0.00%             | 2036-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        556 | PA      | $573.07        | 0.00%             | 2038-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125193 | PA      | $114410.81     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1BC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495580 | PA      | $485423.74     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1MW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311114 | PA      | $273403.77     | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1509309 | PA      | $1418228.56    | 0.00%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15522 | PA      | $14906.15      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376ZGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.26          | 0.00%             | 2027-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28307239 | PA      | $23321488.87   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295J6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        891 | PA      | $931.93        | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4AC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28208 | PA      | $27180.97      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8TN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     887204 | PA      | $866735.27     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474518 | PA      | $442103.23     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1127954 | PA      | $1028271.58    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5578497 | PA      | $5084468.53    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTMT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152500 | PA      | $146848.35     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473288 | PA      | $474146.20     | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M8QN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7182480 | PA      | $6498330.23    | 0.02%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        739 | PA      | $758.10        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1885 | PA      | $1873.84       | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24788 | PA      | $24075.70      | 0.00%             | 2050-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP4B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57576601 | PA      | $57625966.76   | 0.15%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10712566 | PA      | $9814572.76    | 0.03%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298QJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2029 | PA      | $2071.26       | 0.00%             | 2030-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4202268 | PA      | $3722963.54    | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201YL53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7211 | PA      | $7402.78       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382K4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $180.54        | 0.00%             | 2029-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210MQS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1089 | PA      | $1104.21       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDYQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1907256 | PA      | $1729632.99    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6784853 | PA      | $5606401.26    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105135 | PA      | $101401.43     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192656 | PA      | $173547.94     | 0.00%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12628292 | PA      | $11225737.94   | 0.03%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J5NT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72483 | PA      | $69707.05      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABCC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2817691 | PA      | $2191428.94    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KR2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10410274 | PA      | $8235297.43    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1WT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1838 | PA      | $1614.87       | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     307488 | PA      | $307701.49     | 0.00%             | 2052-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4590 | PA      | $4531.53       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ABBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28447 | PA      | $27149.97      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D55W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2998603 | PA      | $2728039.26    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1389726 | PA      | $1215971.93    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y6EA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7930488 | PA      | $8047786.38    | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3381716 | PA      | $3363492.26    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21611 | PA      | $20419.12      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177WAB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83328 | PA      | $76311.11      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16056547 | PA      | $13720141.56   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2066 | PA      | $2116.92       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5317 | PA      | $4846.70       | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5451312 | PA      | $4907969.69    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GN4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131021 | PA      | $118326.25     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412BFS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        115 | PA      | $118.18        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DEK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1088 | PA      | $1148.80       | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22341050 | PA      | $19033188.41   | 0.05%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ABM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4821 | PA      | $4740.50       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WVZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2478 | PA      | $2537.59       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2534 | PA      | $2597.73       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69711 | PA      | $68687.60      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144081 | PA      | $130847.06     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L1WP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        816 | PA      | $851.98        | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YA65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10515 | PA      | $10875.37      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1384 | PA      | $1445.01       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJEQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413656 | PA      | $395915.28     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     968323 | PA      | $840672.86     | 0.00%             | 2047-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9US4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127304 | PA      | $121909.14     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        806 | PA      | $826.30        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AAMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97959 | PA      | $98352.88      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1257203 | PA      | $1124226.54    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300709 | PA      | $264729.15     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182WT45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185852 | PA      | $175087.06     | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     529586 | PA      | $485265.50     | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASX65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5488674 | PA      | $4318858.59    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11362 | PA      | $10995.39      | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     761867 | PA      | $667466.29     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2630807 | PA      | $2318877.13    | 0.01%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14867 | PA      | $15476.79      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        368 | PA      | $384.55        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369231 | PA      | $354351.83     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56035384 | PA      | $50593804.44   | 0.13%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XNS61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261902 | PA      | $234239.00     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WSR67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129593 | PA      | $127376.70     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        228 | PA      | $235.08        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23485 | PA      | $24096.76      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200TVH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4414 | PA      | $4553.69       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4623285 | PA      | $4026443.90    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43146820 | PA      | $43021047.92   | 0.11%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198RLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6872 | PA      | $6473.98       | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQMC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57605 | PA      | $53844.80      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     886901 | PA      | $772356.16     | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1628 | PA      | $1625.07       | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17808 | PA      | $17478.02      | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118654 | PA      | $119128.79     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J57D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62545 | PA      | $60339.75      | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NXSD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1537440 | PA      | $1467443.67    | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10126378 | PA      | $8139945.62    | 0.02%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MC3E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1588 | PA      | $1575.28       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     827747 | PA      | $772176.68     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1508283 | PA      | $1452682.07    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFC49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1733781 | PA      | $1558770.94    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119699 | PA      | $118031.01     | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y7S65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1312048 | PA      | $1262560.54    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SYJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     382421 | PA      | $374712.31     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSRA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13574 | PA      | $11430.59      | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AXWR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1143566 | PA      | $945026.43     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192895 | PA      | $178439.04     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     822491 | PA      | $744816.85     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3446 | PA      | $3532.53       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNHK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9997277 | PA      | $7802458.72    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BAVK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139516 | PA      | $137791.12     | 0.00%             | 2047-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7198 | PA      | $7374.21       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XJX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6187248 | PA      | $5942189.38    | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26082779 | PA      | $20367183.87   | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7MQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410264 | PA      | $413002.45     | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GRC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27116 | PA      | $24833.85      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9ED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1017041 | PA      | $880950.06     | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     709514 | PA      | $642617.34     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23554925 | PA      | $22279388.44   | 0.06%             | 2054-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5939479 | PA      | $4862398.42    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5201 | PA      | $5411.43       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414E3F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3101 | PA      | $3233.36       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5BA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5233167 | PA      | $4549794.34    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AUYF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10369704 | PA      | $10325816.66   | 0.03%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7967797 | PA      | $7919946.59    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y7F28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8488 | PA      | $8224.75       | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7WW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269011 | PA      | $260235.92     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8453 | PA      | $8779.91       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     764144 | PA      | $698430.63     | 0.00%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16489916 | PA      | $13524418.65   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QL7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1006276 | PA      | $820801.25     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493565 | PA      | $423374.29     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3R61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507664 | PA      | $490287.02     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7VX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301366 | PA      | $278824.16     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335828 | PA      | $330963.67     | 0.00%             | 2027-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AUDF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22119 | PA      | $20620.79      | 0.00%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24377 | PA      | $23955.06      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XXH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3017981 | PA      | $2574216.84    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WV3Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6598 | PA      | $5900.44       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72905 | PA      | $73441.55      | 0.00%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     649620 | PA      | $588271.59     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9F79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     658661 | PA      | $635830.16     | 0.00%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1315 | PA      | $1262.44       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHNZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     569610 | PA      | $606959.91     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2298075 | PA      | $2077452.13    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJMR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13703 | PA      | $12042.26      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WSB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300647 | PA      | $268764.29     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4G56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        175 | PA      | $179.47        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCNH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9110 | PA      | $9512.62       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20415033 | PA      | $18982452.35   | 0.05%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8W64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267831 | PA      | $258529.42     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUKT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2959 | PA      | $2849.73       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HXS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1972 | PA      | $1993.50       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QMNN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109567 | PA      | $100406.12     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7XT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225074 | PA      | $205421.50     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2UZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57268 | PA      | $50314.29      | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HZH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      14208 | PA      | $14574.77      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142335 | PA      | $138498.54     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QS7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9715421 | PA      | $9631926.46    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FPR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        835 | PA      | $861.08        | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30991 | PA      | $30446.60      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1435813 | PA      | $1400867.05    | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $134.29        | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391448 | PA      | $386453.83     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374W2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $47.69         | 0.00%             | 2025-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388FNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        710 | PA      | $734.95        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410582 | PA      | $367154.28     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6457342 | PA      | $6016238.59    | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y25M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2258091 | PA      | $2167082.38    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34596394 | PA      | $27029212.55   | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352205 | PA      | $308170.06     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39865 | PA      | $39353.54      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9WF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14177 | PA      | $13808.36      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A7WZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1092129 | PA      | $945146.43     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2161 | PA      | $2214.95       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295SW85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5342 | PA      | $5415.40       | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4912832 | PA      | $4775084.61    | 0.01%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198454 | PA      | $176159.51     | 0.00%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVSY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6593751 | PA      | $5216144.93    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293PAX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1005 | PA      | $1009.94       | 0.00%             | 2029-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6F55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9713950 | PA      | $8388695.11    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10820053 | PA      | $9914528.18    | 0.03%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJL24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12620 | PA      | $12478.65      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CLL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6508 | PA      | $6749.80       | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AG7A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     279149 | PA      | $275697.97     | 0.00%             | 2047-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAZV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176918 | PA      | $169720.31     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABSH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1871373 | PA      | $1550156.84    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8SF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610346 | PA      | $506037.01     | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FDA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        935 | PA      | $957.91        | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KDAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1121344 | PA      | $937957.90     | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933BM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2421 | PA      | $2393.82       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1895341 | PA      | $1645355.94    | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YGE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6214 | PA      | $6247.87       | 0.00%             | 2037-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5DD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     422207 | PA      | $401317.44     | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3B4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1577549 | PA      | $1474643.24    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6999859 | PA      | $5482167.31    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3631865 | PA      | $3244585.96    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M7W43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776404 | PA      | $718218.97     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417V3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23050 | PA      | $22762.12      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331994 | PA      | $320305.30     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26469 | PA      | $25928.36      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309947 | PA      | $299326.86     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWZ31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1264132 | PA      | $1169169.62    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389WYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $403.55        | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29429 | PA      | $29601.07      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670197 | PA      | $613968.50     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82934 | PA      | $80260.54      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129336D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12074 | PA      | $11603.84      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M57K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609717 | PA      | $564097.40     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8AJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1007 | PA      | $1003.72       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PUC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     303177 | PA      | $294949.18     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1005641 | PA      | $906380.37     | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJSN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1684829 | PA      | $1514810.24    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LJ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7883 | PA      | $7755.55       | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRP85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344025 | PA      | $313187.65     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSGZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18458430 | PA      | $14466961.22   | 0.04%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7ZP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1644188 | PA      | $1610608.80    | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4KA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2886038 | PA      | $2488526.54    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299503 | PA      | $271235.81     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202U6S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8002 | PA      | $8208.06       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14641 | PA      | $14342.33      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4686176 | PA      | $4376017.01    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416HAF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $314.87        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M86U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20457 | PA      | $20565.84      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9HM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2839 | PA      | $2667.16       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L87K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1183753 | PA      | $1070946.74    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409GGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3396 | PA      | $3420.44       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QW2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5690 | PA      | $5160.44       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129274H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1558 | PA      | $1626.62       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJDW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5981578 | PA      | $6003932.98    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMRA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27460 | PA      | $26588.79      | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2E24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14304313 | PA      | $11302967.91   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25347 | PA      | $25578.14      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6698 | PA      | $6499.12       | 0.00%             | 2029-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1AB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39717669 | PA      | $31030323.96   | 0.08%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163710 | PA      | $144049.80     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13753592 | PA      | $11309857.60   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJLW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2325 | PA      | $2299.22       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2848522 | PA      | $2769663.62    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7R62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2957115 | PA      | $2772852.93    | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184447 | PA      | $177517.52     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159434 | PA      | $153633.09     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        314 | PA      | $328.30        | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLUN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8879485 | PA      | $7947481.84    | 0.02%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADUJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1534631 | PA      | $1555590.32    | 0.00%             | 2048-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        575 | PA      | $574.39        | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XY5R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     682633 | PA      | $658020.70     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     605038 | PA      | $486223.55     | 0.00%             | 2052-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EEBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7194 | PA      | $7089.36       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2962787 | PA      | $2429004.26    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1134325 | PA      | $1115412.94    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ABT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602106 | PA      | $588240.68     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23047 | PA      | $23617.67      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384VVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        318 | PA      | $337.90        | 0.00%             | 2030-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JPS52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     282171 | PA      | $277281.95     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJPG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11334 | PA      | $11203.33      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383UR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $218.14        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12157504 | PA      | $12328753.43   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QH93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3158 | PA      | $3269.84       | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1109736 | PA      | $1067893.98    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     579100 | PA      | $565482.25     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1044472 | PA      | $971219.55     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MDPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149912 | PA      | $143994.34     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1165691 | PA      | $1054219.34    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9SE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4078 | PA      | $3799.63       | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GR24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $70.47         | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2H82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     184462 | PA      | $182082.77     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5313034 | PA      | $4804834.81    | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7404079 | PA      | $7126198.83    | 0.02%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPDP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5266895 | PA      | $4921511.18    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178EDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11750 | PA      | $10445.96      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210QZP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         69 | PA      | $69.45         | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9956 | PA      | $9793.70       | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNUX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10354195 | PA      | $8514464.67    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391RZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1988 | PA      | $2046.49       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ANDM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        820 | PA      | $803.22        | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31781245 | PA      | $27807715.31   | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59805 | PA      | $58137.74      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KC3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534315 | PA      | $508731.38     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ACD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4150 | PA      | $4080.40       | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403MX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2407 | PA      | $2466.48       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        888 | PA      | $909.61        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7X37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20391 | PA      | $19300.49      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGNL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310025 | PA      | $311260.04     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   64505400 | PA      | $52615907.03   | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7507578 | PA      | $6766944.19    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1RD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518493 | PA      | $473220.22     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127664 | PA      | $123147.71     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7T64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477674 | PA      | $469295.22     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219113 | PA      | $202686.44     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QPV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $71.37         | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVCL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16973316 | PA      | $17177223.14   | 0.04%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1858928 | PA      | $1752625.93    | 0.00%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     292906 | PA      | $288605.56     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1093000 | PA      | $956511.33     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M6XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757189 | PA      | $700423.79     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8599546 | PA      | $7390817.34    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6VS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400797 | PA      | $375114.14     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EYL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17745 | PA      | $18300.73      | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1495 | PA      | $1555.12       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMLY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        975 | PA      | $953.37        | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XMC86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184511 | PA      | $164978.67     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39755313 | PA      | $31152951.65   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4666 | PA      | $4789.03       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKE62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128631 | PA      | $118987.50     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5297062 | PA      | $4888734.16    | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.06         | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176RRQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7834 | PA      | $7666.77       | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33814 | PA      | $32404.28      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374GSG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $10.91         | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45565 | PA      | $45833.24      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UXW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     499429 | PA      | $492496.42     | 0.00%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4342352 | PA      | $4130152.21    | 0.01%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2945545 | PA      | $2434156.79    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ABBZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109544 | PA      | $101332.02     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     797533 | PA      | $722168.68     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         63 | PA      | $63.49         | 0.00%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134479 | PA      | $129284.49     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2094316 | PA      | $1894067.61    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A8SP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4575184 | PA      | $3975433.00    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0LA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8554766 | PA      | $8688344.86    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228873 | PA      | $204680.81     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377770 | PA      | $351331.76     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE2D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     281913 | PA      | $272447.44     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MBLC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1006935 | PA      | $782849.22     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283069 | PA      | $274069.24     | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17319954 | PA      | $14161979.29   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153381 | PA      | $147400.43     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     735251 | PA      | $708264.32     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1214 | PA      | $1224.49       | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AA57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20838 | PA      | $20490.36      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     317748 | PA      | $321069.47     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KHFE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1067 | PA      | $1111.80       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        125 | PA      | $130.72        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9259142 | PA      | $7625460.63    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QK6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433107 | PA      | $400932.96     | 0.00%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8V40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601988 | PA      | $545812.23     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8K91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2129588 | PA      | $1860611.63    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339USM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     673887 | PA      | $574798.51     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8748075 | PA      | $6801565.11    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     575969 | PA      | $503956.74     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25163 | PA      | $25786.58      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YL2H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1552349 | PA      | $1418650.59    | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1814158 | PA      | $1751275.58    | 0.00%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSEH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     157564 | PA      | $142498.86     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7E74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1462020 | PA      | $1410138.01    | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K6BQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914199 | PA      | $879348.57     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27220497 | PA      | $22573462.58   | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1527048 | PA      | $1478284.99    | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J9T99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     448310 | PA      | $431484.14     | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $71.61         | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     462943 | PA      | $432882.29     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4DF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4471 | PA      | $4352.74       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A6JG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10462 | PA      | $9839.76       | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105971 | PA      | $104196.48     | 0.00%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     783651 | PA      | $690735.19     | 0.00%             | 2048-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210B4E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36667 | PA      | $37041.29      | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13626611 | PA      | $10709560.42   | 0.03%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287L7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $356.19        | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2749 | PA      | $2821.19       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172650 | PA      | $165964.05     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3746520 | PA      | $3860779.58    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CK78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3773 | PA      | $3728.21       | 0.00%             | 2032-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KL4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3994748 | PA      | $3322862.84    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WGP35<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     301096 | PA      | $273559.36     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUJM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     284249 | PA      | $259918.19     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407HWC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        310 | PA      | $311.79        | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPME2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164463 | PA      | $159109.03     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        857 | PA      | $840.93        | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BKK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2668862 | PA      | $2423997.87    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9H48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257074 | PA      | $257438.10     | 0.00%             | 2034-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGVQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5538 | PA      | $5015.10       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M76T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12228 | PA      | $12086.87      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4237 | PA      | $4054.03       | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3009329 | PA      | $2391964.30    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3396348 | PA      | $3170513.60    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QPU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38145 | PA      | $40384.93      | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2G51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1982598 | PA      | $1809483.76    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSGM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46955 | PA      | $45294.24      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33593 | PA      | $33172.93      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AFWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1475645 | PA      | $1533871.03    | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FFX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5360570 | PA      | $5118675.14    | 0.01%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0VE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      37448 | PA      | $36860.87      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3988677 | PA      | $3922254.19    | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ATFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1446 | PA      | $1432.00       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2XF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1341569 | PA      | $1217904.61    | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56795 | PA      | $54747.61      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243065 | PA      | $229440.42     | 0.00%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMXX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58971343 | PA      | $48577758.86   | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BQLT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151238 | PA      | $136943.99     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5XZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     913049 | PA      | $828758.34     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207PS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        367 | PA      | $368.18        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $150.55        | 0.00%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NJC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1149 | PA      | $1197.78       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2373 | PA      | $2431.89       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FVM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7427 | PA      | $7488.71       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20924 | PA      | $19492.54      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     566113 | PA      | $541323.40     | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4R59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143873 | PA      | $141183.73     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCZ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189119 | PA      | $184606.74     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QC82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2716259 | PA      | $2606643.55    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13309388 | PA      | $12930324.44   | 0.03%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293BAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $72.87         | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941SE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16707 | PA      | $16513.56      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        189 | PA      | $193.07        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213972 | PA      | $184780.37     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1892253 | PA      | $1797022.60    | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQXV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1113509 | PA      | $1039480.61    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54184 | PA      | $55495.00      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43605 | PA      | $43923.56      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4973188 | PA      | $4286660.52    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23947770 | PA      | $21690178.87   | 0.06%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9U88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288915 | PA      | $289350.10     | 0.00%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XREL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1869999 | PA      | $1737079.57    | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139635 | PA      | $134762.32     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53148 | PA      | $50970.14      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367969 | PA      | $365783.29     | 0.00%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     768388 | PA      | $746297.86     | 0.00%             | 2050-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7HN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110356 | PA      | $97803.30      | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     721224 | PA      | $682672.66     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJUG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274475 | PA      | $249808.71     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434848 | PA      | $436807.63     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6989377 | PA      | $6842013.62    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RRD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        815 | PA      | $836.50        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GB5N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     926801 | PA      | $859739.32     | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DSU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4355 | PA      | $4470.11       | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV56<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   18654542 | PA      | $16414824.31   | 0.04%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MNS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1244 | PA      | $1275.29       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A8LE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5341 | PA      | $5257.30       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377820 | PA      | $359579.67     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153945 | PA      | $152934.24     | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G82Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     406648 | PA      | $387186.19     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YE60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15890211 | PA      | $14154229.94   | 0.04%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197FQW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251872 | PA      | $228066.07     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K26E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        898 | PA      | $934.53        | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WPB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132420 | PA      | $135698.22     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF3E7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2637218 | PA      | $2391613.92    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ADGZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2058432 | PA      | $1600394.75    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48005484 | PA      | $39505643.27   | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMSK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8565841 | PA      | $7659848.50    | 0.02%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4862644 | PA      | $4595928.57    | 0.01%             | 2054-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHZD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68229 | PA      | $67246.64      | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384V4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $98.20         | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326720 | PA      | $317076.52     | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L8T31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2391645 | PA      | $2163108.95    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5708 | PA      | $5754.88       | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55842 | PA      | $54326.92      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297TMN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      56450 | PA      | $56990.55      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP2Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29847778 | PA      | $27428345.26   | 0.07%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCRT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263499 | PA      | $257851.70     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   64275000 | PA      | $49930203.84   | 0.13%             | 2054-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307W5U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242498 | PA      | $232665.77     | 0.00%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5028 | PA      | $4829.08       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395911 | PA      | $381329.43     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131356 | PA      | $115541.33     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        667 | PA      | $685.42        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AHM42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3459 | PA      | $3392.44       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26134479 | PA      | $23095091.59   | 0.06%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XUAU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94163 | PA      | $91931.02      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XN3F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1242030 | PA      | $1288032.46    | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412Q7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154982 | PA      | $153048.77     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXCZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276914 | PA      | $264472.86     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        588 | PA      | $611.76        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418S2N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128550 | PA      | $129129.64     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1036019 | PA      | $945556.82     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     945477 | PA      | $788353.29     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L5D65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3092 | PA      | $3113.37       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8NP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $65.00         | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7336 | PA      | $7319.81       | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BNLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1914403 | PA      | $1856594.18    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2557326 | PA      | $2387024.27    | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4HR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46616 | PA      | $39277.73      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2R63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109126 | PA      | $97584.09      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6KM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363417 | PA      | $332791.58     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13142 | PA      | $12922.81      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJGK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1348510 | PA      | $1219602.56    | 0.00%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7386906 | PA      | $6690531.32    | 0.02%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     648045 | PA      | $652854.49     | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M32N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     637559 | PA      | $606076.58     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14366879 | PA      | $14577606.79   | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178D7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15500 | PA      | $13779.05      | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6277071 | PA      | $5793198.41    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1307227 | PA      | $1180510.12    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XR6S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     457009 | PA      | $402638.40     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PX7M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6479 | PA      | $6395.19       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5418716 | PA      | $4488607.73    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QWH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     379651 | PA      | $382445.45     | 0.00%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5863387 | PA      | $5350508.62    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1862 | PA      | $1795.90       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6LV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     996051 | PA      | $983290.54     | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RRE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16374 | PA      | $16163.50      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10888540 | PA      | $10066999.49   | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJKM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77067 | PA      | $71291.53      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLQD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1329143 | PA      | $1273752.11    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32399 | PA      | $29245.72      | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7ZC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1405 | PA      | $1418.60       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1691877 | PA      | $1572346.95    | 0.00%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9774658 | PA      | $7857993.70    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263147 | PA      | $252847.19     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XW5W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1298307 | PA      | $1217685.97    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FM4S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433299 | PA      | $393109.10     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946KF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15384 | PA      | $15146.92      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA2Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1771023 | PA      | $1592188.26    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149189 | PA      | $145021.20     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCZJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     978588 | PA      | $886636.00     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52967394 | PA      | $41628655.37   | 0.11%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WDQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $183.88        | 0.00%             | 2031-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207KCF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        331 | PA      | $335.44        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5LJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     663338 | PA      | $642918.98     | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GLHL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34800 | PA      | $33577.72      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133USKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16887695 | PA      | $13845169.51   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYG86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1020006 | PA      | $921179.25     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1983832 | PA      | $1783510.60    | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2634 | PA      | $2401.46       | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380TDG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.46         | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4674 | PA      | $4701.24       | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7NA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203641 | PA      | $200743.26     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0QD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12936856 | PA      | $10177201.96   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MA2A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6355599 | PA      | $5738409.01    | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76900 | PA      | $75464.96      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9770146 | PA      | $9084547.50    | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV4V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44047 | PA      | $39835.05      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13926755 | PA      | $12173364.00   | 0.03%             | 2053-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6M51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97746 | PA      | $95851.17      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247253 | PA      | $238334.57     | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53501950 | PA      | $42019743.13   | 0.11%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14595305 | PA      | $12036462.42   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1310 | PA      | $1361.12       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387BAY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $91.16         | 0.00%             | 2031-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232652 | PA      | $217858.13     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2727954 | PA      | $2610511.63    | 0.01%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133476 | PA      | $131145.91     | 0.00%             | 2052-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     772014 | PA      | $701103.45     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q95P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14278 | PA      | $14095.87      | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1923441 | PA      | $1728938.08    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S3P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13912 | PA      | $14004.60      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294RBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        213 | PA      | $221.14        | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FYZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $57.32         | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294YPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1168 | PA      | $1233.99       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12206 | PA      | $11648.91      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1057533 | PA      | $1040289.54    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74507 | PA      | $71704.37      | 0.00%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99273 | PA      | $98027.44      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165433 | PA      | $161738.68     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475473 | PA      | $487399.28     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8NC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2830 | PA      | $2955.11       | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7LA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4929255 | PA      | $4607506.85    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6160578 | PA      | $5108372.21    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        332 | PA      | $345.47        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QS2R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1225671 | PA      | $1158183.49    | 0.00%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV5U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2298040 | PA      | $2196878.30    | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        228 | PA      | $232.72        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1082415 | PA      | $966380.13     | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1354 | PA      | $1389.22       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B4AC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6728096 | PA      | $6014193.15    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4296212 | PA      | $4271576.62    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4917332 | PA      | $5085994.18    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141974 | PA      | $142920.23     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401D2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13141 | PA      | $13461.30      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J3VM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113942 | PA      | $112205.79     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1118889 | PA      | $928362.84     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8CP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141918 | PA      | $135123.85     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1460794 | PA      | $1442180.26    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7YU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337185 | PA      | $328959.27     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HH4V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122899 | PA      | $1074714.77    | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34862 | PA      | $37056.86      | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A95M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     879227 | PA      | $734633.82     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8FK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2399 | PA      | $2500.12       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40648837 | PA      | $33588594.84   | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1347659 | PA      | $1254242.97    | 0.00%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BDE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        339 | PA      | $348.67        | 0.00%             | 2029-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3490063 | PA      | $3619327.37    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEYY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1890 | PA      | $1869.23       | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695931 | PA      | $685253.91     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     765659 | PA      | $724340.05     | 0.00%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  176294695 | PA      | $137167068.02  | 0.36%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423592 | PA      | $386539.90     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936RV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       7264 | PA      | $7182.57       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6191816 | PA      | $5196332.04    | 0.01%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XV3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132264 | PA      | $124176.01     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $46.79         | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPF77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319613 | PA      | $307424.02     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     958876 | PA      | $863302.81     | 0.00%             | 2054-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNNH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19294187 | PA      | $18321376.65   | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X72P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22289 | PA      | $20292.66      | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GATF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     825069 | PA      | $731358.85     | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294YNA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        184 | PA      | $188.40        | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     884231 | PA      | $721251.10     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16993282 | PA      | $14909641.38   | 0.04%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23173 | PA      | $23754.49      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X75R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7867 | PA      | $7312.05       | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7002486 | PA      | $6518529.42    | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2068880 | PA      | $2029245.13    | 0.01%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YDK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     371001 | PA      | $369919.17     | 0.00%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E05K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9434 | PA      | $8290.71       | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430260 | PA      | $414828.10     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414LYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4216 | PA      | $4491.49       | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAS84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6538570 | PA      | $6454700.46    | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4TE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292105 | PA      | $262077.95     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5KF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     363292 | PA      | $354323.84     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4997568 | PA      | $4894971.14    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1156 | PA      | $1197.65       | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3S66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     732184 | PA      | $613422.01     | 0.00%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3742610 | PA      | $3564353.12    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACKK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     440457 | PA      | $420369.83     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108512 | PA      | $106932.76     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KH2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748812 | PA      | $698770.29     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     725954 | PA      | $678384.51     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8AB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7129 | PA      | $6698.00       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.65         | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BMTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     742630 | PA      | $671858.25     | 0.00%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2426 | PA      | $2446.42       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAYU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     617002 | PA      | $553837.38     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MFSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187213 | PA      | $163324.72     | 0.00%             | 2042-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GELS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22441 | PA      | $22095.52      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416SCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2055 | PA      | $2067.27       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199784 | PA      | $197498.38     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4M97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1014655 | PA      | $803134.62     | 0.00%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XH4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16732198 | PA      | $13722872.31   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405245 | PA      | $391062.68     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2C3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2525142 | PA      | $2283700.10    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9FS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     932112 | PA      | $971584.46     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32563 | PA      | $32186.52      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y16X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2441326 | PA      | $2198968.59    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACRS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     614372 | PA      | $567618.54     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3580 | PA      | $3671.45       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122635 | PA      | $112309.44     | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0YF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234897 | PA      | $225108.25     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $274.94        | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        224 | PA      | $234.97        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7ZR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1104722 | PA      | $1005191.50    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1505157 | PA      | $1316970.82    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213HWN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1118 | PA      | $1144.70       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSSZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4303 | PA      | $3781.03       | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9212 | PA      | $8945.74       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206466 | PA      | $192760.64     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8DK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25089 | PA      | $24446.20      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7969203 | PA      | $7351196.22    | 0.02%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  392871146 | PA      | $307365919.29  | 0.80%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11452 | PA      | $11518.45      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4224622 | PA      | $3953742.76    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2169291 | PA      | $1959112.49    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2237 | PA      | $2254.50       | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NCG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        916 | PA      | $973.72        | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10355063 | PA      | $9114817.18    | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339S6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26601 | PA      | $21992.45      | 0.00%             | 2049-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13988779 | PA      | $11567145.74   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ3Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9668 | PA      | $9416.00       | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176SA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4818 | PA      | $4412.20       | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVGP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4448501 | PA      | $4316702.11    | 0.01%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X87B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1217303 | PA      | $954732.87     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EAKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8440 | PA      | $7806.84       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    6223117 | PA      | $5643558.50    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E6VD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129964 | PA      | $125238.15     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622089 | PA      | $511640.41     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHEE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     379528 | PA      | $326082.08     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9VJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417376 | PA      | $409606.09     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295K3Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        352 | PA      | $368.81        | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MECV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     885181 | PA      | $865987.23     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CYY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1493 | PA      | $1513.13       | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AM4Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4225 | PA      | $4134.48       | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AWV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        209 | PA      | $214.78        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1232926 | PA      | $1096900.75    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   74152917 | PA      | $62202399.87   | 0.16%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154553 | PA      | $158294.29     | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314839 | PA      | $308621.90     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6JF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195939 | PA      | $186396.36     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68823519 | PA      | $66812652.94   | 0.17%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1687059 | PA      | $1423443.89    | 0.00%             | 2047-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUWM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6077 | PA      | $5503.07       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2TK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1416995 | PA      | $1430698.83    | 0.00%             | 2044-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154853 | PA      | $155814.88     | 0.00%             | 2048-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSLR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     951552 | PA      | $866956.41     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8807150 | PA      | $8124160.66    | 0.02%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25794 | PA      | $25946.10      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6333953 | PA      | $5735291.99    | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3QC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1799658 | PA      | $1494670.79    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404QP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14727 | PA      | $14862.18      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BJG22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1583284 | PA      | $1545330.14    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32831238 | PA      | $25847802.17   | 0.07%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131021 | PA      | $125648.29     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307L6M5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8279 | PA      | $8071.46       | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8YB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12249440 | PA      | $11175948.34   | 0.03%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        623 | PA      | $637.61        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1849557 | PA      | $1725832.33    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3778097 | PA      | $3730903.63    | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0KB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26555630 | PA      | $22719684.21   | 0.06%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7EN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324768 | PA      | $310773.24     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L17G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     839314 | PA      | $766496.66     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA3G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4844232 | PA      | $4899431.26    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8163 | PA      | $7173.93       | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M93D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196380 | PA      | $161776.52     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16669 | PA      | $15262.26      | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1465748 | PA      | $1333494.03    | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385H6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2031 | PA      | $2122.82       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4765 | PA      | $4906.13       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210F7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        290 | PA      | $293.87        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KD2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1039036 | PA      | $932172.18     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238629 | PA      | $232465.01     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     943011 | PA      | $912845.68     | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SHY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7008 | PA      | $7083.26       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37494 | PA      | $37015.33      | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58427960 | PA      | $45441712.29   | 0.12%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383DXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        673 | PA      | $680.82        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     827316 | PA      | $801679.70     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XZHG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67659 | PA      | $65904.76      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     800577 | PA      | $675481.48     | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2319 | PA      | $2230.45       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8SF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1516244 | PA      | $1420344.76    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3AW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13515 | PA      | $12972.66      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29114 | PA      | $29283.62      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52978362 | PA      | $48869923.14   | 0.13%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1121483 | PA      | $991135.31     | 0.00%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133W6N94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1675539 | PA      | $1627066.24    | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9Q89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887375 | PA      | $848209.13     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACH78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     528995 | PA      | $476267.57     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1215 | PA      | $1225.46       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2GT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3795124 | PA      | $3240594.30    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2397455 | PA      | $2191283.47    | 0.01%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7S30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8842908 | PA      | $8081300.90    | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G5P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $110.08        | 0.00%             | 2027-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936HU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     318289 | PA      | $320567.20     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUMM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     381403 | PA      | $358502.77     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XASY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69076406 | PA      | $54485057.40   | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931SZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12877 | PA      | $12732.61      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $540.08        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XLNJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24728 | PA      | $24087.13      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295739 | PA      | $276098.82     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        208 | PA      | $219.06        | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MFSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     992294 | PA      | $811675.04     | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12629471 | PA      | $11406076.02   | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334X4T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2121357 | PA      | $1831944.70    | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430815 | PA      | $434367.61     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H2D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8418 | PA      | $8703.48       | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVZT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91548 | PA      | $80556.87      | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407R2Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2247 | PA      | $2303.63       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1AU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393718 | PA      | $358645.89     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSTK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44663 | PA      | $42971.76      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3204433 | PA      | $2652067.96    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NRE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2926 | PA      | $3010.49       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7KT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9567705 | PA      | $8887633.90    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L6T7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      96432 | PA      | $86822.82      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DAJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135763 | PA      | $122053.72     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243088 | PA      | $233965.08     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFFY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1823616 | PA      | $1775329.15    | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3879 | PA      | $3645.30       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $210.07        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAS94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2194743 | PA      | $2050753.06    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45777 | PA      | $44040.13      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M8AX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26422 | PA      | $23757.26      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7HZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3048 | PA      | $2818.28       | 0.00%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVSK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491939 | PA      | $439905.75     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQYZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32358861 | PA      | $32952726.75   | 0.09%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376WY53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $139.21        | 0.00%             | 2026-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EGR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1894 | PA      | $1986.04       | 0.00%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21991 | PA      | $22536.01      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332976 | PA      | $311909.91     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3K54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2111170 | PA      | $1970834.66    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSAT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3420511 | PA      | $2961918.69    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131700 | PA      | $129502.71     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6228 | PA      | $5844.84       | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVAX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     258137 | PA      | $225862.66     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSU34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9328817 | PA      | $9113588.13    | 0.02%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2426 | PA      | $2442.59       | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DPN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     672243 | PA      | $648868.10     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UWX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     554177 | PA      | $498125.54     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10924963 | PA      | $10113011.01   | 0.03%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HBK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227621 | PA      | $222682.43     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AG27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252721 | PA      | $242699.03     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2637176 | PA      | $2629023.34    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9570 | PA      | $8420.62       | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348742 | PA      | $318291.10     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411W4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12752 | PA      | $13297.36      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4XB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132319 | PA      | $129238.86     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1952 | PA      | $1970.75       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.27         | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74840 | PA      | $67776.81      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C5YY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39655 | PA      | $37405.10      | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     686622 | PA      | $656645.69     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27820 | PA      | $28545.35      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  187513347 | PA      | $150690312.43  | 0.39%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67197 | PA      | $64306.27      | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LHL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2278 | PA      | $2349.94       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7022925 | PA      | $5853645.89    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6139551 | PA      | $5945536.20    | 0.02%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXAL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5368871 | PA      | $4847501.45    | 0.01%             | 2037-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3594 | PA      | $3544.47       | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290XJF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11459 | PA      | $11701.44      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SKY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3587 | PA      | $3629.82       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M74J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2543 | PA      | $2514.02       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4846 | PA      | $4989.36       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200M7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        520 | PA      | $526.70        | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNEJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3283778 | PA      | $2839802.80    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPSB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10173403 | PA      | $9093090.19    | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291CT39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2532 | PA      | $2592.39       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412GWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1183 | PA      | $1211.73       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BSE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2439812 | PA      | $2216028.28    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9ZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     904275 | PA      | $879824.27     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     608851 | PA      | $577280.55     | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307N3A0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     106323 | PA      | $102692.44     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1786930 | PA      | $1654895.44    | 0.00%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUW73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1155 | PA      | $1148.05       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13823267 | PA      | $12553576.04   | 0.03%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5599801 | PA      | $5442282.32    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1208342 | PA      | $1076332.79    | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NBJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      27578 | PA      | $26633.91      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6232691 | PA      | $6131062.72    | 0.02%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JCH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      18536 | PA      | $18176.42      | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G95Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1629012 | PA      | $1519649.53    | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687631 | PA      | $662734.61     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     248897 | PA      | $227756.36     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LVN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     964401 | PA      | $803196.71     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2RB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9426569 | PA      | $8523490.39    | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     916375 | PA      | $782605.97     | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7HR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15271 | PA      | $15382.34      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941Z42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3125 | PA      | $3143.24       | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3072011 | PA      | $2821562.73    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFG34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35774 | PA      | $34468.97      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HM26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1729 | PA      | $1742.84       | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8139626 | PA      | $6931315.18    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBRX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     565731 | PA      | $491854.97     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6125922 | PA      | $4821948.85    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J75S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1585325 | PA      | $1488378.01    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25125 | PA      | $25471.00      | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35556 | PA      | $32200.62      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1046 | PA      | $1092.20       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4560 | PA      | $4863.72       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SGM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1385 | PA      | $1382.69       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15991037 | PA      | $14513258.24   | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBQP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8767935 | PA      | $7261991.03    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8840586 | PA      | $7971027.86    | 0.02%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     315988 | PA      | $298546.09     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6188225 | PA      | $6020536.45    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135685 | PA      | $128974.36     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9254 | PA      | $8840.40       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2129284 | PA      | $1574245.87    | 0.00%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A32U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     672622 | PA      | $624240.07     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402EWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $136.59        | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWAU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15605 | PA      | $15481.48      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7077 | PA      | $7379.91       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25387 | PA      | $25051.73      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21587487 | PA      | $21434532.36   | 0.06%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14882411 | PA      | $12393130.68   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     585290 | PA      | $590665.95     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9M89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     673681 | PA      | $641438.85     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1599490 | PA      | $1502874.33    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KTH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $480.28        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDJB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11424013 | PA      | $10636856.90   | 0.03%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HD5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1907536 | PA      | $1741597.76    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C05B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40882 | PA      | $40046.73      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9FD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13311 | PA      | $13435.03      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTQC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17161112 | PA      | $17864633.75   | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     571448 | PA      | $496211.29     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AAMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467177 | PA      | $459383.16     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5973 | PA      | $5596.25       | 0.00%             | 2032-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5TK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38484 | PA      | $38791.29      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPNM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13441174 | PA      | $10982131.71   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9SS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     527580 | PA      | $490216.33     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5673 | PA      | $5619.08       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2729 | PA      | $2754.40       | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFRS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     929826 | PA      | $818927.95     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100864 | PA      | $97017.42      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9562585 | PA      | $9312778.91    | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AER71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3085535 | PA      | $2534428.98    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12197 | PA      | $11118.58      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3JW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1412198 | PA      | $1177300.84    | 0.00%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9X66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2422619 | PA      | $2382200.92    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KYNT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $64.52         | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERV49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2203808 | PA      | $2038590.73    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27304635 | PA      | $21274717.40   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14466 | PA      | $13673.77      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B6BL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265716 | PA      | $206709.05     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDR24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1514802 | PA      | $1249786.50    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296KLG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2177 | PA      | $2233.21       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        288 | PA      | $294.45        | 0.00%             | 2029-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PDD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     218555 | PA      | $212652.46     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7AZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1027003 | PA      | $978615.97     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EFR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12750 | PA      | $12437.12      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NQDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10635082 | PA      | $10762923.33   | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9FS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     741592 | PA      | $715981.95     | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1511425 | PA      | $1398115.25    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178WHJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     280528 | PA      | $266035.13     | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23704 | PA      | $24277.35      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277167 | PA      | $257465.70     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDFB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     818206 | PA      | $776063.83     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296WSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2909 | PA      | $2859.42       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QW3Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     874002 | PA      | $819981.50     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1504107 | PA      | $1251802.74    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48831 | PA      | $48128.49      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHQU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1090547 | PA      | $955420.18     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     594028 | PA      | $582647.85     | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297V3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6074 | PA      | $6054.95       | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376ZMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        222 | PA      | $222.52        | 0.00%             | 2027-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0Q22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1459245 | PA      | $1134501.08    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MJW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      98544 | PA      | $94956.72      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D3G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        870 | PA      | $876.76        | 0.00%             | 2034-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NMN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20790 | PA      | $20359.65      | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297V7D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        199 | PA      | $201.37        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HDR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        570 | PA      | $584.34        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F04A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333869 | PA      | $313702.37     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4TJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20103 | PA      | $16938.40      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5PN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2414093 | PA      | $2220108.99    | 0.01%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5VY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1038 | PA      | $1084.19       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23246 | PA      | $23542.16      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12926 | PA      | $12710.57      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296AVV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        703 | PA      | $708.68        | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132FCA21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8364 | PA      | $8717.47       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129442R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152133 | PA      | $146289.60     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290R7D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10010 | PA      | $10119.91      | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118355 | PA      | $115264.51     | 0.00%             | 2046-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMS53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67185 | PA      | $64404.97      | 0.00%             | 2030-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179M5L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1204585 | PA      | $1082738.26    | 0.00%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2025 | PA      | $2106.82       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGRV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1950814 | PA      | $1892473.48    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18000 | PA      | $19133.16      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKJJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9444 | PA      | $9250.78       | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5066104 | PA      | $3987112.15    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275799 | PA      | $258152.68     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QVQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $40.22         | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MA3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2334837 | PA      | $1816632.99    | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8589 | PA      | $8413.93       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5XV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382254 | PA      | $346914.67     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        115 | PA      | $118.37        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KYXJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16209386 | PA      | $13319257.33   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFAR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      84421 | PA      | $82014.19      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $275.21        | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJVL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3882617 | PA      | $3887878.74    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321120 | PA      | $314390.53     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQM41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336865 | PA      | $316526.83     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BA89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1078074 | PA      | $952633.70     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        794 | PA      | $829.47        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2569471 | PA      | $2530307.35    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     979065 | PA      | $891304.17     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0P77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464022 | PA      | $448338.80     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432142 | PA      | $416851.06     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463867 | PA      | $445854.78     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPD85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374205 | PA      | $367570.21     | 0.00%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18737053 | PA      | $16755270.99   | 0.04%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1864 | PA      | $1863.50       | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUHG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      63121 | PA      | $62740.24      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297H6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2520 | PA      | $2468.34       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJJE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     575838 | PA      | $554920.63     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211RSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        713 | PA      | $734.40        | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V7C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4672877 | PA      | $3590102.23    | 0.01%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177816 | PA      | $170530.13     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287PCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $140.87        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12871 | PA      | $10849.27      | 0.00%             | 2045-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932PM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        954 | PA      | $916.38        | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      72953 | PA      | $74868.67      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46196 | PA      | $44393.82      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177175 | PA      | $170946.18     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3027995 | PA      | $2989204.58    | 0.01%             | 2050-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417L5L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3953 | PA      | $3976.40       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMSG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6861 | PA      | $6135.42       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8WC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4966868 | PA      | $4641158.82    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718647 | PA      | $712069.53     | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     981597 | PA      | $890266.27     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349764 | PA      | $327641.92     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WLEM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24888 | PA      | $20999.01      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11877396 | PA      | $11575107.71   | 0.03%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180HHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44134 | PA      | $40385.42      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKGD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11396 | PA      | $10993.96      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     743089 | PA      | $668069.71     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43523774 | PA      | $39689427.98   | 0.10%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410Y7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        431 | PA      | $457.84        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36194BXQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     710903 | PA      | $643823.98     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14339856 | PA      | $11821360.26   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23878448 | PA      | $19685652.73   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9774891 | PA      | $8936312.49    | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419EDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     676786 | PA      | $668098.25     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F7MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $58.77         | 0.00%             | 2026-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167333 | PA      | $163373.42     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13454 | PA      | $13783.46      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1949218 | PA      | $1845757.35    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8VR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2533460 | PA      | $2355511.65    | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1977 | PA      | $2047.38       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        512 | PA      | $515.88        | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MPV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1278178 | PA      | $1231710.75    | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1932 | PA      | $1992.63       | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XGNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722322 | PA      | $708869.02     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8FY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27250476 | PA      | $22417064.95   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4464360 | PA      | $3855520.99    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSL20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23461 | PA      | $22551.43      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290NBA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        390 | PA      | $392.44        | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405AUU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        419 | PA      | $423.32        | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335B5Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24937 | PA      | $23460.36      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212VTV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $122.31        | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328099 | PA      | $307908.76     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YP56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3498 | PA      | $3582.29       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123630 | PA      | $117250.78     | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381830 | PA      | $331494.85     | 0.00%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6SQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3972014 | PA      | $3448127.00    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1746 | PA      | $1813.14       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382SFX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1449 | PA      | $1457.73       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4647 | PA      | $4465.59       | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JVPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1047596 | PA      | $1008477.15    | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        698 | PA      | $737.17        | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201KAR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        301 | PA      | $306.05        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492601 | PA      | $461890.68     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945CB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1610 | PA      | $1590.89       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        924 | PA      | $919.61        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HMXY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46190 | PA      | $42783.64      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8967 | PA      | $8436.79       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941CY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1645 | PA      | $1654.93       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112659 | PA      | $98573.52      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5ZJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1352469 | PA      | $1183579.14    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287UF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        314 | PA      | $330.93        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307L2J6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     212596 | PA      | $205686.46     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561585 | PA      | $469403.72     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSX64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153744 | PA      | $148125.80     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7J75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34900551 | PA      | $30268332.51   | 0.08%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      71795 | PA      | $64929.89      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8JN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3423336 | PA      | $3236032.19    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     880695 | PA      | $854102.36     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DHL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $27.38         | 0.00%             | 2030-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVB53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27212423 | PA      | $25006609.53   | 0.07%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AEV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148593 | PA      | $143180.66     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APSN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     623916 | PA      | $558002.08     | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6GN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7051145 | PA      | $6522529.03    | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNUQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15259 | PA      | $13661.89      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192671 | PA      | $185030.63     | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297QZZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3871 | PA      | $3974.04       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     226454 | PA      | $232406.85     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316169 | PA      | $292108.44     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235657 | PA      | $223055.04     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84226 | PA      | $80960.40      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6767475 | PA      | $6145870.87    | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     654788 | PA      | $646495.78     | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSWD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14051178 | PA      | $14290290.01   | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KDHU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        349 | PA      | $358.14        | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41094027 | PA      | $41016898.92   | 0.11%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307ULF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     514533 | PA      | $502116.34     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6128 | PA      | $5876.79       | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417B7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11310 | PA      | $10794.28      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32054 | PA      | $29926.68      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9926838 | PA      | $9025027.41    | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403RNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35335 | PA      | $36198.22      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8364881 | PA      | $8781858.58    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GY34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1543 | PA      | $1575.95       | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $129.05        | 0.00%             | 2029-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39320081 | PA      | $32211715.10   | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295HVV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        337 | PA      | $356.36        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4976132 | PA      | $4559682.13    | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24253858 | PA      | $22081587.45   | 0.06%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLBQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5628592 | PA      | $5106104.64    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XPHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316664 | PA      | $316119.06     | 0.00%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3163559 | PA      | $2736816.72    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0ZD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14441 | PA      | $13569.49      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8278 | PA      | $7178.87       | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319470 | PA      | $290760.55     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6182 | PA      | $6100.18       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UD62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195558 | PA      | $186492.17     | 0.00%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1579676 | PA      | $1491129.26    | 0.00%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HK3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255549 | PA      | $239373.14     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNBF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2123088 | PA      | $1751653.30    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJCH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44249700 | PA      | $34547056.90   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26372025 | PA      | $21733221.51   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9BD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253381 | PA      | $249153.49     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2355 | PA      | $2427.27       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXMU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3395843 | PA      | $3477506.73    | 0.01%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     393697 | PA      | $387696.80     | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5255 | PA      | $5410.63       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6FG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     490487 | PA      | $475257.55     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6029 | PA      | $6073.44       | 0.00%             | 2046-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414J6J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1466 | PA      | $1501.35       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MCWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4722 | PA      | $4244.96       | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UPU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18239 | PA      | $18346.91      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413AJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2869 | PA      | $3056.16       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSLY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $64.41         | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2360 | PA      | $2304.87       | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GFAN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1038298 | PA      | $914842.27     | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTPM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5321247 | PA      | $5318752.30    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMUC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     293700 | PA      | $285412.09     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVJW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     479227 | PA      | $437521.91     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206EEK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1 | PA      | $1.22          | 0.00%             | 2025-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T4M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77274 | PA      | $68112.12      | 0.00%             | 2048-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15542158 | PA      | $14380015.50   | 0.04%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XQS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     178249 | PA      | $174764.06     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3684 | PA      | $3925.98       | 0.00%             | 2038-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410YQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9852 | PA      | $10255.85      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177KYP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10741 | PA      | $9788.87       | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287RP94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $52.71         | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946JY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3358 | PA      | $3306.52       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F2L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        318 | PA      | $316.18        | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14387378 | PA      | $13094446.14   | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379XCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.02         | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   90212710 | PA      | $66690049.69   | 0.17%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9K84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25872 | PA      | $26009.02      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KAL66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1088 | PA      | $1157.60       | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AL6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594026 | PA      | $489663.37     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110647 | PA      | $113380.62     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20701 | PA      | $20854.83      | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CJK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7075 | PA      | $7249.71       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371M3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4533 | PA      | $4718.57       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     285305 | PA      | $249849.76     | 0.00%             | 2054-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22849 | PA      | $23826.07      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1162983 | PA      | $1009810.65    | 0.00%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87533 | PA      | $84345.12      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQRT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37306811 | PA      | $37239877.04   | 0.10%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6188 | PA      | $5962.33       | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8Y33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     522008 | PA      | $507345.71     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409C3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3615 | PA      | $3705.28       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595312 | PA      | $559353.28     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     659754 | PA      | $611445.32     | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1299864 | PA      | $1064556.28    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50489 | PA      | $50691.65      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KUM79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        809 | PA      | $844.36        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASEY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     241572 | PA      | $228237.24     | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCJZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417089 | PA      | $407278.41     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201LTM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3026 | PA      | $3138.02       | 0.00%             | 2032-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305496 | PA      | $285949.14     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXHX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1123211 | PA      | $1038586.67    | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MSU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12863348 | PA      | $12529415.75   | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386EBE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         55 | PA      | $56.49         | 0.00%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41703944 | PA      | $39453349.74   | 0.10%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     732848 | PA      | $705856.35     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6088 | PA      | $5755.02       | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KVY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9632 | PA      | $9682.27       | 0.00%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939CX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3227 | PA      | $3190.07       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5425 | PA      | $5465.76       | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HKJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        870 | PA      | $909.82        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     591890 | PA      | $585212.15     | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QN4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12086604 | PA      | $10349324.26   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WHZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     537471 | PA      | $521734.08     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31688684 | PA      | $24702222.79   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M92T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171248 | PA      | $168282.19     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDHW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6959 | PA      | $6310.78       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMFD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1272904 | PA      | $1146841.05    | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3746286 | PA      | $3252427.32    | 0.01%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HL4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517387 | PA      | $484637.14     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3307475 | PA      | $2957649.60    | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346850 | PA      | $314114.24     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        924 | PA      | $930.52        | 0.00%             | 2029-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMUC6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     124101 | PA      | $119812.04     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180CM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3635 | PA      | $3231.80       | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12186707 | PA      | $11359445.26   | 0.03%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AXHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10351710 | PA      | $8530602.87    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385FZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $90.28         | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH5Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3397733 | PA      | $3145045.65    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941QB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15662 | PA      | $15753.21      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170204 | PA      | $163229.84     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BW53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        825 | PA      | $861.47        | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292FHS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5633 | PA      | $5818.21       | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XABX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117067 | PA      | $114948.50     | 0.00%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUKZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3336 | PA      | $3217.70       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1238959 | PA      | $1031786.73    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TH85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $120.34        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3SD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     854764 | PA      | $827916.77     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179DLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72511 | PA      | $66409.31      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15614573 | PA      | $14138743.10   | 0.04%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3631 | PA      | $3726.43       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213621 | PA      | $209268.25     | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1603344 | PA      | $1558985.99    | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936KB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1530 | PA      | $1541.41       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23000 | PA      | $21697.92      | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0TT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23077665 | PA      | $18877029.31   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415BPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        255 | PA      | $256.27        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQFS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997387 | PA      | $934254.53     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5U57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16762 | PA      | $17204.48      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6462 | PA      | $6255.10       | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9N76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83382 | PA      | $81554.94      | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UGAQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42302 | PA      | $42986.57      | 0.00%             | 2040-11-01      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4FT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94138 | PA      | $92612.17      | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8569071 | PA      | $7400038.43    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7L70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339091 | PA      | $334778.46     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XU5N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     206062 | PA      | $180286.54     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNFZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6028093 | PA      | $5408107.53    | 0.01%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.16         | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWHJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235027 | PA      | $212568.39     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1255740 | PA      | $1287237.60    | 0.00%             | 2047-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21087161 | PA      | $18060713.86   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5CC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200589 | PA      | $194561.19     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292LBW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2375 | PA      | $2445.88       | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYD53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32916 | PA      | $30707.84      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2T48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2257 | PA      | $2222.20       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412K7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3631 | PA      | $3780.34       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GZB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        188 | PA      | $190.87        | 0.00%             | 2029-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE2E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      50053 | PA      | $48349.68      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVTP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235475 | PA      | $207795.37     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ6A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45984 | PA      | $45389.14      | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413LKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2794 | PA      | $2977.58       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.40         | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386SL62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        252 | PA      | $262.80        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8RA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47051 | PA      | $46328.46      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        985 | PA      | $1009.29       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0K74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382860 | PA      | $359085.77     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUHM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24869531 | PA      | $24813395.90   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     772549 | PA      | $762696.78     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        365 | PA      | $384.29        | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MFK77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1634477 | PA      | $1280462.50    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ACU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2788 | PA      | $2759.65       | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6918 | PA      | $7091.41       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50936 | PA      | $51437.68      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1087 | PA      | $1065.09       | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1WM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6004 | PA      | $5789.31       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXBQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1359 | PA      | $1419.20       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14246 | PA      | $12464.66      | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L5P70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10259 | PA      | $10941.79      | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8J51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     335238 | PA      | $319183.84     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M83F9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      27685 | PA      | $28398.60      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1513575 | PA      | $1311747.05    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        224 | PA      | $228.49        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4PG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41972 | PA      | $40336.53      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7E39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1631878 | PA      | $1478037.27    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6002 | PA      | $6248.11       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179090 | PA      | $162639.88     | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNEK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     928882 | PA      | $892069.79     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13717001 | PA      | $10821612.39   | 0.03%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3AZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1303155 | PA      | $1219156.11    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5858 | PA      | $5906.09       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $35.96         | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K33C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     637039 | PA      | $550161.48     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ML5N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1602754 | PA      | $1440944.82    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRH57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163493 | PA      | $143052.22     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345153 | PA      | $319053.72     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJM71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536512 | PA      | $513854.27     | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37954762 | PA      | $29575513.60   | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NYGR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4484 | PA      | $4147.42       | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     978160 | PA      | $847770.84     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407FGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $473.92        | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH6J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176303 | PA      | $154260.60     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5645425 | PA      | $4983260.51    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40179 | PA      | $39549.02      | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A66X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1494645 | PA      | $1294878.07    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NWVW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4724 | PA      | $4608.71       | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934CX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24604 | PA      | $23647.62      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YWZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     951879 | PA      | $857467.93     | 0.00%             | 2054-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAHH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8146370 | PA      | $7082214.93    | 0.02%             | 2045-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1CQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7906 | PA      | $7780.31       | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5EX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44271527 | PA      | $45221155.79   | 0.12%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37399 | PA      | $37890.42      | 0.00%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375BFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.66          | 0.00%             | 2026-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VYR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1692 | PA      | $1718.96       | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     412483 | PA      | $339799.88     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9JA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181587 | PA      | $174269.61     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5993802 | PA      | $5196574.04    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12382206 | PA      | $12607345.31   | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111039 | PA      | $103877.84     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16977238 | PA      | $16943383.24   | 0.04%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K6G87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5645 | PA      | $5794.39       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWBD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175851 | PA      | $170650.38     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7KJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18250 | PA      | $18045.18      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390PGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1651 | PA      | $1731.09       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        232 | PA      | $242.63        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $26.93         | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945L89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9565 | PA      | $9229.12       | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132270 | PA      | $128577.89     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1932289 | PA      | $1845334.04    | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     882257 | PA      | $854108.72     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3157003 | PA      | $2947082.97    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5084587 | PA      | $4641342.19    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2507 | PA      | $2474.34       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AP2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251389 | PA      | $215542.72     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MDV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306469 | PA      | $267363.76     | 0.00%             | 2042-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419HCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8954 | PA      | $8838.87       | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19366958 | PA      | $17523098.43   | 0.05%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8831 | PA      | $8642.20       | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13174254 | PA      | $10759624.38   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRG82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9798116 | PA      | $9826423.85    | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     724440 | PA      | $646566.60     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6742465 | PA      | $6259035.21    | 0.02%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HP50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164405 | PA      | $160941.82     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297TXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1336 | PA      | $1349.12       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609304 | PA      | $599138.37     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WK6V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133146 | PA      | $124883.63     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65397 | PA      | $57470.58      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        462 | PA      | $465.94        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15863576 | PA      | $15268203.97   | 0.04%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250173 | PA      | $243702.03     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2589271 | PA      | $2514583.85    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELCT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20998 | PA      | $21896.21      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9E64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179033 | PA      | $162984.82     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DS27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        626 | PA      | $631.81        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292680 | PA      | $281508.10     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WM7L2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2042549 | PA      | $1852504.42    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214905 | PA      | $212471.87     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     637318 | PA      | $571197.85     | 0.00%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0K99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1011 | PA      | $997.35        | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298UTG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        760 | PA      | $798.09        | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UJ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5752 | PA      | $5785.36       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0H62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2609251 | PA      | $2588710.01    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DVX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7711836 | PA      | $7006499.99    | 0.02%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942CB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6886 | PA      | $6622.06       | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YVG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4058 | PA      | $4155.97       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVDV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     593319 | PA      | $558026.52     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     442636 | PA      | $396714.26     | 0.00%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JLP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1717 | PA      | $1787.81       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7VB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507307 | PA      | $475349.33     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17325740 | PA      | $16793667.56   | 0.04%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411ENX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $455.19        | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     579354 | PA      | $512016.56     | 0.00%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BVUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3062118 | PA      | $2837931.59    | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9MF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5630002 | PA      | $5116329.07    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308493 | PA      | $304210.82     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     521654 | PA      | $514828.74     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MNF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7210282 | PA      | $6827574.98    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391016 | PA      | $376155.94     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFT48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106349 | PA      | $103333.45     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258745 | PA      | $265153.73     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38586 | PA      | $37585.81      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2533005 | PA      | $2312752.38    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197KE81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     399785 | PA      | $361971.78     | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G4DE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1857021 | PA      | $1677755.49    | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1998907 | PA      | $1902299.66    | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291YYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        516 | PA      | $517.34        | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9358826 | PA      | $8264209.32    | 0.02%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFH35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460636 | PA      | $438293.20     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HH81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        384 | PA      | $395.39        | 0.00%             | 2030-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490885 | PA      | $471581.37     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     355918 | PA      | $319915.64     | 0.00%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8EE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1013 | PA      | $1022.73       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8CU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2177713 | PA      | $2038375.73    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.61         | 0.00%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     784564 | PA      | $787720.16     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNWH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2415793 | PA      | $2263976.76    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603788 | PA      | $584761.67     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        293 | PA      | $296.06        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     287950 | PA      | $254482.18     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210UPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2451 | PA      | $2486.01       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176M3E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6659 | PA      | $6291.93       | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.80          | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98131 | PA      | $95379.51      | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1651323 | PA      | $1663476.27    | 0.00%             | 2047-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5169236 | PA      | $4234730.61    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FABA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        121 | PA      | $121.54        | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9256558 | PA      | $8562604.43    | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209VM50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        105 | PA      | $105.66        | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN4G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12684685 | PA      | $11709133.47   | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206NEE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $38.87         | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E5ML9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10039 | PA      | $9581.43       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385W2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2620 | PA      | $2697.09       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541948 | PA      | $477103.32     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDC83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14615 | PA      | $14389.56      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1761013 | PA      | $1605383.64    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1597 | PA      | $1665.01       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46082 | PA      | $45491.35      | 0.00%             | 2047-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4452933 | PA      | $4111467.29    | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        349 | PA      | $357.83        | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     609774 | PA      | $564024.34     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1093498 | PA      | $1079549.05    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52956692 | PA      | $43366659.20   | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22990 | PA      | $23161.00      | 0.00%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCYX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48480 | PA      | $46687.61      | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5479169 | PA      | $5273531.68    | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMK46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41937852 | PA      | $32780429.11   | 0.09%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARH61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41423 | PA      | $40576.65      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     478534 | PA      | $421628.50     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.25         | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44159344 | PA      | $45851669.03   | 0.12%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141520 | PA      | $145024.67     | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFNV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     662621 | PA      | $600911.34     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4C51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1332251 | PA      | $1248327.18    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KV4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3451179 | PA      | $2739338.65    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938DK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4104 | PA      | $4133.55       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4504 | PA      | $4618.03       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GB5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     601498 | PA      | $557832.65     | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182Q3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12779 | PA      | $12039.36      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1447 | PA      | $1498.07       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5939365 | PA      | $4910046.80    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDWX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13083509 | PA      | $11833113.39   | 0.03%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3667758 | PA      | $3425526.58    | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKGE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20110802 | PA      | $18042418.71   | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109458 | PA      | $94929.77      | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MTZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      65448 | PA      | $63190.55      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201NTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        710 | PA      | $713.17        | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     618223 | PA      | $474517.06     | 0.00%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J4A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     461873 | PA      | $453943.30     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BV5Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17265769 | PA      | $17511179.34   | 0.05%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXKU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1812499 | PA      | $1732719.66    | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5908725 | PA      | $4674239.07    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        327 | PA      | $342.64        | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1472489 | PA      | $1325723.14    | 0.00%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        246 | PA      | $256.32        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179M5N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174981 | PA      | $165952.06     | 0.00%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     743615 | PA      | $762267.24     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NBS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        531 | PA      | $545.13        | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371F3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.36         | 0.00%             | 2027-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B3QV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     851152 | PA      | $770704.09     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3SA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72720 | PA      | $69836.22      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9995149 | PA      | $9316054.70    | 0.02%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        961 | PA      | $973.45        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414U6N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19308 | PA      | $19791.70      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        575 | PA      | $602.18        | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2215 | PA      | $2070.80       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17938358 | PA      | $14946163.26   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187753 | PA      | $183484.05     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19029791 | PA      | $19614193.97   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJP47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     564630 | PA      | $497273.05     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9HV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20350 | PA      | $19757.17      | 0.00%             | 2030-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1817820 | PA      | $1619851.01    | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SA43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2814 | PA      | $2845.42       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        636 | PA      | $659.65        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QHL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3467 | PA      | $3492.70       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SAM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     672530 | PA      | $622932.53     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4086 | PA      | $3984.80       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213936 | PA      | $203589.88     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADPF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316429 | PA      | $311920.70     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FDHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219407 | PA      | $206692.45     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383EFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        347 | PA      | $350.33        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35658371 | PA      | $32195597.29   | 0.08%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ANJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22896 | PA      | $23463.19      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57174 | PA      | $52403.45      | 0.00%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208CHG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $33.47         | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1451382 | PA      | $1381915.13    | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4161986 | PA      | $3676063.19    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2668 | PA      | $2546.32       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384874 | PA      | $350383.68     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9PX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1538 | PA      | $1553.28       | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25610 | PA      | $24970.00      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4334675 | PA      | $3921785.68    | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409ELR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13686 | PA      | $14247.74      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3034 | PA      | $2884.45       | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1647592 | PA      | $1588094.59    | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMUZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425565 | PA      | $419415.72     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1501 | PA      | $1539.88       | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167607 | PA      | $154979.14     | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQCJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19322399 | PA      | $19276383.44   | 0.05%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295UAQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4541 | PA      | $4470.84       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8098 | PA      | $7487.89       | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VF76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102920 | PA      | $101690.05     | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWR39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     399442 | PA      | $384271.71     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1446 | PA      | $1562.84       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413UJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        449 | PA      | $468.55        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288GCW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        240 | PA      | $247.34        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391HDP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        748 | PA      | $781.38        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3191694 | PA      | $2792644.69    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1555058 | PA      | $1249682.94    | 0.00%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26067 | PA      | $25729.57      | 0.00%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210UPD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1747 | PA      | $1760.08       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1091357 | PA      | $1049736.15    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XB73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112359 | PA      | $102904.31     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1731478 | PA      | $1581157.04    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  166019355 | PA      | $161109239.54  | 0.42%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160344 | PA      | $145934.17     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4346200 | PA      | $3545117.85    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X55S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1881842 | PA      | $1704436.30    | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BRKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3150800 | PA      | $3134122.87    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11741239 | PA      | $10353986.09   | 0.03%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SUV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4342 | PA      | $4580.56       | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8508423 | PA      | $6999285.58    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E5G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4116 | PA      | $4142.98       | 0.00%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3TW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7257 | PA      | $6489.48       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B7Q35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4607896 | PA      | $4116539.13    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172357 | PA      | $149213.68     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209PM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        293 | PA      | $295.85        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295RQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     253822 | PA      | $268691.61     | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.48         | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115575 | PA      | $105592.78     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4411 | PA      | $4527.84       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FS5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287852 | PA      | $281102.16     | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B06V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     296653 | PA      | $265099.79     | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201A2R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        475 | PA      | $478.38        | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8X76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5332 | PA      | $5239.11       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FM42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $203.51        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NASV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11201048 | PA      | $11360257.03   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TKD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5753 | PA      | $5824.65       | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J4B40<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5212651 | PA      | $5030173.90    | 0.01%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLRJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3707747 | PA      | $3040756.26    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VRG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129985 | PA      | $126464.37     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2986528 | PA      | $2447542.91    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     264694 | PA      | $254599.70     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1876 | PA      | $1922.86       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   53333507 | PA      | $49197526.79   | 0.13%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQAH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9456015 | PA      | $9780352.18    | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3641 | PA      | $3729.32       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MCJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     711528 | PA      | $701098.20     | 0.00%             | 2027-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSUZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        760 | PA      | $756.67        | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200DKK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2442 | PA      | $2520.91       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291NUZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1027 | PA      | $1058.68       | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415XBD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1622 | PA      | $1691.82       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     363318 | PA      | $341602.13     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3448863 | PA      | $3249853.57    | 0.01%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1279940 | PA      | $1165132.27    | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15799967 | PA      | $14749375.09   | 0.04%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E2AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5457 | PA      | $5401.11       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17752417 | PA      | $14279462.95   | 0.04%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JMP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        956 | PA      | $954.60        | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MHUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9290 | PA      | $9073.20       | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AADT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282909 | PA      | $254300.92     | 0.00%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13500328 | PA      | $10588385.18   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUMZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194543 | PA      | $171674.99     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2MV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5753600 | PA      | $5201002.62    | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMKG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     706991 | PA      | $583726.94     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5204640 | PA      | $5052572.55    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SCT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     472621 | PA      | $451760.71     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9KK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85173 | PA      | $77638.53      | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388DYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        603 | PA      | $629.96        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7680839 | PA      | $7088756.24    | 0.02%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2018 | PA      | $2109.11       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180F2T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52465 | PA      | $48009.05      | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94974 | PA      | $93626.73      | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39043274 | PA      | $37135327.32   | 0.10%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     619863 | PA      | $606236.62     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** iShares Trust

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer