# EDGAR Filing Document

**Accession Number:** 0001021882
**File Stem:** 0001752724-23-016402
**Filing Date:** 2023-1
**Character Count:** 1681162
**Document Hash:** 743821dccdd440c3bb8190dc97e23d5a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016402.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016402

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD SCOTTSDALE FUNDS
- **CENTRAL INDEX KEY:** 0001021882
- **IRS NUMBER:** 232439140
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07803
- **FILM NUMBER:** 23561742

**BUSINESS ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482
- **BUSINESS PHONE:** 6106691000

**MAIL ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD TREASURY FUND
- **DATE OF NAME CHANGE:** 19960829

## Series and Classes Contracts Data

### Vanguard Mortgage-Backed Securities Index Fund (Series ID: S000026865)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080859 | Admiral Shares       | VMBSX           |
| C000080860 | Institutional Shares | VMBIX           |
| C000080861 | ETF Shares           | VMBS            |

## Nport-Ex

Vanguard<sup>®</sup> Mortgage-Backed Securities Index Fund

Schedule of Investments (unaudited)

As of November 30, 2022

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's website at www.sec.gov.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** |
| **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** |  |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 2.000% | 1/1/28–12/1/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4890 | &nbsp;&nbsp;&nbsp; 4556 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 2.500% | 5/1/23–2/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;75776 | &nbsp;&nbsp;&nbsp; 70807 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 3.000% | 1/1/26–6/1/49 | &nbsp;&nbsp;&nbsp;&nbsp;257488 | &nbsp;&nbsp;&nbsp; 235869 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 3.500% | 9/1/25–2/1/49 | &nbsp;&nbsp;&nbsp;&nbsp;247292 | &nbsp;&nbsp;&nbsp; 231900 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 4.000% | 3/1/24–6/1/49 | &nbsp;&nbsp;&nbsp;&nbsp;158612 | &nbsp;&nbsp;&nbsp; 153493 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 4.500% | 8/1/23–11/1/48 | &nbsp;&nbsp;&nbsp;&nbsp;73140 | &nbsp;&nbsp;&nbsp; 73006 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 5.000% | 4/1/23–11/1/48 | &nbsp;&nbsp;&nbsp;&nbsp;23065 | &nbsp;&nbsp;&nbsp; 23568 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 5.500% | 10/1/26–6/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;20820 | &nbsp;&nbsp;&nbsp; 21297 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 6.000% | 11/1/28–5/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;10863 | &nbsp;&nbsp;&nbsp; 11447 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | 7.000% | 7/1/28–12/1/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp; 102 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae I Pool | 2.500% | 6/15/27–6/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153 | &nbsp;&nbsp;&nbsp; 141 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae I Pool | 3.000% | 1/15/26–3/15/45 | &nbsp;&nbsp;&nbsp;&nbsp;12751 | &nbsp;&nbsp;&nbsp; 11479 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae I Pool | 3.500% | 2/15/26–9/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20597 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae I Pool | 4.000% | 7/15/24–6/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15379 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14908 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae I Pool | 4.500% | 8/15/33–7/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20733 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae I Pool | 5.000% | 3/15/34–4/15/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9047 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae I Pool | 6.500% | 10/15/28–1/15/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae I Pool | 7.000% | 10/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 1.500% | 2/20/51–12/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14225 |
| <sup>1,3,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 2.000% | 8/20/50–12/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;749242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;637476 |
| <sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 2.500% | 6/20/27–12/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;754159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;664118 |
| <sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 3.000% | 10/20/26–12/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;756394 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;689184 |
| <sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 3.500% | 12/20/25–12/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;571703 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;538000 |
| <sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 4.000% | 9/20/25–12/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;381259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;368522 |
| <sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 4.500% | 2/20/39–12/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;270721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;268186 |
| <sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 5.000% | 2/20/39–12/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;139311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140508 |
| <sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 5.500% | 2/20/49–12/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34586 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34991 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 6.500% | 10/20/28–9/20/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;366 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 1.500% | 7/1/35–9/1/51 | &nbsp;&nbsp;&nbsp;&nbsp;975314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;795934 |
| <sup>1,2,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 2.000% | 4/1/23–12/25/52 | 4074180 | &nbsp;&nbsp;&nbsp;&nbsp;3425198 |
| <sup>1,2,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 2.500% | 3/1/27–12/25/52 | 2927112 | &nbsp;&nbsp;&nbsp;&nbsp;2540496 |
| <sup>1,2,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 3.000% | 10/1/26–12/25/52 | 1876263 | &nbsp;&nbsp;&nbsp;&nbsp;1690064 |
| <sup>1,2,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 3.500% | 8/1/25–12/25/52 | 1178141 | &nbsp;&nbsp;&nbsp;&nbsp;1098418 |
| <sup>1,2,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 4.000% | 4/1/24–12/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;920905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;884643 |
| <sup>1,2,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 4.500% | 6/1/23–12/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;628426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;617174 |
| <sup>1,2,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 5.000% | 8/1/23–12/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;365793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;367022 |
| <sup>1,2,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 5.500% | 2/1/23–12/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;144310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147375 |
| <sup>1,2,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 6.000% | 12/1/25–12/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45478 |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UMBS Pool | 7.000% | 10/1/33–10/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;256 |
|  |  |  |  |  | &nbsp;&nbsp;**15870685** |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **Coupon** | **Maturity<br> Date** | &nbsp;&nbsp;&nbsp;**Face<br> Amount<br> ($000)** | &nbsp;&nbsp;**Market<br> Value<br> ($000)** |
| **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** |  |
| <sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool | 2.318% | 7/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;213 | &nbsp;&nbsp;&nbsp; 213 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.290% | 2.409% | 12/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 | &nbsp;&nbsp;&nbsp; 21 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.310% | 3.560% | 9/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp; 10 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.479% | 2.129% | 3/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91 | &nbsp;&nbsp;&nbsp; 93 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.552% | 3.802% | 10/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp; 18 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.593% | 3.358% | 6/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 | &nbsp;&nbsp;&nbsp; 24 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.627% | 2.127% | 3/1/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp; 3 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.670% | 3.874% | 10/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35 | &nbsp;&nbsp;&nbsp; 37 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.690% | 3.940% | 10/1/39–9/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;132 | &nbsp;&nbsp;&nbsp; 133 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.692% | 3.094% | 8/1/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp; 17 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.700% | 2.689% | 12/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 | &nbsp;&nbsp;&nbsp; 42 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.721% | 2.528% | 5/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 | &nbsp;&nbsp;&nbsp; 12 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.739% | 3.919% | 11/1/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp; 5 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.775% | 2.522% | 5/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.794% | 3.725% | 3/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.797% | 3.637% | 8/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.805% | 4.055% | 11/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.810% | 2.060% | 12/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.810% | 4.060% | 10/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.813% | 2.556% | 3/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.813% | 3.728% | 1/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.813% | 4.063% | 11/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.815% | 3.447% | 5/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.815% | 4.065% | 11/1/40–12/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.825% | 3.649% | 2/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.830% | 2.308% | 4/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.834% | 2.153% | 2/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.835% | 2.117% | 1/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.835% | 3.210% | 5/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.838% | 4.013% | 9/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.839% | 4.075% | 12/1/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp; 34 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae Pool, 12M USD LIBOR + 1.914% | 3.289% | 4/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp; 3 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640% | 3.890% | 11/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 | &nbsp;&nbsp;&nbsp; 46 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660% | 3.910% | 10/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp; 2 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695% | 2.074% | 2/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp; 9 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745% | 1.995% | 12/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp; 5 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.846% | 2.448% | 2/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 | &nbsp;&nbsp;&nbsp; 7 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% | 3.612% | 6/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 | &nbsp;&nbsp;&nbsp; 7 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% | 3.866% | 6/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 | &nbsp;&nbsp;&nbsp; 12 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.891% | 4.141% | 9/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 | &nbsp;&nbsp;&nbsp; 8 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.899% | 3.618% | 12/1/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp; 4 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900% | 4.150% | 6/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp; 1 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910% | 2.390% | 2/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp; 26 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910% | 2.410% | 2/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp; 1 |
| <sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085% | 2.585% | 3/1/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 |
| <sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool, 1YR CMT + 1.500% | 1.750% | 11/20/40–12/20/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112 |
| <sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool, 1YR CMT + 1.500% | 2.625% | 1/20/41–8/20/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135 |
| <sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool, 1YR CMT + 1.500% | 2.875% | 4/20/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool, 1YR CMT + 2.000% | 2.250% | 11/20/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae II Pool, 1YR CMT + 2.000% | 3.375% | 5/20/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1309** |
| **Total U.S. Government and Agency Obligations (Cost $17,861,318)** | **Total U.S. Government and Agency Obligations (Cost $17,861,318)** | **Total U.S. Government and Agency Obligations (Cost $17,861,318)** | **Total U.S. Government and Agency Obligations (Cost $17,861,318)** | **Total U.S. Government and Agency Obligations (Cost $17,861,318)** | **15871994** |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | Coupon | &nbsp;&nbsp;&nbsp;Shares | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **Temporary Cash Investments (3.6%)** | **Temporary Cash Investments (3.6%)** | **Temporary Cash Investments (3.6%)** | **Temporary Cash Investments (3.6%)** | **Temporary Cash Investments (3.6%)** |
| **Money Market Fund (3.6%)** | **Money Market Fund (3.6%)** | **Money Market Fund (3.6%)** | **Money Market Fund (3.6%)** | **Money Market Fund (3.6%)** |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Vanguard Market Liquidity Fund<br> **(Cost $573,866)** | 3.877% | 5740525 | &nbsp;&nbsp;&nbsp; **573995** |
| **Total Investments (103.0%) (Cost $18,435,184)** | **Total Investments (103.0%) (Cost $18,435,184)** | **Total Investments (103.0%) (Cost $18,435,184)** |  | **16445989** |
| **Other Assets and Liabilities—Net (-3.0%)** | **Other Assets and Liabilities—Net (-3.0%)** | **Other Assets and Liabilities—Net (-3.0%)** |  | &nbsp;&nbsp;&nbsp;&nbsp;**(484506)** |
| **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** |  | **15961483** |

---

Cost is in $000.

---

| | |
|:---|:---|
| 1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 2 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 3 | Securities with a value of $35,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
| 4 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of November 30, 2022. |
| 5 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 6 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |

---

---

| |
|:---|
| 12M—12-month. |
| 1YR—1-year. |
| CMT—Constant Maturing Treasury Rate. |
| LIBOR—London Interbank Offered Rate. |
| UMBS—Uniform Mortgage-Backed Securities. |
| USD—U.S. dollar. |

---

------

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities' primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.

At November 30, 2022, counterparties had deposited in segregated accounts securities with a value of $2,032,000 and cash of $2,223,000 in connection with TBA transactions.

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.

D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

#### Level 1 —Quoted prices in active markets for identical securities.

------

#### Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
**Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.**

The following table summarizes the market value of the fund's investments as of November 30, 2022, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Level 1<br> ($000) | &nbsp;&nbsp;&nbsp;Level 2<br> ($000) | &nbsp;&nbsp;&nbsp;Level 3<br> ($000) | &nbsp;&nbsp;&nbsp;Total<br> ($000) |
| **Investments** |  |  |  |  |
| Assets |  |  |  |  |
| U.S. Government and Agency Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;15871994 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;15871994 |
| Temporary Cash Investments | 573995 | &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;573995 |
| Total | 573995 | &nbsp;&nbsp;&nbsp;15871994 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;16445989 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VANGUARD SCOTTSDALE FUNDS

- **b. Investment Company Act file number:** 811-07803

- **c. CIK number of Registrant:** 0001021882

- **d. LEI of Registrant:** 549300Y88GQ3VLJIBX57

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

  - **Street Address 1:** 100 Vanguard Boulevard

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

  - **Telephone number:** 610-669-1000

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

- **a. Name of Series:** VANGUARD MORTGAGE-BACKED SECURITIES INDEX FUND

- **b. EDGAR series identifier (if any):** S000026865

- **c. LEI of Series:** 157FPOCFDEEVUKWE4M41

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

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $16424759028.62

**Total Liabilities:** $481644399.89

**Net Assets:** $15943114628.73

**Delayed Delivery Securities:** $426632680.82

**Cash Not Reported:** $84101134.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -32397.80059752 | **1-Year:** -604721.14217423 | **5-Year:** -2000944.53119016 | **10-Year:** -4176887.27064461 | **30-Year:** -1387150.24234245

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000080860 | -5.07%               | -1.37%               | 4.21%                |
| Class ID C000080859 | -5.05%               | -1.38%               | 4.20%                |
| Class ID C000080861 | -5.04%               | -1.40%               | 4.22%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-45266452.63            | $-786733835.08                             |
| Month 2  | $-4579301.79             | $-241939251.41                             |
| Month 3  | $589577.55               | $602443663.86                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ginnie Mae II Pool                                | G2 MA1603                      | CUSIP: 36179NX86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    139975 | PA      | $145930.78    | 0.00%             | 2044-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18471                      | CUSIP: 3128MMQZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    658659 | PA      | $616394.84    | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8058                      | CUSIP: 3132D55T5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9977680 | PA      | $9251331.88   | 0.06%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3458                      | CUSIP: 3140X6ZY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2156504 | PA      | $1931738.31   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4306                      | CUSIP: 3140X7YC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1835444 | PA      | $1663898.61   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0015                      | CUSIP: 3140XFAR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    391085 | PA      | $375705.48    | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2559                      | CUSIP: 31418BZZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    395110 | PA      | $357043.49    | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7272                      | CUSIP: 31417ECJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    605917 | PA      | $550247.32    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0593                      | CUSIP: 3132DMUS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2209073 | PA      | $1995022.86   | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2955                      | CUSIP: 3138WCH97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33895 | PA      | $32945.13     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1447                      | CUSIP: 36179NTC2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     96240 | PA      | $88191.46     | 0.00%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7638                      | CUSIP: 3138WHPY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    825251 | PA      | $773810.10    | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6711                      | CUSIP: 36179VN48<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3571350 | PA      | $3352796.25   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02581                      | CUSIP: 3128M4FW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    493956 | PA      | $508046.63    | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1131                      | CUSIP: 3132DNHG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2191785 | PA      | $2085083.74   | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6583                      | CUSIP: 3140KEJ58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    780769 | PA      | $671838.18    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08369                      | CUSIP: 3128MJMT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    339391 | PA      | $344587.70    | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8427                      | CUSIP: 36179XLG9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16125000 | PA      | $15802291.99  | 0.10%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91876                      | CUSIP: 312940CM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     97550 | PA      | $101535.26    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91403                      | CUSIP: 3128P7RY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317406 | PA      | $307653.86    | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3956                      | CUSIP: 31418DME9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1155620 | PA      | $1091664.91   | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02682                      | CUSIP: 3128M4J38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14077 | PA      | $14089.53     | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91301                      | CUSIP: 3128P7NS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    417621 | PA      | $395599.89    | 0.00%             | 2030-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3769                      | CUSIP: 3140X7FK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2409589 | PA      | $2241269.58   | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J10406                      | CUSIP: 3128PPNX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1668 | PA      | $1672.98      | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4510                      | CUSIP: 36179TAK1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6229176 | PA      | $5873555.28   | 0.04%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QB3535                      | CUSIP: 3133A94U6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11787185 | PA      | $9746560.14   | 0.06%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4441                      | CUSIP: 3140X75B1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3042194 | PA      | $2751246.28   | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0036                      | CUSIP: 3140XFBE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2558033 | PA      | $2335557.62   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ8670                      | CUSIP: 3140E1T45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    692735 | PA      | $650261.86    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9846                      | CUSIP: 3138ER5G1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    861056 | PA      | $854774.14    | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03698                      | CUSIP: 3128M5NP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88328 | PA      | $94807.25     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE1806                      | CUSIP: 31419CAG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33923 | PA      | $33889.17     | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890833                      | CUSIP: 31410LV25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    339783 | PA      | $319674.12    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3387                      | CUSIP: 3140X6XR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2486429 | PA      | $2402693.62   | 0.02%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3092                      | CUSIP: 3140QANJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3085265 | PA      | $3050088.26   | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6822                      | CUSIP: 36179VSK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5717070 | PA      | $5521015.85   | 0.03%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782373                      | CUSIP: 36241KT65<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1900 | PA      | $1847.14      | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR7400                      | CUSIP: 3138W5GJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    319064 | PA      | $290285.01    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737689                      | CUSIP: 3620ARRJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     97074 | PA      | $93080.45     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67700                      | CUSIP: 3132XCRV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8911689 | PA      | $8234461.48   | 0.05%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08785                      | CUSIP: 3128MJ2T6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414359 | PA      | $398910.88    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9027                      | CUSIP: 3138ERA59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195976 | PA      | $190275.22    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4746                        | CUSIP: 36202FHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    756727 | PA      | $766569.75    | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP7483                      | CUSIP: 3140KFJ55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136524 | PA      | $119575.82    | 0.00%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2892                      | CUSIP: 36179RF95<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3549582 | PA      | $3361435.97   | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723430                      | CUSIP: 3620A9VX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    606100 | PA      | $614961.98    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4559                        | CUSIP: 36202FB47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1103029 | PA      | $1150325.27   | 0.01%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04877                      | CUSIP: 3128M6XE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24804 | PA      | $27758.76     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995018                      | CUSIP: 31416BK72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    453316 | PA      | $476039.99    | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1552                      | CUSIP: 3140XGWN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13527899 | PA      | $11620826.17  | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0180                      | CUSIP: 3140Q7FW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115188 | PA      | $107498.75    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ3004                      | CUSIP: 3140KNKS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4389458 | PA      | $3628834.38   | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8004                      | CUSIP: 3132DV3M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2892428 | PA      | $2590965.75   | 0.02%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08682                      | CUSIP: 3128MJXL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    331225 | PA      | $320673.25    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8997                      | CUSIP: 31417F7K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81593 | PA      | $76593.90     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8347                      | CUSIP: 36179XHY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  31737241 | PA      | $31089128.55  | 0.20%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1954                      | CUSIP: 3132AEE36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    533502 | PA      | $533799.92    | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18360                      | CUSIP: 3128PYJD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    495066 | PA      | $466277.49    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07068                      | CUSIP: 3128M9FH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    492033 | PA      | $505758.55    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3148                      | CUSIP: 3140QAQA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117164 | PA      | $113091.08    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18587                      | CUSIP: 3128MMUM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2439404 | PA      | $2322746.80   | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17742                      | CUSIP: 3128PXS72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173074 | PA      | $163923.71    | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09002                      | CUSIP: 31294UAB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    580896 | PA      | $541795.20    | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725946                      | CUSIP: 31402DP79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    496503 | PA      | $517953.34    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2.5 12/22                 | CUSIP: 01F0224C6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3625000 | PA      | $3344628.73   | 0.02%             | 2022-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4709                      | CUSIP: 31418EGT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16257736 | PA      | $16191988.50  | 0.10%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2090                      | CUSIP: 3132AEKB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342760 | PA      | $306433.05    | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3442                      | CUSIP: 3140X6ZG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    839882 | PA      | $750769.76    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3853                        | CUSIP: 36202EH69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      9687 | PA      | $10667.63     | 0.00%             | 2036-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2044                      | CUSIP: 36179QHV6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    206111 | PA      | $192620.93    | 0.00%             | 2029-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2179                      | CUSIP: 3140XHM53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16928377 | PA      | $14025941.11  | 0.09%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4299                      | CUSIP: 3140J8X57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2359095 | PA      | $2233242.08   | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3015                      | CUSIP: 3140XJK51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2965560 | PA      | $2687034.58   | 0.02%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7248                      | CUSIP: 3138WHBS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1124438 | PA      | $1086413.19   | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2197                      | CUSIP: 31418BNP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    443300 | PA      | $406099.31    | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783024                      | CUSIP: 36241LLD6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    253042 | PA      | $262295.46    | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3867                      | CUSIP: 31417AJM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    370177 | PA      | $344273.78    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02998                      | CUSIP: 3128M4UX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164160 | PA      | $176095.89    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4582                      | CUSIP: 31418ECU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6999859 | PA      | $6304810.72   | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q15774                      | CUSIP: 3132J62G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    761637 | PA      | $675654.84    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1650                      | CUSIP: 3138X0ZQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1836077 | PA      | $1730035.92   | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3711                      | CUSIP: 3140J8DR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    613253 | PA      | $613517.03    | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1364                      | CUSIP: 31416WQS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    252506 | PA      | $252255.38    | 0.00%             | 2025-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2856                      | CUSIP: 31329LE57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40809 | PA      | $38021.78     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5305                        | CUSIP: 36202F3N4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    245496 | PA      | $240557.98    | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW8597                      | CUSIP: 3138XYRT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1679119 | PA      | $1611917.23   | 0.01%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4746                      | CUSIP: 3132A5HX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    940267 | PA      | $845870.99    | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7535                      | CUSIP: 36179WLQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  44580647 | PA      | $40419248.74  | 0.25%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4465                      | CUSIP: 31418D6B3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  70132992 | PA      | $57856008.23  | 0.36%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04343                      | CUSIP: 3128M6EQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17475 | PA      | $17779.67     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 990741                      | CUSIP: 31415VS63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5617 | PA      | $5764.92      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4947                        | CUSIP: 36202FP83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    321980 | PA      | $335786.94    | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07939                      | CUSIP: 3128MAEL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    659933 | PA      | $654103.96    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01616                      | CUSIP: 31283HYM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70296 | PA      | $75747.64     | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03163                      | CUSIP: 3128M4Z48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50846 | PA      | $52337.46     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8080                      | CUSIP: 3132D56R8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4337728 | PA      | $4022071.43   | 0.03%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91928                      | CUSIP: 3128P8D99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    623477 | PA      | $572528.35    | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ8719                      | CUSIP: 3138MQVM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    673357 | PA      | $636133.30    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7733                      | CUSIP: 31417ESX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3824995 | PA      | $3458264.69   | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2825                      | CUSIP: 3138EKD77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    362541 | PA      | $339289.62    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5933                      | CUSIP: 36179USW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1620561 | PA      | $1619771.25   | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06072                      | CUSIP: 3128M8CH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    107802 | PA      | $118365.63    | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6865                      | CUSIP: 36179VTW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20936953 | PA      | $18479495.02  | 0.12%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14660                      | CUSIP: 3128MDMH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    639856 | PA      | $598726.82    | 0.00%             | 2028-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3906                      | CUSIP: 3138ELKU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437726 | PA      | $457836.42    | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15454                      | CUSIP: 3128MEH79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     83557 | PA      | $78438.04     | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5024                      | CUSIP: 3140J9SN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    279177 | PA      | $251440.67    | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4.5 12/22                 | CUSIP: 01F0426C2<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -11240000 | PA      | $-10941437.50 | -0.07%            | 2022-12-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18611                      | CUSIP: 3128MMVD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16169 | PA      | $15147.55     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8256                      | CUSIP: 3132DWE58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16071013 | PA      | $15210135.49  | 0.10%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254693                      | CUSIP: 31371K3A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51393 | PA      | $53631.53     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0463                      | CUSIP: 36179MQQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    232223 | PA      | $227554.22    | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5463                      | CUSIP: 31419GB94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2433588 | PA      | $2377907.49   | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2120                      | CUSIP: 3140XHLA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1377239 | PA      | $1305052.86   | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0093                      | CUSIP: 3132DMC60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3655846 | PA      | $3672011.22   | 0.02%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1711                      | CUSIP: 3132AD3U0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4677593 | PA      | $4606374.42   | 0.03%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3572                      | CUSIP: 3140X66J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    302175 | PA      | $306585.95    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3240                      | CUSIP: 31418CS62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    883800 | PA      | $863944.04    | 0.01%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257233                      | CUSIP: 31371NV28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       883 | PA      | $882.28       | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3283                      | CUSIP: 31418CUH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1511898 | PA      | $1434363.62   | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2510                      | CUSIP: 31329KYF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    196040 | PA      | $182093.11    | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738546                      | CUSIP: 3620ASP78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    133484 | PA      | $130273.79    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J11719                      | CUSIP: 3128PQ4C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51688 | PA      | $51517.49     | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3042                      | CUSIP: 3140XJLY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6315957 | PA      | $6326671.75   | 0.04%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14606                      | CUSIP: 3128MDKT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48795 | PA      | $45057.89     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08789                      | CUSIP: 3128MJ2X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2114568 | PA      | $2035744.81   | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1746                      | CUSIP: 3138WA5G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    777227 | PA      | $746147.80    | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2062                      | CUSIP: 3138WPJG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3155908 | PA      | $2930410.59   | 0.02%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4466                      | CUSIP: 31418D6C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  58412350 | PA      | $50046328.94  | 0.31%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08581                      | CUSIP: 3128MJUF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414618 | PA      | $389433.85    | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8140                      | CUSIP: 3132DWBH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  50453867 | PA      | $41625651.33  | 0.26%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2833                      | CUSIP: 3138EKEF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3130341 | PA      | $3070640.20   | 0.02%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01795                      | CUSIP: 31283H7G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45642 | PA      | $47135.17     | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3060                      | CUSIP: 31418CMJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7645216 | PA      | $7264908.93   | 0.05%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254548                      | CUSIP: 31371KWH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    993175 | PA      | $1019515.52   | 0.01%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08620                      | CUSIP: 3128MJVN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1669475 | PA      | $1568166.38   | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778973                      | CUSIP: 36176XFN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    860706 | PA      | $803559.43    | 0.01%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0534                      | CUSIP: 31417YSY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    892920 | PA      | $863056.26    | 0.01%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5.5 12/22                 | CUSIP: 21H0526C7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21450000 | PA      | $21704718.75  | 0.14%             | 2022-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02390                      | CUSIP: 3128LXUP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153839 | PA      | $164038.89    | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 479494                      | CUSIP: 36209RUT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     92952 | PA      | $89429.64     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09055                      | CUSIP: 31292SBY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    368237 | PA      | $357584.39    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2802                      | CUSIP: 31418CDG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2154402 | PA      | $2012532.27   | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK3774                      | CUSIP: 3131X7FP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    625977 | PA      | $591863.74    | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0052                      | CUSIP: 3132D9BV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8435706 | PA      | $7618741.13   | 0.05%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782371                      | CUSIP: 36241KT40<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    211022 | PA      | $213289.45    | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555679                      | CUSIP: 31385XJY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    674890 | PA      | $691809.35    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0424                      | CUSIP: 3132CWPH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4738670 | PA      | $4298382.94   | 0.03%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7502                      | CUSIP: 3132DVKP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10281000 | PA      | $9509502.28   | 0.06%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5105                      | CUSIP: 3133KYU64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9808672 | PA      | $8417833.66   | 0.05%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2967                      | CUSIP: 3140XJJM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4531107 | PA      | $4529014.66   | 0.03%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2903                      | CUSIP: 3140X6GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    924082 | PA      | $869106.47    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7147                      | CUSIP: 3138EP5H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1002484 | PA      | $985553.33    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4315                      | CUSIP: 3140X7YM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1665555 | PA      | $1506777.22   | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91557                      | CUSIP: 3128P7WS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1005645 | PA      | $956548.13    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5488                      | CUSIP: 3140X9C29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4675076 | PA      | $4491383.23   | 0.03%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08364                      | CUSIP: 3128MJMN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177734 | PA      | $179122.89    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995243                      | CUSIP: 31416BS82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    295918 | PA      | $292321.91    | 0.00%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6643                      | CUSIP: 3140XALZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7923033 | PA      | $7629134.79   | 0.05%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4144                      | CUSIP: 3138LUTA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    968173 | PA      | $941560.09    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1938                      | CUSIP: 3140X5EL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2506103 | PA      | $2470005.47   | 0.02%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5174                        | CUSIP: 36202FXB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2185894 | PA      | $2180696.19   | 0.01%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03205                      | CUSIP: 3128M43N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    137408 | PA      | $138980.98    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4652                      | CUSIP: 36179TEZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11732158 | PA      | $11062312.72  | 0.07%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5497                      | CUSIP: 3140X9DB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1891464 | PA      | $1711997.54   | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4071                      | CUSIP: 36179SQY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     38108 | PA      | $38603.55     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725589                      | CUSIP: 31402DC24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     86244 | PA      | $88457.30     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18525                      | CUSIP: 3128MMSP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    484719 | PA      | $468128.77    | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8005                      | CUSIP: 3132DV3N3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    582998 | PA      | $539463.06    | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4120                      | CUSIP: 31418DSJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  30837731 | PA      | $26539531.01  | 0.17%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08742                      | CUSIP: 3128MJZG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1738467 | PA      | $1626240.57   | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7016                      | CUSIP: 3138WGYN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    742773 | PA      | $694111.51    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08706                      | CUSIP: 3128MJYC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5636885 | PA      | $5262508.30   | 0.03%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A94611                      | CUSIP: 312943DQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145805 | PA      | $146145.83    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87580                      | CUSIP: 312934M58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136732 | PA      | $138825.33    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08677                      | CUSIP: 3128MJXF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2165750 | PA      | $2096724.06   | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4688                      | CUSIP: 3132A5F59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    216345 | PA      | $195097.51    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06025                      | CUSIP: 3128M8A20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54748 | PA      | $54856.88     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4078                      | CUSIP: 31418DQ88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  41575822 | PA      | $35782592.81  | 0.22%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3900                      | CUSIP: 31417AKN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200141 | PA      | $189551.31    | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4380                      | CUSIP: 31418D2N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6442679 | PA      | $5722869.86   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9839                      | CUSIP: 31417G4Z6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1309717 | PA      | $1234076.37   | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3611                      | CUSIP: 3140J8AM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    485471 | PA      | $472375.70    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3855                      | CUSIP: 3140QPH91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8024791 | PA      | $7634105.73   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5530                      | CUSIP: 36179UEB4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    465035 | PA      | $475175.56    | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08693                      | CUSIP: 3128MJXX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5953065 | PA      | $5568908.26   | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0187                      | CUSIP: 3140EUF53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    307082 | PA      | $289272.90    | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01477                      | CUSIP: 31283HUA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7645 | PA      | $8149.90      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8561                      | CUSIP: 3138ETQP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1573306 | PA      | $1543657.80   | 0.01%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08588                      | CUSIP: 3128MJUN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    731434 | PA      | $710258.80    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q15308                      | CUSIP: 3132J6KW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1220022 | PA      | $1108763.94   | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8485                      | CUSIP: 3138ANNB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166369 | PA      | $172762.73    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08081                      | CUSIP: 3128MJCT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54912 | PA      | $56824.30     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5026                      | CUSIP: 3133KYSP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    630634 | PA      | $538825.60    | 0.00%             | 2039-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX7566                      | CUSIP: 3138Y9MQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    774326 | PA      | $719318.72    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08856                      | CUSIP: 3128MJ5S5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105532 | PA      | $98246.13     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890707                      | CUSIP: 31410LR46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6002559 | PA      | $5649953.50   | 0.04%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1175                      | CUSIP: 31418AJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    989713 | PA      | $894894.74    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA5350                      | CUSIP: 36178C5K5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     82112 | PA      | $75949.64     | 0.00%             | 2027-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745515                      | CUSIP: 31403DGY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73720 | PA      | $77116.98     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82888                       | CUSIP: 36225FF61<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     26021 | PA      | $25136.90     | 0.00%             | 2041-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4439                      | CUSIP: 31418D4Z2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5309049 | PA      | $4710327.05   | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05661                      | CUSIP: 3128M7TS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    210869 | PA      | $218976.28    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6089                      | CUSIP: 36179UXS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19561796 | PA      | $17668151.38  | 0.11%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5197                      | CUSIP: 3140J9X30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1505036 | PA      | $1509388.12   | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7432                      | CUSIP: 31417EHJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    332052 | PA      | $300246.32    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4647                      | CUSIP: 3138WEEV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1700977 | PA      | $1596860.11   | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06530                      | CUSIP: 3128M8ST2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82317 | PA      | $85950.24     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9164                      | CUSIP: 3132AAFD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1236972 | PA      | $1133390.22   | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3135                      | CUSIP: 3138WCPV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    284304 | PA      | $263928.49    | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00632                      | CUSIP: 31292GVZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1480 | PA      | $1560.25      | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4623                      | CUSIP: 3140QQD51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3028399 | PA      | $3026997.15   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03613                      | CUSIP: 31292LAN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213676 | PA      | $208782.87    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15717                      | CUSIP: 3128MESE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       436 | PA      | $431.32       | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254739                      | CUSIP: 31371K4Y4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $47.13        | 0.00%             | 2023-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07020                      | CUSIP: 3128M9DZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8934 | PA      | $9094.41      | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8268                      | CUSIP: 36179XFH4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    972755 | PA      | $952890.09    | 0.01%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08837                      | CUSIP: 3128MJ4X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3926053 | PA      | $3879266.88   | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4303                      | CUSIP: 31418DX98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3065471 | PA      | $2757979.49   | 0.02%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8546                      | CUSIP: 3132A9P76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87512 | PA      | $82918.52     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6867                      | CUSIP: 3138EPTZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    765516 | PA      | $728015.48    | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96298                      | CUSIP: 3129447K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53705 | PA      | $52473.74     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 933313                      | CUSIP: 31412SK20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2641 | PA      | $2682.20      | 0.00%             | 2038-03-01      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5383                      | CUSIP: 3140X86V4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2076571 | PA      | $2025769.20   | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781840                      | CUSIP: 36241KBH0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    365947 | PA      | $371312.52    | 0.00%             | 2034-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890386                      | CUSIP: 31410LF31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2005 | PA      | $2090.24      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03531                      | CUSIP: 31292K4Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193287 | PA      | $188870.36    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995372                      | CUSIP: 31416BW95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61196 | PA      | $60749.97     | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91619                      | CUSIP: 3128P7YQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1018255 | PA      | $932823.65    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4333                      | CUSIP: 31418DY71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26859680 | PA      | $23049819.76  | 0.14%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5077                      | CUSIP: 3140X8UB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1357490 | PA      | $1215826.68   | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2522                      | CUSIP: 36179QYT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    322437 | PA      | $315952.58    | 0.00%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5991                      | CUSIP: 3140X9UR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5615765 | PA      | $4848296.10   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5005                      | CUSIP: 3140X8R33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4697930 | PA      | $3997097.75   | 0.03%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1584                      | CUSIP: 31418AXN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    784035 | PA      | $752390.03    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784106                      | CUSIP: 3622A2R38<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7071461 | PA      | $6696611.34   | 0.04%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0698                      | CUSIP: 31417YX44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197155 | PA      | $191636.79    | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2091                      | CUSIP: 3132AEKC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    393749 | PA      | $371804.65    | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E03048                      | CUSIP: 31294ML58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    274631 | PA      | $258688.64    | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0048                      | CUSIP: 3140EUBS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    546868 | PA      | $515173.79    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 728979                      | CUSIP: 3620AF2L0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     47637 | PA      | $48360.84     | 0.00%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08331                      | CUSIP: 3128MJLM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    393901 | PA      | $396987.38    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6769                      | CUSIP: 36179VQW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3593249 | PA      | $3597825.08   | 0.02%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759087                      | CUSIP: 36230UCY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    733289 | PA      | $697348.92    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2805                      | CUSIP: 3140QADK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1339214 | PA      | $1331755.24   | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3395                      | CUSIP: 31416YXZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    210482 | PA      | $211799.56    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1640                      | CUSIP: 3132ADZD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2588574 | PA      | $2576038.39   | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889505                      | CUSIP: 31410KGN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79014 | PA      | $83967.61     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1389                      | CUSIP: 3140X4RK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223608 | PA      | $217793.36    | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7977                      | CUSIP: 3138LY2K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    956800 | PA      | $901113.60    | 0.01%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3988                      | CUSIP: 31418DNE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    626805 | PA      | $558787.26    | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 929009                      | CUSIP: 31412MDN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12534 | PA      | $13373.31     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2921                      | CUSIP: 3138EKG74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3595115 | PA      | $3455300.14   | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2332                      | CUSIP: 3133KHSV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    773418 | PA      | $691106.64    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5094                      | CUSIP: 3133KYUT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4903933 | PA      | $3990334.96   | 0.03%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5118                      | CUSIP: 3138MLVL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    598221 | PA      | $565155.73    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95825                      | CUSIP: 312944PJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    768894 | PA      | $751300.54    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190360                      | CUSIP: 31368HMH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    239466 | PA      | $245928.12    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4065                      | CUSIP: 3140X7QT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296609 | PA      | $280029.52    | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5985                      | CUSIP: 36179UUJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2342199 | PA      | $2203209.11   | 0.01%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1027                      | CUSIP: 31418AD96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    889387 | PA      | $832351.33    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4693                      | CUSIP: 3132A5GA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6836835 | PA      | $6165384.41   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7500                      | CUSIP: 3132DVKM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2175826 | PA      | $2109423.26   | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254869                      | CUSIP: 31371LCE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    799388 | PA      | $850788.55    | 0.01%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0499                      | CUSIP: 3132DMRU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    817594 | PA      | $738153.96    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5027                      | CUSIP: 3133KYSQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172607 | PA      | $155999.13    | 0.00%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91581                      | CUSIP: 3128P7XJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2478813 | PA      | $2357858.20   | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6546                      | CUSIP: 3140KEHY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1497759 | PA      | $1338889.44   | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3373                      | CUSIP: 3140X6XB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2000001 | PA      | $1933901.18   | 0.01%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4807                      | CUSIP: 31418EKV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27563220 | PA      | $27933388.40  | 0.18%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BK5546                      | CUSIP: 3617J6ET7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    216348 | PA      | $200433.85    | 0.00%             | 2049-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08675                      | CUSIP: 3128MJXD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2188202 | PA      | $1981382.07   | 0.01%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08727                      | CUSIP: 3128MJYZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2048852 | PA      | $1916554.82   | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2550                      | CUSIP: 3140X5ZQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25823 | PA      | $24242.91     | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q25103                      | CUSIP: 3132M5KQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16665 | PA      | $16180.97     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4457                      | CUSIP: 3140X75T2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    391655 | PA      | $370181.48    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02703                      | CUSIP: 31294MAC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34296 | PA      | $34183.01     | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0827                      | CUSIP: 3138A14M0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6812 | PA      | $6804.88      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4016                      | CUSIP: 31418DPA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10151285 | PA      | $8934694.23   | 0.06%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4184                      | CUSIP: 31418RUJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     80316 | PA      | $81872.47     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4727                      | CUSIP: 3132A5HC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    291968 | PA      | $280815.46    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3179                      | CUSIP: 3140XJQ97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  49660774 | PA      | $41182497.54  | 0.26%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0934                      | CUSIP: 31418ABC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33708 | PA      | $31927.63     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9578                      | CUSIP: 3138ERUC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73443 | PA      | $71374.50     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190340                      | CUSIP: 31368HLV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    131192 | PA      | $134480.95    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G31003                      | CUSIP: 3132J4KR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1019404 | PA      | $874099.16    | 0.01%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08812                      | CUSIP: 3128MJ3W8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2165832 | PA      | $1956620.17   | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4102                      | CUSIP: 31417ARY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    530942 | PA      | $503873.42    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3544                      | CUSIP: 31418C5E0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    559667 | PA      | $545128.72    | 0.00%             | 2038-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8148                      | CUSIP: 3132D6BR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7492413 | PA      | $6748617.51   | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0220                      | CUSIP: 36179MG53<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2695893 | PA      | $2554412.74   | 0.02%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC9290                      | CUSIP: 31417WKC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247752 | PA      | $248287.13    | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4474                      | CUSIP: 3140X76L8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1127346 | PA      | $1095202.08   | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09025                      | CUSIP: 31292SA26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    453924 | PA      | $395466.33    | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0855                      | CUSIP: 36179M5Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    308681 | PA      | $321939.67    | 0.00%             | 2043-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9108                      | CUSIP: 36178WDM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    989460 | PA      | $890245.83    | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 929226                      | CUSIP: 31412MLF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        71 | PA      | $70.88        | 0.00%             | 2023-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08694                      | CUSIP: 3128MJXY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    989865 | PA      | $955574.88    | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3164                      | CUSIP: 3140X6QS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1955417 | PA      | $1824254.96   | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738535                      | CUSIP: 3620ASPU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    321116 | PA      | $305390.72    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3407                      | CUSIP: 31416YYD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48669 | PA      | $47307.60     | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4122                      | CUSIP: 31418DSL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    154198 | PA      | $135049.34    | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5124                      | CUSIP: 3140QQVS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5044117 | PA      | $4911361.33   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2003                      | CUSIP: 3140J6GM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4456668 | PA      | $4321451.70   | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8089                      | CUSIP: 3132D57A4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10044607 | PA      | $9037170.89   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18659                      | CUSIP: 3128MMWV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2009261 | PA      | $1907517.33   | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89760                      | CUSIP: 312936ZZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245619 | PA      | $247537.91    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91335                      | CUSIP: 3128P7PU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41194 | PA      | $39022.38     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0016                      | CUSIP: 3138W9AS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    432633 | PA      | $393624.33    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786358                      | CUSIP: 3622AB5T5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12771902 | PA      | $12553339.20  | 0.08%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3195                      | CUSIP: 3138EKRR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82170 | PA      | $76297.06     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67708                      | CUSIP: 3132XCR56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1862393 | PA      | $1738712.10   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0614                      | CUSIP: 31417YVG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    525344 | PA      | $513353.77    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8083                      | CUSIP: 3132D56U1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19744897 | PA      | $17293171.45  | 0.11%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA6985                      | CUSIP: 31416QXP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6111 | PA      | $5980.56      | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735667                      | CUSIP: 31402RJL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    384187 | PA      | $401615.79    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5583                      | CUSIP: 3138A7FZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    916545 | PA      | $911698.55    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97040                      | CUSIP: 312945ZD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2150129 | PA      | $2104725.02   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4210                      | CUSIP: 31418DVC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  41843119 | PA      | $36011535.87  | 0.23%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4269                      | CUSIP: 31418DW73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2065535 | PA      | $1806931.37   | 0.01%             | 2041-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3937                      | CUSIP: 3140X7LT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4221429 | PA      | $4025287.47   | 0.03%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01806                      | CUSIP: 3128LXAF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42758 | PA      | $43526.71     | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8128                      | CUSIP: 3132DWA52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  86197899 | PA      | $71117636.69  | 0.45%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0885                      | CUSIP: 3140EU6X2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2903612 | PA      | $2623703.20   | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4722                      | CUSIP: 36179TG74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    182380 | PA      | $187216.97    | 0.00%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 486598                      | CUSIP: 36210ART6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3509 | PA      | $3630.90      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784605                      | CUSIP: 3622AAAE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1353595 | PA      | $1367231.74   | 0.01%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04924                      | CUSIP: 3128M6YV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69940 | PA      | $74280.73     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4720                      | CUSIP: 36179TG58<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2699410 | PA      | $2641157.00   | 0.02%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5233                        | CUSIP: 36202FY67<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3268092 | PA      | $3202306.05   | 0.02%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257003                      | CUSIP: 31371NNU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64518 | PA      | $65413.07     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8857                      | CUSIP: 3138ETZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1373415 | PA      | $1332140.19   | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5115                        | CUSIP: 36202FVG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2985763 | PA      | $3120077.06   | 0.02%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0073                      | CUSIP: 3132DMCJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46306 | PA      | $46111.26     | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08671                      | CUSIP: 3128MJW97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1581002 | PA      | $1482645.27   | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4383                      | CUSIP: 36179S2Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2703314 | PA      | $2606362.25   | 0.02%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7704                      | CUSIP: 36179WRZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  48956304 | PA      | $41639035.47  | 0.26%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698479                      | CUSIP: 36296Q6Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    115280 | PA      | $112580.16    | 0.00%             | 2039-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0525                      | CUSIP: 3138A1SP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204276 | PA      | $199602.85    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5722                      | CUSIP: 3138WFLC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5882446 | PA      | $5521617.61   | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3090                      | CUSIP: 31418CNG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1500322 | PA      | $1425710.30   | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ7859                      | CUSIP: 3138MPWV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143169 | PA      | $135252.02    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725222                      | CUSIP: 31402CVP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161109 | PA      | $168107.78    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8214                      | CUSIP: 3132DWDT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  61877678 | PA      | $56690305.12  | 0.36%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW1007                      | CUSIP: 3138XQDM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1477338 | PA      | $1446550.28   | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4183                      | CUSIP: 31418DUH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10711313 | PA      | $9218838.13   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2495                      | CUSIP: 31418BXZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2337261 | PA      | $2193882.49   | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5141                        | CUSIP: 36202FWA0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     65789 | PA      | $68591.78     | 0.00%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91596                      | CUSIP: 3128P7XZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1323186 | PA      | $1184192.87   | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8149                      | CUSIP: 36179XBS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3628786 | PA      | $3366200.11   | 0.02%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR4094                      | CUSIP: 3140L2RQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1965454 | PA      | $1624440.21   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18474                      | CUSIP: 3128MMQ48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    534345 | PA      | $500035.17    | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8157                      | CUSIP: 3132DWB28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10025526 | PA      | $8904146.99   | 0.06%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2801                      | CUSIP: 3140QADF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    329506 | PA      | $325949.24    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783390                      | CUSIP: 36241LXT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    423738 | PA      | $414153.80    | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G30703                      | CUSIP: 3132J4AD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    329555 | PA      | $309034.84    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BM3956                      | CUSIP: 3617JUMD0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    424877 | PA      | $423938.53    | 0.00%             | 2049-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7582                      | CUSIP: 3138WHM82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    498219 | PA      | $450225.89    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6064                      | CUSIP: 3138WFW28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2405979 | PA      | $2181054.93   | 0.01%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1366                      | CUSIP: 31416WQU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43563 | PA      | $43418.74     | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4286                      | CUSIP: 3140X7XQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3376528 | PA      | $2831873.34   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ0535                      | CUSIP: 3138MFSZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    914912 | PA      | $836431.40    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93497                      | CUSIP: 3129413E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    345488 | PA      | $348014.89    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93093                      | CUSIP: 312941NJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    613473 | PA      | $617957.49    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6709                      | CUSIP: 36179VN22<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21788188 | PA      | $19231751.88  | 0.12%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 4 12/22                   | CUSIP: 21H0406C2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  28950000 | PA      | $27615584.49  | 0.17%             | 2022-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2909                      | CUSIP: 31418CGT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1306104 | PA      | $1261043.27   | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q44452                      | CUSIP: 3132WH5N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1217098 | PA      | $1098632.24   | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03812                      | CUSIP: 3128M5R93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    147985 | PA      | $152302.26    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93990                      | CUSIP: 312942NF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3480743 | PA      | $3401027.49   | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1200                      | CUSIP: 31418AKN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2912960 | PA      | $2681168.53   | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02897                      | CUSIP: 31294MGE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2364 | PA      | $2326.23      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8409                      | CUSIP: 3138WJKX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    121706 | PA      | $114116.77    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5487                      | CUSIP: 31419GCZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177508 | PA      | $177332.76    | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03517                      | CUSIP: 31292K4A2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    351472 | PA      | $352292.36    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7418                      | CUSIP: 36179WG36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  81324351 | PA      | $71551734.24  | 0.45%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1772                      | CUSIP: 31418A6J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    442090 | PA      | $420959.44    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO9121                      | CUSIP: 3140K5D38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1108690 | PA      | $995986.60    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01975                      | CUSIP: 3128LXFQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    287792 | PA      | $300245.09    | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03432                      | CUSIP: 3128M5ED8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43210 | PA      | $44400.06     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 831105                      | CUSIP: 31407HKS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11588 | PA      | $12179.53     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08068                      | CUSIP: 3128MJCE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    330426 | PA      | $329004.52    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4024                      | CUSIP: 3140QBPJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    418355 | PA      | $387154.04    | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR0454                      | CUSIP: 3140KXQG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1239026 | PA      | $1068249.47   | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745950                      | CUSIP: 31403DWK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141322 | PA      | $150641.31    | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1849                      | CUSIP: 3140EWBT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    972679 | PA      | $878929.34    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08784                      | CUSIP: 3128MJ2S8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5450013 | PA      | $5081237.55   | 0.03%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9043                      | CUSIP: 3140XDBM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81528 | PA      | $78324.88     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5217                      | CUSIP: 3140X8YP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5539530 | PA      | $4569417.93   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0291                      | CUSIP: 3132DMKC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2399878 | PA      | $2411229.35   | 0.02%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0416                      | CUSIP: 3140XFPA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9121494 | PA      | $8159276.37   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0023                      | CUSIP: 36179MAY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    886302 | PA      | $868468.68    | 0.01%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90320                      | CUSIP: 312938K93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13901 | PA      | $14113.72     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745755                      | CUSIP: 31403DQG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    445562 | PA      | $456721.78    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5140                        | CUSIP: 36202FV94<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1768393 | PA      | $1791412.60   | 0.01%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4558                        | CUSIP: 36202FB39<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    582084 | PA      | $589657.49    | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8184                      | CUSIP: 3132DWCV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9667287 | PA      | $8569834.54   | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08738                      | CUSIP: 3128MJZC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1282856 | PA      | $1200028.93   | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4839                      | CUSIP: 36179TLU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    618467 | PA      | $615589.58    | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q13637                      | CUSIP: 3132HQBE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2068457 | PA      | $1870223.59   | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05852                      | CUSIP: 3128M7ZR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169672 | PA      | $172608.48    | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM1194                      | CUSIP: 3131XUKF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146171 | PA      | $131820.92    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08631                      | CUSIP: 3128MJVZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    506464 | PA      | $458604.76    | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7771                      | CUSIP: 3133KPT40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1400840 | PA      | $1327383.57   | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7163                      | CUSIP: 3140XA5Z1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    763739 | PA      | $752039.81    | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0944                      | CUSIP: 3138A2BN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    441323 | PA      | $436422.78    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3172                      | CUSIP: 36179RQZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2841319 | PA      | $2625579.25   | 0.02%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2607                      | CUSIP: 3140XH3R6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16279797 | PA      | $15487064.12  | 0.10%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08783                      | CUSIP: 3128MJ2R0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    576095 | PA      | $518736.31    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6432                      | CUSIP: 31418UEE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    943957 | PA      | $946159.53    | 0.01%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4379                      | CUSIP: 3131XX2L4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    962061 | PA      | $895956.38    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1626                      | CUSIP: 3140X4YY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44880 | PA      | $43048.25     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4491                      | CUSIP: 3138M77D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    894431 | PA      | $808541.00    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1348                      | CUSIP: 31418AQA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1071280 | PA      | $930704.51    | 0.01%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8150                      | CUSIP: 3132DWBT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  52183220 | PA      | $43049940.56  | 0.27%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6658                      | CUSIP: 36179VMF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    466980 | PA      | $450958.66    | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9518                      | CUSIP: 3140XDSG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13907495 | PA      | $11970360.75  | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08528                      | CUSIP: 3128MJSS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2011296 | PA      | $1828054.91   | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1754                      | CUSIP: 3140X45Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2045836 | PA      | $1920104.70   | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7575                      | CUSIP: 31417EMZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    840872 | PA      | $746587.72    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01797                      | CUSIP: 31292H7J7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6063 | PA      | $6141.52      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4689                      | CUSIP: 31417BF77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50501 | PA      | $47233.92     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8191                      | CUSIP: 3138ANC50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63172 | PA      | $63048.29     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8397                      | CUSIP: 3138ETKK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1173744 | PA      | $1105943.78   | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A14237                      | CUSIP: 31296NV61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24905 | PA      | $25332.30     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2964                      | CUSIP: 31418CJJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1113306 | PA      | $1057916.77   | 0.01%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8583                      | CUSIP: 3140XCRD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7171250 | PA      | $6633190.82   | 0.04%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6786                      | CUSIP: 31417DRG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    248727 | PA      | $232770.23    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ9182                      | CUSIP: 3140E2FY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2187477 | PA      | $2091909.19   | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61658                      | CUSIP: 31335BZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1545222 | PA      | $1543995.58   | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2979                      | CUSIP: 3140X6JZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1863309 | PA      | $1798102.00   | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96409                      | CUSIP: 312945DN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2051895 | PA      | $1921332.55   | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0978                      | CUSIP: 31418ACQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218122 | PA      | $205449.50    | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08697                      | CUSIP: 3128MJX39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2859772 | PA      | $2581620.63   | 0.02%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9844                      | CUSIP: 3140XD5E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3530675 | PA      | $3324393.35   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698199                      | CUSIP: 36296QUY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    350664 | PA      | $348267.98    | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5109                      | CUSIP: 3140X8VB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3434993 | PA      | $3230132.11   | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01777                      | CUSIP: 31283H6N0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73118 | PA      | $77894.33     | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888276                      | CUSIP: 31410F2H7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    111900 | PA      | $117593.99    | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA5940                      | CUSIP: 31329PS53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    975110 | PA      | $967697.73    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0318                      | CUSIP: 36179MK74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3922996 | PA      | $3717134.00   | 0.02%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0423                      | CUSIP: 3138LQPH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    440112 | PA      | $397923.73    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8213                      | CUSIP: 3132DWDS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32834172 | PA      | $29081761.13  | 0.18%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7506                      | CUSIP: 3132DVKT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9442269 | PA      | $9129589.81   | 0.06%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2835                      | CUSIP: 31418CEH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    586885 | PA      | $567054.69    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AZ1002                      | CUSIP: 36197DDF2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    836880 | PA      | $794326.01    | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08842                      | CUSIP: 3128MJ5C0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7131121 | PA      | $6854433.54   | 0.04%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1284                      | CUSIP: 36179NM96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18716509 | PA      | $17153289.57  | 0.11%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4097                      | CUSIP: 31418DRT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9538057 | PA      | $8526047.20   | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3592                      | CUSIP: 31418C7E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44519 | PA      | $42654.98     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8428                      | CUSIP: 36179XLH7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14020000 | PA      | $14017751.19  | 0.09%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995672                      | CUSIP: 31416CCH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1202918 | PA      | $1188183.39   | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3988                      | CUSIP: 3133KKND7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3843031 | PA      | $3298909.37   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3280                      | CUSIP: 3140J7UE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1189384 | PA      | $1182918.65   | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9138                      | CUSIP: 3140XDEL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47593 | PA      | $45705.69     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7368                      | CUSIP: 36179WFH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4822002 | PA      | $4370707.56   | 0.03%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04422                      | CUSIP: 31292L4F9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    857764 | PA      | $759419.25    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK5283                      | CUSIP: 3140HJ2R1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108206 | PA      | $107008.89    | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3184                      | CUSIP: 31418CRE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2488466 | PA      | $2432418.46   | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ2969                      | CUSIP: 3140H4JP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88109 | PA      | $79385.56     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0181                      | CUSIP: 3132D9FW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1875603 | PA      | $1640549.07   | 0.01%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3106                      | CUSIP: 36179RNX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2928120 | PA      | $2869314.06   | 0.02%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8600                      | CUSIP: 3138ETRW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67949 | PA      | $66375.89     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6606                      | CUSIP: 3140XAKU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8149098 | PA      | $7373187.79   | 0.05%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC4777                      | CUSIP: 3140F0JX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4430251 | PA      | $4154013.04   | 0.03%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1089                      | CUSIP: 36179NF60<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1932055 | PA      | $1770752.80   | 0.01%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08578                      | CUSIP: 3128MJUC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    423273 | PA      | $419190.47    | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0926                      | CUSIP: 31418NA42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17373 | PA      | $18169.46     | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4361                      | CUSIP: 31418DZ39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9512581 | PA      | $8797811.33   | 0.06%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1499                      | CUSIP: 31418AUZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163271 | PA      | $153861.72    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7614                      | CUSIP: 31418VN81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49863 | PA      | $50845.99     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4182                      | CUSIP: 3140X7UG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3643867 | PA      | $3552395.92   | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5193                      | CUSIP: 36179TXW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4555321 | PA      | $4561125.25   | 0.03%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4136                      | CUSIP: 3138LUS22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    348973 | PA      | $326607.42    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08372                      | CUSIP: 3128MJMW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    734494 | PA      | $740242.97    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8100                      | CUSIP: 36179W7M4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15117690 | PA      | $14449407.84  | 0.09%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9575                      | CUSIP: 3138ERT91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158099 | PA      | $158115.81    | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE6651                      | CUSIP: 31419HL91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       565 | PA      | $583.10       | 0.00%             | 2040-12-01      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1959                      | CUSIP: 31418BE93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1089810 | PA      | $1037754.28   | 0.01%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7938                      | CUSIP: 36179WZB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10242579 | PA      | $9524962.12   | 0.06%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3537                      | CUSIP: 3140J74X0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    673513 | PA      | $639224.03    | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2962                      | CUSIP: 31418CJG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156819 | PA      | $151409.46    | 0.00%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4119                      | CUSIP: 31418DSH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  70340669 | PA      | $58158284.22  | 0.36%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI4891                      | CUSIP: 3138AJNH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    386526 | PA      | $384481.50    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8311                      | CUSIP: 3138WJGV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    350724 | PA      | $315750.50    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91982                      | CUSIP: 3128P8FX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    785460 | PA      | $730255.75    | 0.00%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14153                      | CUSIP: 3128PTTJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28312 | PA      | $26814.83     | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3129                      | CUSIP: 3140X6PP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1869705 | PA      | $1671054.39   | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1527                      | CUSIP: 31418AVV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1566481 | PA      | $1434922.42   | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8021                      | CUSIP: 3132DV4E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10983174 | PA      | $9481888.05   | 0.06%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6090                      | CUSIP: 36179UXT4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1739202 | PA      | $1635984.87   | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0069                      | CUSIP: 3138EGCF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204947 | PA      | $211002.28    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60342                      | CUSIP: 31335ALX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81716 | PA      | $82104.33     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6226                      | CUSIP: 3138EN4L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    421259 | PA      | $394919.43    | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7904                      | CUSIP: 3138WHYA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    841930 | PA      | $760686.59    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18710                      | CUSIP: 3128MMYG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1589999 | PA      | $1533379.54   | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 729037                      | CUSIP: 3620AF4W4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    486541 | PA      | $504611.48    | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4680                      | CUSIP: 31417BFW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33397 | PA      | $31986.00     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4379                      | CUSIP: 3140X72M0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1081521 | PA      | $959548.82    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY1394                      | CUSIP: 3138YERQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2304904 | PA      | $2089058.17   | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0406                      | CUSIP: 3132CWNX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    468513 | PA      | $435264.49    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3524                      | CUSIP: 36179R4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    210948 | PA      | $219897.92    | 0.00%             | 2046-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6410                      | CUSIP: 36179VDP2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5734979 | PA      | $5394620.73   | 0.03%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0533                      | CUSIP: 36179MSW1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3221782 | PA      | $2980563.48   | 0.02%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3598                      | CUSIP: 36179R7K9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2866336 | PA      | $2808787.02   | 0.02%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 779084                      | CUSIP: 36176XJ59<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    434981 | PA      | $402563.06    | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ2940                      | CUSIP: 3138YUHS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1317077 | PA      | $1236244.00   | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5054                        | CUSIP: 36202FTK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    261163 | PA      | $255911.56    | 0.00%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5059                      | CUSIP: 3133KYTQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    636804 | PA      | $560498.69    | 0.00%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18522                      | CUSIP: 3128MMSL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    678490 | PA      | $650773.95    | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0138                      | CUSIP: 36179MEK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    594862 | PA      | $555475.80    | 0.00%             | 2027-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9933                      | CUSIP: 3140XEBB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18549785 | PA      | $16470845.36  | 0.10%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723170                      | CUSIP: 3620A9MT5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6869 | PA      | $6966.47      | 0.00%             | 2024-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A46278                      | CUSIP: 3128K66P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77140 | PA      | $79347.83     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH5752                      | CUSIP: 3140GUMA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4391712 | PA      | $4098508.92   | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3293                      | CUSIP: 3131XJUS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3054767 | PA      | $2877343.24   | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0315                      | CUSIP: 3138W9K58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    300549 | PA      | $292142.05    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2472                      | CUSIP: 31418BXA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1126501 | PA      | $1031841.21   | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11213                      | CUSIP: 3132HMK26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    423046 | PA      | $382536.64    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61070                      | CUSIP: 31335BFK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3214523 | PA      | $2921002.90   | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890335                      | CUSIP: 31410LEG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    249060 | PA      | $248797.06    | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4519                      | CUSIP: 31418EAV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24175667 | PA      | $19366428.31  | 0.12%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU6961                      | CUSIP: 3138X6WX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1361877 | PA      | $1307411.24   | 0.01%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3604                      | CUSIP: 3138WDAE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218435 | PA      | $209695.57    | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0602                      | CUSIP: 3140XFU41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5651992 | PA      | $4846473.56   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BL3846                      | CUSIP: 3617JGHX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    365668 | PA      | $365351.52    | 0.00%             | 2049-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5122                        | CUSIP: 36202FVP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     72507 | PA      | $71320.08     | 0.00%             | 2026-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3173                      | CUSIP: 3140X6Q38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6397418 | PA      | $6008257.50   | 0.04%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18516                      | CUSIP: 3128MMSE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    255058 | PA      | $246299.42    | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1165                      | CUSIP: 31418AJK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8090358 | PA      | $7446348.58   | 0.05%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1846                      | CUSIP: 3138EJBQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17768 | PA      | $17857.64     | 0.00%             | 2037-10-01      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3737                      | CUSIP: 31417AEK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    973007 | PA      | $923483.98    | 0.01%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8222                      | CUSIP: 3132DWD34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26816546 | PA      | $25414807.46  | 0.16%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0500                      | CUSIP: 31417YRW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87886 | PA      | $91223.43     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH2683                      | CUSIP: 3138A36V4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    690149 | PA      | $674378.86    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4467                      | CUSIP: 31418D6D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6067051 | PA      | $5383008.23   | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3462                      | CUSIP: 31418CZ49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    268758 | PA      | $259427.53    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ1665                      | CUSIP: 3140H2Z76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    319016 | PA      | $307395.04    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4320                      | CUSIP: 3140X7YS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3985609 | PA      | $3766348.92   | 0.02%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6060                      | CUSIP: 3140X9WW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3552669 | PA      | $2955098.61   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD8249                      | CUSIP: 3140FGEX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    518239 | PA      | $459937.29    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4329                      | CUSIP: 31418DY30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19157234 | PA      | $17235204.26  | 0.11%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3935                      | CUSIP: 36179SLQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1057244 | PA      | $927059.62    | 0.01%             | 2046-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2714                      | CUSIP: 3138EKAQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    333519 | PA      | $311954.47    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7467                      | CUSIP: 3138EQJM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    984815 | PA      | $953100.12    | 0.01%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4054                      | CUSIP: 31418DQG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5148791 | PA      | $4531867.91   | 0.03%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3937                      | CUSIP: 36179SLS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6117819 | PA      | $5777853.45   | 0.04%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0437                      | CUSIP: 3132CWPW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6919328 | PA      | $6252307.37   | 0.04%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4697                      | CUSIP: 3132A5GE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3298253 | PA      | $2974384.05   | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91336                      | CUSIP: 3128P7PV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164764 | PA      | $165032.78    | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY3376                      | CUSIP: 3138YGXE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    759687 | PA      | $713064.35    | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4742                      | CUSIP: 31417BHU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    721438 | PA      | $652250.07    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6374                      | CUSIP: 31418UCL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    639599 | PA      | $663928.32    | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1812                      | CUSIP: 3132DPAM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6965892 | PA      | $6962678.12   | 0.04%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09030                      | CUSIP: 31294UA78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65508 | PA      | $61881.61     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5357                      | CUSIP: 31417B5T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    457826 | PA      | $427682.07    | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5346                      | CUSIP: 3140X85G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55147 | PA      | $49822.13     | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 550613                      | CUSIP: 36213CVE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     89621 | PA      | $90761.76     | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2014                      | CUSIP: 3140XHGY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2974069 | PA      | $2799521.58   | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9278                      | CUSIP: 3138E2JY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    640512 | PA      | $607879.00    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778875                      | CUSIP: 36176XCL1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    645026 | PA      | $602165.49    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1518                      | CUSIP: 3140XGVL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10805405 | PA      | $8926855.42   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6630                      | CUSIP: 3140KELL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4317898 | PA      | $3618012.41   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5399                      | CUSIP: 3140X87M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9920554 | PA      | $9429080.12   | 0.06%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0205                      | CUSIP: 3138W9GP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    606848 | PA      | $550510.86    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783308                      | CUSIP: 36241LU95<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     56264 | PA      | $54099.91     | 0.00%             | 2026-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254310                      | CUSIP: 31371KN31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6495 | PA      | $6924.59      | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60491                      | CUSIP: 31335ARL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    658049 | PA      | $636706.10    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q49490                      | CUSIP: 3132WPRL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7759494 | PA      | $7234973.03   | 0.05%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA8518                      | CUSIP: 3133A3PB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1672333 | PA      | $1494512.48   | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9128                      | CUSIP: 3138EREA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72496 | PA      | $72258.60     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08737                      | CUSIP: 3128MJZB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9418257 | PA      | $8501776.74   | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6987                      | CUSIP: 3140QEXR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23965555 | PA      | $19734642.25  | 0.12%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08507                      | CUSIP: 3128MJR51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174325 | PA      | $157611.39    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3173                      | CUSIP: 36179RQ28<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4957935 | PA      | $4695009.05   | 0.03%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6307                      | CUSIP: 3138EPAH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1446828 | PA      | $1429124.70   | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3740                      | CUSIP: 31417AEN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    233065 | PA      | $221155.87    | 0.00%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J20466                      | CUSIP: 31306XQT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    349350 | PA      | $325804.71    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0698                      | CUSIP: 36179MX39<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5321398 | PA      | $4876951.47   | 0.03%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18330                      | CUSIP: 3128MMLL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    127665 | PA      | $128072.64    | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ9175                      | CUSIP: 3140KVFR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2518027 | PA      | $2110540.77   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6111                      | CUSIP: 3138WFYH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    803666 | PA      | $761453.05    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4236                      | CUSIP: 31418DV66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  83613614 | PA      | $65015103.42  | 0.41%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD9744                      | CUSIP: 31418XZJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44940 | PA      | $44964.76     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1603                      | CUSIP: 31416WX98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11744 | PA      | $11732.76     | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783417                      | CUSIP: 36241LYN0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    300432 | PA      | $303627.15    | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4786                      | CUSIP: 3138M8J87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1151422 | PA      | $1041135.09   | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J12463                      | CUSIP: 3128PRWY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57717 | PA      | $58756.66     | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7942                      | CUSIP: 3132A8ZF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25633 | PA      | $24611.40     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3518                      | CUSIP: 31418C4C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    372217 | PA      | $366884.69    | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40054                      | CUSIP: 3132FCBX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    302454 | PA      | $294115.89    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 928147                      | CUSIP: 31412LEU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18505 | PA      | $19735.92     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6311                      | CUSIP: 3138WGAM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    735380 | PA      | $690264.35    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9257                      | CUSIP: 3140XDJB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12946418 | PA      | $11126257.63  | 0.07%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0946                      | CUSIP: 3138A2BQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    703206 | PA      | $687111.50    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP2132                      | CUSIP: 3138M5LN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2673448 | PA      | $2502269.92   | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09013                      | CUSIP: 31292SAN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1736224 | PA      | $1569938.40   | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7256                      | CUSIP: 36179WBZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2056451 | PA      | $1866776.38   | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782528                      | CUSIP: 36241KYZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    687948 | PA      | $727710.05    | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7525                      | CUSIP: 3132DVLE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17483797 | PA      | $15114089.01  | 0.09%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6656                      | CUSIP: 36179VMD9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7560403 | PA      | $6862948.11   | 0.04%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4283                      | CUSIP: 3140X7XM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7057883 | PA      | $6346545.24   | 0.04%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698481                      | CUSIP: 36296Q6S3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    396474 | PA      | $402314.79    | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7827                      | CUSIP: 36179WVU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  60117747 | PA      | $52775169.47  | 0.33%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2868                      | CUSIP: 31418CFJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3640578 | PA      | $3413615.48   | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3662                      | CUSIP: 3140X7B81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2519033 | PA      | $2267191.08   | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5766                      | CUSIP: 36179UMP4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     36011 | PA      | $37029.57     | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725027                      | CUSIP: 31402CPL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3928481 | PA      | $4026920.28   | 0.03%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01846                      | CUSIP: 31292JBP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     93187 | PA      | $94830.60     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18251                      | CUSIP: 3128MMH55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1548 | PA      | $1522.99      | 0.00%             | 2023-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7130                      | CUSIP: 3140XA4Q2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5280975 | PA      | $4531884.24   | 0.03%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4511                      | CUSIP: 31418EAM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  47629951 | PA      | $39290537.11  | 0.25%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0728                      | CUSIP: 31419AY27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2211 | PA      | $2348.04      | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4013                      | CUSIP: 31418DN73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2861616 | PA      | $2653429.60   | 0.02%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6802                      | CUSIP: 31418URY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269327 | PA      | $274633.57    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0848                      | CUSIP: 31417Y5J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21519 | PA      | $20915.75     | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8155                      | CUSIP: 3132D6BY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15793899 | PA      | $14864483.59  | 0.09%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01840                      | CUSIP: 3128LXBH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    712010 | PA      | $724593.60    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2994                      | CUSIP: 31418CKG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    579179 | PA      | $540551.63    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7507                      | CUSIP: 3132DVKU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11089006 | PA      | $9837170.06   | 0.06%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4018                        | CUSIP: 36202EPB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     10263 | PA      | $10655.95     | 0.00%             | 2037-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08347                      | CUSIP: 3128MJL57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    995850 | PA      | $1003644.78   | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783403                      | CUSIP: 36241LX84<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1458161 | PA      | $1418955.09   | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2833                      | CUSIP: 31418CEF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12489093 | PA      | $11284899.73  | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6173                      | CUSIP: 3140X92F1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4350270 | PA      | $4151191.22   | 0.03%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01841                      | CUSIP: 3128LXBJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    411423 | PA      | $417002.11    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18520                      | CUSIP: 3128MMSJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    348254 | PA      | $330298.98    | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0976                      | CUSIP: 31418ACN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1337542 | PA      | $1243313.45   | 0.01%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1370                      | CUSIP: 3140X4QY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3978202 | PA      | $3605562.33   | 0.02%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5930                      | CUSIP: 36179UST0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6439219 | PA      | $6057120.41   | 0.04%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2.5 12/22                 | CUSIP: 01F0224C6<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -2125000 | PA      | $-1960644.43  | -0.01%            | 2022-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782956                      | CUSIP: 36241LH90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    223580 | PA      | $226865.13    | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8017                      | CUSIP: 3132DV4A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8122864 | PA      | $7542694.23   | 0.05%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1920                      | CUSIP: 36179QDZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    271830 | PA      | $266367.45    | 0.00%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1159                      | CUSIP: 3140Q8JD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    939516 | PA      | $876870.55    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8043                      | CUSIP: 36179W5C8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24384888 | PA      | $21988134.16  | 0.14%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1245                      | CUSIP: 3140X4L38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269872 | PA      | $265996.84    | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09032                      | CUSIP: 31292SA91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2312916 | PA      | $2156519.63   | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 962727                      | CUSIP: 31414DA48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       150 | PA      | $151.50       | 0.00%             | 2023-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8098                      | CUSIP: 3132DV7K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  42310671 | PA      | $34982585.56  | 0.22%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4196                      | CUSIP: 36179SUV7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1728637 | PA      | $1632525.89   | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07288                      | CUSIP: 3128M9ND0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223634 | PA      | $231466.00    | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4719                      | CUSIP: 36179TG41<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17541750 | PA      | $16540507.62  | 0.10%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01879                      | CUSIP: 3128LXCQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49994 | PA      | $50676.19     | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06875                      | CUSIP: 3128M86L3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158736 | PA      | $167193.25    | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781594                      | CUSIP: 36225BXX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     12454 | PA      | $13501.28     | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95407                      | CUSIP: 312944AG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151267 | PA      | $147807.83    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3069                      | CUSIP: 3140XJMT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4145822 | PA      | $4025735.55   | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08085                      | CUSIP: 3128MJCX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49881 | PA      | $50794.19     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91782                      | CUSIP: 3128P76T5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    256372 | PA      | $249078.85    | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J11140                      | CUSIP: 3128PQHR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1054 | PA      | $1057.66      | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1402                      | CUSIP: 3132DNRX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4175047 | PA      | $3245882.63   | 0.02%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A61800                      | CUSIP: 3128KR7M0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32249 | PA      | $33283.38     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2898                      | CUSIP: 31418CGG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2405562 | PA      | $2248931.86   | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3522                      | CUSIP: 3140X64G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28836 | PA      | $27504.35     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD3975                      | CUSIP: 3140FBMZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1330304 | PA      | $1252768.96   | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0039                      | CUSIP: 3140XFBH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2214941 | PA      | $1997562.75   | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4317                      | CUSIP: 3140X7YP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7229440 | PA      | $6471306.90   | 0.04%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995685                      | CUSIP: 31416CCW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199483 | PA      | $208476.01    | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4749                      | CUSIP: 3140X8H34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2629049 | PA      | $2553507.00   | 0.02%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 4 12/22                   | CUSIP: 01F0404C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15375000 | PA      | $15036270.30  | 0.09%             | 2022-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0200                      | CUSIP: 31417YGJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    335644 | PA      | $328557.72    | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8581                      | CUSIP: 3132A9RA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    955534 | PA      | $898501.62    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0554                      | CUSIP: 3138W9TL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    856772 | PA      | $862258.82    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18642                      | CUSIP: 3128MMWC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    612587 | PA      | $597307.20    | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08667                      | CUSIP: 3128MJW55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3494634 | PA      | $3277135.61   | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3066                      | CUSIP: 31419DMQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214429 | PA      | $214215.52    | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4079                      | CUSIP: 31418DQ96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8454089 | PA      | $7556630.14   | 0.05%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1546                      | CUSIP: 3132ADWF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4725554 | PA      | $4664576.30   | 0.03%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06020                      | CUSIP: 3128M8AV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    542169 | PA      | $551552.21    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6338                      | CUSIP: 36179VBF6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17820061 | PA      | $16230972.90  | 0.10%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3427                      | CUSIP: 31418CYZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84888 | PA      | $83670.47     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8063                      | CUSIP: 3132A85Y1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574518 | PA      | $539540.35    | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90831                      | CUSIP: 31335H4Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5056 | PA      | $5106.61      | 0.00%             | 2024-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1257                      | CUSIP: 3132ADME5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4845979 | PA      | $4429851.50   | 0.03%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4855                        | CUSIP: 36202FMC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    122842 | PA      | $128123.60    | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7367                      | CUSIP: 36179WFG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  28860691 | PA      | $25393987.92  | 0.16%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7471                      | CUSIP: 36179WJQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  51371230 | PA      | $43753991.70  | 0.27%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4422                      | CUSIP: 31418D4G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5593558 | PA      | $4795859.57   | 0.03%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6468                      | CUSIP: 3140XAFJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1608035 | PA      | $1544401.74   | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1374                      | CUSIP: 36179NQ35<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    912623 | PA      | $836400.81    | 0.01%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2195                      | CUSIP: 3132AENL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    376467 | PA      | $363621.41    | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89385                      | CUSIP: 312936NA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    297689 | PA      | $300018.78    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA4209                      | CUSIP: 31329MVA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1854155 | PA      | $1684882.54   | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4307                      | CUSIP: 3140X7YD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1254685 | PA      | $1138230.34   | 0.01%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13468                      | CUSIP: 3128MCCD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1355 | PA      | $1343.75      | 0.00%             | 2024-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC8616                      | CUSIP: 31417VSE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       529 | PA      | $545.87       | 0.00%             | 2040-01-01      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5078                      | CUSIP: 3133KYUB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2611191 | PA      | $2298062.09   | 0.01%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ4245                      | CUSIP: 3138AVWF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    695176 | PA      | $678655.18    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL5908                      | CUSIP: 36184CR56<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    225024 | PA      | $213014.47    | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01649                      | CUSIP: 31283HZN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270807 | PA      | $275445.20    | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8062                      | CUSIP: 3132D55X6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3193076 | PA      | $2960624.85   | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01981                      | CUSIP: 3128LXFW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22058 | PA      | $23510.53     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14649                      | CUSIP: 3128MDL68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    439747 | PA      | $406069.78    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2469                      | CUSIP: 3133KHW69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1292616 | PA      | $1199318.59   | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3101                      | CUSIP: 3140QNNT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    565987 | PA      | $466714.68    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3276                      | CUSIP: 31418CUA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2312956 | PA      | $2155308.48   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255892                      | CUSIP: 31371MF93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9360 | PA      | $9363.46      | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735230                      | CUSIP: 31402QY39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    248371 | PA      | $259196.03    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD1716                      | CUSIP: 36180C3Z0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     68152 | PA      | $61586.37     | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4048                      | CUSIP: 31418DQA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8441583 | PA      | $7545415.57   | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5231                      | CUSIP: 3138EMY54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1979091 | PA      | $1976871.25   | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4143                      | CUSIP: 3140QBS90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2800945 | PA      | $2504251.40   | 0.02%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4203                      | CUSIP: 31418DU59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1852945 | PA      | $1598918.84   | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7337                      | CUSIP: 3140XBEK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1710732 | PA      | $1526831.30   | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04668                      | CUSIP: 3128M6QV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16096 | PA      | $16391.94     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7136                      | CUSIP: 36179V4V9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14237821 | PA      | $12528462.67  | 0.08%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4836                      | CUSIP: 36179TLR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16415515 | PA      | $15094911.89  | 0.09%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3744                      | CUSIP: 31418DES7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3500746 | PA      | $3135962.10   | 0.02%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8053                      | CUSIP: 3132D55N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    333040 | PA      | $308795.54    | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1672                      | CUSIP: 3132DN2D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4778457 | PA      | $4670573.67   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1387                      | CUSIP: 3140X4RH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5139768 | PA      | $5173731.78   | 0.03%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08106                      | CUSIP: 3128MJDL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77543 | PA      | $81183.01     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 736570                      | CUSIP: 3620AQJP9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    924678 | PA      | $938229.11    | 0.01%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40130                      | CUSIP: 3132FCEB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8050835 | PA      | $7366753.12   | 0.05%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5330                        | CUSIP: 36202F4P8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    258111 | PA      | $238768.45    | 0.00%             | 2042-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8212                      | CUSIP: 3132DWDR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8678344 | PA      | $7419819.30   | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO3283                      | CUSIP: 3140JXUH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19441 | PA      | $18458.11     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4178                      | CUSIP: 31418DUC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20746374 | PA      | $18170041.30  | 0.11%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3340                      | CUSIP: 3140X6WA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3237813 | PA      | $3157856.70   | 0.02%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782213                      | CUSIP: 36241KN61<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    341278 | PA      | $350168.86    | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3990                      | CUSIP: 31418DNG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15691513 | PA      | $13505159.83  | 0.08%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5365                      | CUSIP: 3138WE6B0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1118022 | PA      | $1055905.68   | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9316                      | CUSIP: 3138MRK67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1033365 | PA      | $894412.48    | 0.01%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3455                      | CUSIP: 36179RZU6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    538070 | PA      | $527264.94    | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4327                      | CUSIP: 31418DYZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1467842 | PA      | $1301078.81   | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18441                      | CUSIP: 3128MMP31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    285616 | PA      | $266363.40    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8269                      | CUSIP: 36179XFJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2842392 | PA      | $2841936.06   | 0.02%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5082                        | CUSIP: 36202FUF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    725776 | PA      | $735219.37    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735501                      | CUSIP: 31402RDE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6785 | PA      | $7019.96      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AI8460                      | CUSIP: 36198VMH7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    123931 | PA      | $120578.03    | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4681                      | CUSIP: 3140J9FX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    873846 | PA      | $918350.66    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2088                      | CUSIP: 3132AEJ98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3274102 | PA      | $3189721.77   | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3876                      | CUSIP: 3132A4JV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65517 | PA      | $66786.48     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1684                      | CUSIP: 3140XG2S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4961785 | PA      | $4765178.43   | 0.03%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1228                      | CUSIP: 3140J5LJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46189 | PA      | $44027.28     | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08488                      | CUSIP: 3128MJRJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    562940 | PA      | $530773.12    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2013                      | CUSIP: 3140XHGX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3893431 | PA      | $3664505.09   | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4441                      | CUSIP: 31418D5B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    556841 | PA      | $487629.72    | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4216                      | CUSIP: 3140X7VJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5896053 | PA      | $5493306.96   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91404                      | CUSIP: 3128P7RZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    462701 | PA      | $431786.79    | 0.00%             | 2031-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2997                      | CUSIP: 31418CKK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    118209 | PA      | $112325.98    | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0583                      | CUSIP: 31417YUH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    656456 | PA      | $641421.35    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3594                      | CUSIP: 31418C7G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1009077 | PA      | $1004860.44   | 0.01%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3800                      | CUSIP: 3132A4GH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7339495 | PA      | $6838273.89   | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 835760                      | CUSIP: 31407NQM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    134616 | PA      | $134423.56    | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8121                      | CUSIP: 3132DWAW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  73078379 | PA      | $60419355.02  | 0.38%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J20129                      | CUSIP: 31306XEA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2455176 | PA      | $2289673.99   | 0.01%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778882                      | CUSIP: 36176XCT4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1719542 | PA      | $1709266.12   | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6221                      | CUSIP: 36179U4E9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    337958 | PA      | $338387.08    | 0.00%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4232                      | CUSIP: 31418DV25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4113379 | PA      | $3500114.19   | 0.02%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2747                      | CUSIP: 31418CBR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    351582 | PA      | $329203.46    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ8647                      | CUSIP: 3138MQTD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    260462 | PA      | $243624.13    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5399                      | CUSIP: 36179T7L3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4733165 | PA      | $4739192.48   | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2285                      | CUSIP: 3140X5RF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155425 | PA      | $155100.46    | 0.00%             | 2024-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784457                      | CUSIP: 3622A25S7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1037086 | PA      | $1006975.43   | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4784                      | CUSIP: 31418EJ68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21858601 | PA      | $21293908.04  | 0.13%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4180                      | CUSIP: 31418DUE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    310171 | PA      | $287609.69    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4535                      | CUSIP: 31418EBD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5750232 | PA      | $5033510.80   | 0.03%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 710977                      | CUSIP: 36297F2J0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      5482 | PA      | $5354.45      | 0.00%             | 2039-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6279                      | CUSIP: 3140QD6R0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    188516 | PA      | $162271.81    | 0.00%             | 2045-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4943                        | CUSIP: 36202FP42<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    133371 | PA      | $129072.49    | 0.00%             | 2026-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO6225                      | CUSIP: 3140K14K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4814464 | PA      | $4312235.97   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2974                      | CUSIP: 31418CJU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1446697 | PA      | $1434142.56   | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1561                      | CUSIP: 31418AWX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1017818 | PA      | $932399.58    | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01974                      | CUSIP: 3128LXFP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    260362 | PA      | $265050.38    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01490                      | CUSIP: 31292HUP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9164 | PA      | $9268.80      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1756                      | CUSIP: 3140J55S4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39859 | PA      | $39249.49     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2863                      | CUSIP: 36179RFC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    226296 | PA      | $211104.87    | 0.00%             | 2030-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6611                      | CUSIP: 31417DKZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    106867 | PA      | $100015.73    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91887                      | CUSIP: 3128P8CY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2333813 | PA      | $2150417.90   | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02707                      | CUSIP: 31294MAG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17794 | PA      | $18110.86     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5792                      | CUSIP: 3140X9NJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    478049 | PA      | $418692.35    | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5259                      | CUSIP: 3138EMZZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    696772 | PA      | $683198.81    | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6595                      | CUSIP: 3140XAKH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1093647 | PA      | $1050693.00   | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2148                      | CUSIP: 36179QL58<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1973440 | PA      | $1870024.18   | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 3 12/22                   | CUSIP: 21H0306C3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18250000 | PA      | $16450663.15  | 0.10%             | 2022-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ3361                      | CUSIP: 3140KNWX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1636919 | PA      | $1353528.80   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS0971                      | CUSIP: 3132A1CG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     66169 | PA      | $67287.04     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4579                      | CUSIP: 31418ECR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  51236735 | PA      | $45382661.36  | 0.28%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3862                      | CUSIP: 3140X7JG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2297435 | PA      | $2230513.29   | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4152                      | CUSIP: 31418DTJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    321430 | PA      | $273502.82    | 0.00%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5031                      | CUSIP: 3133KYSU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    762912 | PA      | $669506.88    | 0.00%             | 2039-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01844                      | CUSIP: 31292JBM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    274187 | PA      | $273467.62    | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8153                      | CUSIP: 3132D6BW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7019919 | PA      | $6322778.84   | 0.04%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8501                      | CUSIP: 3132D6NS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5341851 | PA      | $4835421.72   | 0.03%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4382                      | CUSIP: 36179S2P1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4044330 | PA      | $3813341.77   | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0518                      | CUSIP: 31419ASG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164625 | PA      | $164461.58    | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00080                      | CUSIP: 3132GDCR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    273334 | PA      | $267556.70    | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7357                      | CUSIP: 3133KPE61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4727282 | PA      | $4610208.98   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2417                      | CUSIP: 31418BVK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1408033 | PA      | $1341882.86   | 0.01%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4577                        | CUSIP: 36202FCN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    942339 | PA      | $954592.24    | 0.01%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4043                      | CUSIP: 36179SP43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     96387 | PA      | $88552.87     | 0.00%             | 2031-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ6046                      | CUSIP: 3138AXWG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20922 | PA      | $21681.46     | 0.00%             | 2041-12-01      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8182                      | CUSIP: 3132DWCT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  69821261 | PA      | $57595900.54  | 0.36%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC9003                      | CUSIP: 3140F5AD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    334995 | PA      | $302694.65    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3827                      | CUSIP: 31418DHD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5558768 | PA      | $5162454.45   | 0.03%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1158                      | CUSIP: 3140EVJC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2432956 | PA      | $2278021.52   | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2314                      | CUSIP: 3140QMSC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1887937 | PA      | $1614875.66   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7767                      | CUSIP: 3138EQTZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1087374 | PA      | $1086833.86   | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1042                      | CUSIP: 3138WAEQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    748892 | PA      | $734243.34    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4128                      | CUSIP: 31418DSS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1443685 | PA      | $1228515.02   | 0.01%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4199                      | CUSIP: 3140X7UZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6144400 | PA      | $5757366.81   | 0.04%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3143                      | CUSIP: 31418CP57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    939754 | PA      | $847005.40    | 0.01%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1077                      | CUSIP: 3132DNFS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1423389 | PA      | $1354079.02   | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q06232                      | CUSIP: 3132GRHH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1618402 | PA      | $1550691.63   | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3305                      | CUSIP: 31418CU77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6409170 | PA      | $5972560.92   | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889493                      | CUSIP: 31410KGA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     78039 | PA      | $84372.13     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735580                      | CUSIP: 31402RFV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    656349 | PA      | $686348.49    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08073                      | CUSIP: 3128MJCK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    135292 | PA      | $134706.09    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AF1078                      | CUSIP: 36181GFT1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2256467 | PA      | $2004760.89   | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91164                      | CUSIP: 3128P7JH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7562 | PA      | $7599.96      | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2074                      | CUSIP: 36179QJT9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1790654 | PA      | $1754676.75   | 0.01%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3024                      | CUSIP: 3140XJLE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2346282 | PA      | $2221344.30   | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0604                      | CUSIP: 3140XFU66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11555155 | PA      | $9546488.68   | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9106                      | CUSIP: 36178WDK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1730644 | PA      | $1601218.51   | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3874                      | CUSIP: 36179SJT5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1326613 | PA      | $1252883.89   | 0.01%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03150                      | CUSIP: 3128M4ZP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33721 | PA      | $34027.96     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4359                      | CUSIP: 31418DZZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18014262 | PA      | $15775941.45  | 0.10%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6724                      | CUSIP: 3138EBPJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    909367 | PA      | $822250.50    | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4548                      | CUSIP: 31418EBS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9165760 | PA      | $7828780.33   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3227                      | CUSIP: 3140QASR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    361103 | PA      | $357222.44    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7593                      | CUSIP: 3140XBNK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10251723 | PA      | $9519301.77   | 0.06%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3639                      | CUSIP: 31418DBH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2384119 | PA      | $2322332.01   | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0524                      | CUSIP: 3140XFSN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8937471 | PA      | $7932786.25   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890604                      | CUSIP: 31410LNV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176587 | PA      | $176717.08    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6291                      | CUSIP: 31417C7D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    252443 | PA      | $237734.64    | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8103                      | CUSIP: 3132D6AC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12952920 | PA      | $11653478.05  | 0.07%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01843                      | CUSIP: 3128LXBL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148193 | PA      | $156560.00    | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4971                      | CUSIP: 3140X8QZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    755958 | PA      | $712066.54    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2775                      | CUSIP: 31418CCM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2728386 | PA      | $2558252.99   | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3767                      | CUSIP: 3140FPFH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    871756 | PA      | $813573.21    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738313                      | CUSIP: 3620ASGW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    610448 | PA      | $615674.88    | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4882                        | CUSIP: 36202FM78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4452278 | PA      | $4362682.38   | 0.03%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1163                      | CUSIP: 3138AEJH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195500 | PA      | $194468.15    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01939                      | CUSIP: 3128LXEL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105335 | PA      | $102417.69    | 0.00%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888366                      | CUSIP: 31410F6B6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    208506 | PA      | $225480.85    | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1505                      | CUSIP: 3138EHU75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    514962 | PA      | $500833.70    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05871                      | CUSIP: 3128M72C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    261034 | PA      | $274289.18    | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6906                      | CUSIP: 36179VU73<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    595312 | PA      | $552032.92    | 0.00%             | 2035-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5992                      | CUSIP: 3138WTUS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219616 | PA      | $199796.55    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ3381                      | CUSIP: 3138MJXK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    944578 | PA      | $853929.31    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03935                      | CUSIP: 31292LLQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    207119 | PA      | $198478.52    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4493                      | CUSIP: 31418D7F3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  56540691 | PA      | $48492055.98  | 0.30%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5650                      | CUSIP: 36179UH39<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1046339 | PA      | $984867.80    | 0.01%             | 2048-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08086                      | CUSIP: 3128MJCY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    134905 | PA      | $144522.82    | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6877                      | CUSIP: 3140XAUB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1388345 | PA      | $1397396.56   | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2861                      | CUSIP: 3138EKFB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    832446 | PA      | $800153.14    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3941                      | CUSIP: 31418DLX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    911488 | PA      | $824647.65    | 0.01%             | 2035-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18435                      | CUSIP: 3128MMPV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    312589 | PA      | $291529.66    | 0.00%             | 2027-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J32368                      | CUSIP: 31307NTZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    403100 | PA      | $374291.97    | 0.00%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08846                      | CUSIP: 3128MJ5G1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     93740 | PA      | $87265.28     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1368                      | CUSIP: 3140X4QW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4456406 | PA      | $4070379.24   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0089                      | CUSIP: 36179MC24<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1077044 | PA      | $1055386.57   | 0.01%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8106                      | CUSIP: 3132DWAF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  80778902 | PA      | $66786081.31  | 0.42%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13596                      | CUSIP: 3128MCGD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26077 | PA      | $25768.15     | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08712                      | CUSIP: 3128MJYJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    571377 | PA      | $551594.12    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91846                      | CUSIP: 3128P8BP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    582397 | PA      | $536536.76    | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA1334                      | CUSIP: 31329JPT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5270891 | PA      | $4964840.72   | 0.03%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8068                      | CUSIP: 3132DV6D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3776600 | PA      | $3375717.47   | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4369                      | CUSIP: 3140X72B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7209340 | PA      | $6481998.61   | 0.04%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9355                      | CUSIP: 3138E2MD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    984542 | PA      | $932442.48    | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3438                      | CUSIP: 31418CZC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    376898 | PA      | $363814.88    | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0319                      | CUSIP: 36179MK82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    265812 | PA      | $260462.24    | 0.00%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AJ1886                      | CUSIP: 36182WCX9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     28854 | PA      | $28114.05     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3294                      | CUSIP: 3138WCUU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1802248 | PA      | $1706942.98   | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC2953                      | CUSIP: 31417MH71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171631 | PA      | $172972.73    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8097                      | CUSIP: 3132D57J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9657970 | PA      | $8458137.49   | 0.05%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18665                      | CUSIP: 3128MMW33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5463444 | PA      | $5102942.76   | 0.03%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745516                      | CUSIP: 31403DGZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     83422 | PA      | $87667.84     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4270                        | CUSIP: 36202EW70<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     16958 | PA      | $18329.20     | 0.00%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02251                      | CUSIP: 3128LXQC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158393 | PA      | $168834.64    | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1061                      | CUSIP: 3140X4FB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77760 | PA      | $74852.26     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4151                      | CUSIP: 3138LUTH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1673229 | PA      | $1587966.46   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1151                      | CUSIP: 3140X4H58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    375694 | PA      | $348884.15    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1914                      | CUSIP: 3140XHDU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19503208 | PA      | $17344231.82  | 0.11%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3935                      | CUSIP: 3138WDLR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1967920 | PA      | $1843213.89   | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8122                      | CUSIP: 3140XCAY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10037237 | PA      | $9351813.97   | 0.06%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4158                      | CUSIP: 31418DTQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        | 103173506 | PA      | $85303050.18  | 0.54%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4075                      | CUSIP: 31418DQ54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3655292 | PA      | $3389173.51   | 0.02%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4854                        | CUSIP: 36202FMB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    641854 | PA      | $650203.06    | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q58157                      | CUSIP: 3132Y2B39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    217433 | PA      | $208947.22    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2489                      | CUSIP: 31418BXT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246187 | PA      | $231919.72    | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4363                      | CUSIP: 31418DZ54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6344988 | PA      | $4927934.79   | 0.03%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ4087                      | CUSIP: 3138AVRH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1437626 | PA      | $1361595.33   | 0.01%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4174                      | CUSIP: 3133KKT74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2382392 | PA      | $2057709.05   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3618                      | CUSIP: 3140QPAU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2507581 | PA      | $2373320.87   | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2935                      | CUSIP: 36179RHL6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    442043 | PA      | $416602.52    | 0.00%             | 2030-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8383                      | CUSIP: 3138ETJ56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60139 | PA      | $60052.76     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4946                        | CUSIP: 36202FP75<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     19254 | PA      | $19504.05     | 0.00%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ7362                      | CUSIP: 3140E0FC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1106932 | PA      | $1072746.97   | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4758                      | CUSIP: 3132A5JB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3062075 | PA      | $2763621.51   | 0.02%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ7717                      | CUSIP: 3138E0SF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1670421 | PA      | $1582048.32   | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7837                      | CUSIP: 3140XBV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7011255 | PA      | $6280146.60   | 0.04%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3467                      | CUSIP: 31418CZ98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3861992 | PA      | $3715653.81   | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3206                      | CUSIP: 3133KJR38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1653606 | PA      | $1377689.59   | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AF1079                      | CUSIP: 36181GFU8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    366023 | PA      | $325122.15    | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3494                      | CUSIP: 3140X63C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    375527 | PA      | $325886.18    | 0.00%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3033                      | CUSIP: 36179RLN7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2404938 | PA      | $2222258.16   | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4197                      | CUSIP: 36179SUW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2666730 | PA      | $2613220.02   | 0.02%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03518                      | CUSIP: 31292K4B0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62208 | PA      | $64574.77     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BN9283                      | CUSIP: 3617KDJ40<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     89403 | PA      | $88454.99     | 0.00%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7798                      | CUSIP: 3138WHUY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    752815 | PA      | $680239.93    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6389                      | CUSIP: 3138WGC36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2199359 | PA      | $1993611.00   | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60193                      | CUSIP: 31335AGA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    332330 | PA      | $315354.56    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7881                      | CUSIP: 36179WXJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25673315 | PA      | $22526731.82  | 0.14%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 3.5 12/22                 | CUSIP: 01F0324C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13235000 | PA      | $12720076.44  | 0.08%             | 2022-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5666                      | CUSIP: 3138WFJL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    221434 | PA      | $217443.22    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05923                      | CUSIP: 3128M74G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146679 | PA      | $149217.53    | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4658                      | CUSIP: 3132A5E76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    561540 | PA      | $506404.57    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932279                      | CUSIP: 31412QXG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     92936 | PA      | $96312.64     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO3192                      | CUSIP: 3140JXRN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    911135 | PA      | $816083.45    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3695                      | CUSIP: 31418DC91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4870871 | PA      | $4607155.03   | 0.03%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7136                      | CUSIP: 31418U4W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1882508 | PA      | $1954044.18   | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701993                      | CUSIP: 36296U3A6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     88223 | PA      | $89518.04     | 0.00%             | 2039-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4782                      | CUSIP: 31418EJ43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4056870 | PA      | $3716342.90   | 0.02%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08344                      | CUSIP: 3128MJL24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    283879 | PA      | $286103.87    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8661                      | CUSIP: 3138WJTT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    399850 | PA      | $379131.14    | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q44663                      | CUSIP: 3132WJFD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    858223 | PA      | $774727.00    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00543                      | CUSIP: 3132GDS86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    724776 | PA      | $727333.53    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3157                      | CUSIP: 3138WCQK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    111014 | PA      | $107901.12    | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5595                      | CUSIP: 36179UGC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2250136 | PA      | $2189771.86   | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7191                      | CUSIP: 36179V7C8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    592406 | PA      | $482503.92    | 0.00%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7650                      | CUSIP: 36179WQB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24828784 | PA      | $22510398.67  | 0.14%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91810                      | CUSIP: 3128P8AK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1309868 | PA      | $1272624.44   | 0.01%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2725                      | CUSIP: 3138WQA36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1182422 | PA      | $1075782.04   | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5145                      | CUSIP: 3133KYWE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5302562 | PA      | $4520035.87   | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2119                      | CUSIP: 36179QK83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    490449 | PA      | $458366.97    | 0.00%             | 2029-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5400                      | CUSIP: 36179T7M1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    692406 | PA      | $694413.99    | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6288                      | CUSIP: 3140X97A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1908741 | PA      | $1709609.55   | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4195                      | CUSIP: 36179SUU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9098467 | PA      | $8386442.22   | 0.05%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3870                      | CUSIP: 3140X7JQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2291315 | PA      | $2138363.58   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18476                      | CUSIP: 3128MMQ63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    407707 | PA      | $391059.57    | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4100                      | CUSIP: 31418DRW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  48193487 | PA      | $39846746.15  | 0.25%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0030                      | CUSIP: 31419AA80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38261 | PA      | $40231.00     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7509                      | CUSIP: 3132DVKW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12422342 | PA      | $11181694.19  | 0.07%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0782                      | CUSIP: 36179M2P4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3111573 | PA      | $2851578.03   | 0.02%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759100                      | CUSIP: 36230UDD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    570823 | PA      | $538934.41    | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254985                      | CUSIP: 31371LF20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1592 | PA      | $1617.49      | 0.00%             | 2023-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8079                      | CUSIP: 3132DV6Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  43022849 | PA      | $35573907.30  | 0.22%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3930                      | CUSIP: 31418DLL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1032866 | PA      | $959177.44    | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4784                      | CUSIP: 3138M8J61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    390260 | PA      | $352894.27    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7369                      | CUSIP: 36179WFJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2954304 | PA      | $2773134.45   | 0.02%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2187                      | CUSIP: 3138EJND6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16091 | PA      | $16667.05     | 0.00%             | 2042-03-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 745793                      | CUSIP: 3620C1RN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     55173 | PA      | $55642.83     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8100                      | CUSIP: 3132DV7M1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1858627 | PA      | $1661591.81   | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9211                      | CUSIP: 36178WGU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    219536 | PA      | $205057.20    | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18655                      | CUSIP: 3128MMWR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1704916 | PA      | $1618588.51   | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2978                      | CUSIP: 3140XJJY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10182046 | PA      | $9798467.92   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3567                      | CUSIP: 3140J76D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    729510 | PA      | $707391.32    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5284                        | CUSIP: 36202F2R6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     17346 | PA      | $16031.22     | 0.00%             | 2042-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4417                      | CUSIP: 31418D4B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14555231 | PA      | $12746509.00  | 0.08%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8179                      | CUSIP: 3132DWCQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6415595 | PA      | $5691843.99   | 0.04%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0934                      | CUSIP: 36179NBB3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3796764 | PA      | $3652551.33   | 0.02%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7601                      | CUSIP: 3138WHNT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5075769 | PA      | $4935602.11   | 0.03%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC6891                      | CUSIP: 3133ARUQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6212361 | PA      | $5322572.32   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9163                      | CUSIP: 3132AAFC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1544547 | PA      | $1368533.99   | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3902                      | CUSIP: 31417AKQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    314157 | PA      | $297513.22    | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254763                      | CUSIP: 31371K5Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       254 | PA      | $257.81       | 0.00%             | 2023-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 835751                      | CUSIP: 31407NQC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    238375 | PA      | $238033.77    | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8247                      | CUSIP: 3138WJEV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2706611 | PA      | $2537919.87   | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60486                      | CUSIP: 31335ARF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    667186 | PA      | $665640.92    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7362                      | CUSIP: 31417EFC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    507799 | PA      | $459074.96    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8206                      | CUSIP: 3138ETDL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28651 | PA      | $28548.28     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82797                       | CUSIP: 36225FDB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1762 | PA      | $1733.69      | 0.00%             | 2041-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9760                      | CUSIP: 3138WKZ24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3664306 | PA      | $3581862.30   | 0.02%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995088                      | CUSIP: 31416BND6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1485769 | PA      | $1529353.52   | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1785                      | CUSIP: 3140J56X2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2343339 | PA      | $2317150.51   | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3420                      | CUSIP: 3140X6YS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1295964 | PA      | $1220313.10   | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3307                      | CUSIP: 31418CU93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    526482 | PA      | $523551.60    | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4806                      | CUSIP: 31418EKU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15904689 | PA      | $15845250.42  | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2847                      | CUSIP: 3140X6EV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1136265 | PA      | $1036059.63   | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2922                      | CUSIP: 31418CG81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3369301 | PA      | $3072215.30   | 0.02%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745283                      | CUSIP: 31403C6U0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19869 | PA      | $20117.51     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0148                      | CUSIP: 3138EGEW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    454239 | PA      | $440538.40    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7745                      | CUSIP: 31417ETB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231183 | PA      | $209034.17    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5141                      | CUSIP: 3140X8WB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2908398 | PA      | $2511211.91   | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 604548                      | CUSIP: 36200MTD5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    150192 | PA      | $150731.24    | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3426                      | CUSIP: 3140X6YY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1043176 | PA      | $1065536.44   | 0.01%             | 2050-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82669                       | CUSIP: 36225E6F4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     44542 | PA      | $43898.79     | 0.00%             | 2040-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18578                      | CUSIP: 3128MMUC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    766056 | PA      | $731888.84    | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3797                      | CUSIP: 31418DGF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    307732 | PA      | $285786.53    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1141                      | CUSIP: 31418AHT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1004241 | PA      | $924362.54    | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2826                      | CUSIP: 36179RD71<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4075285 | PA      | $3859288.94   | 0.02%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5696                      | CUSIP: 3138WFKJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5728995 | PA      | $5377466.41   | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4038                      | CUSIP: 3140X7PY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    344704 | PA      | $301519.66    | 0.00%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783613                      | CUSIP: 3622A2AN2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    311405 | PA      | $315980.57    | 0.00%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555424                      | CUSIP: 31385XAZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    621893 | PA      | $648920.15    | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93853                      | CUSIP: 312942H65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    192244 | PA      | $203849.60    | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3155                      | CUSIP: 31418CQH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1480759 | PA      | $1407144.45   | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1890                      | CUSIP: 3140J6C47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7592861 | PA      | $7134833.85   | 0.04%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0752                      | CUSIP: 3138LQZS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    338099 | PA      | $305757.36    | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8053                      | CUSIP: 3132DV5N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    360199 | PA      | $353968.61    | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06814                      | CUSIP: 3128M83X0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    861858 | PA      | $842120.20    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1097                      | CUSIP: 3132DNGE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  38333698 | PA      | $32848088.03  | 0.21%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6421                      | CUSIP: 3140QED33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213120 | PA      | $190884.29    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5259                      | CUSIP: 3140X8ZZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    383290 | PA      | $351675.87    | 0.00%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18484                      | CUSIP: 3128MMRE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1162146 | PA      | $1114684.17   | 0.01%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4067                      | CUSIP: 36179SQU4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4635171 | PA      | $4064872.65   | 0.03%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1456                      | CUSIP: 3140X4TN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277962 | PA      | $260407.78    | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08035                      | CUSIP: 3128MJBD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    479238 | PA      | $488010.69    | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932841                      | CUSIP: 31412RLW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9823 | PA      | $9813.07      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4229                      | CUSIP: 31418DVX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9796107 | PA      | $8813553.72   | 0.06%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738009                      | CUSIP: 3620AR3S8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     44885 | PA      | $43802.75     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7705                      | CUSIP: 36179WR26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  34754415 | PA      | $30544980.82  | 0.19%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8154                      | CUSIP: 3132D6BX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2239383 | PA      | $2066628.10   | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5875                      | CUSIP: 3140JAQ50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1064750 | PA      | $996520.93    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1000                      | CUSIP: 3140X4DE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8531535 | PA      | $7752486.74   | 0.05%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8041                      | CUSIP: 3132D55A6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153398 | PA      | $144904.47    | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E03088                      | CUSIP: 31294MND9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56562 | PA      | $54510.88     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 646729                      | CUSIP: 36292EPN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    182376 | PA      | $193383.92    | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8243                      | CUSIP: 3132DWEQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22218647 | PA      | $20354075.48  | 0.13%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00836                      | CUSIP: 31292G4V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9016 | PA      | $9135.69      | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11908                      | CUSIP: 3132HNDM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48683 | PA      | $45896.67     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7448                      | CUSIP: 31417EH20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    332675 | PA      | $314298.71    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9549                      | CUSIP: 3138ERTF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    727050 | PA      | $706791.34    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5048                      | CUSIP: 3133KYTD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1610044 | PA      | $1417157.08   | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4686                      | CUSIP: 31417BF44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    492880 | PA      | $467852.90    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4208                      | CUSIP: 31418DVA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        | 107789203 | PA      | $89118291.53  | 0.56%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4224                        | CUSIP: 36202EVR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1497 | PA      | $1554.69      | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737839                      | CUSIP: 3620ARV81<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     36773 | PA      | $34627.34     | 0.00%             | 2026-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1375                      | CUSIP: 3140XGQ51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29812062 | PA      | $23181665.89  | 0.15%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 993998                      | CUSIP: 31416AGF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2704 | PA      | $2708.49      | 0.00%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3249                      | CUSIP: 3140X6TF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    818927 | PA      | $729793.79    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18681                      | CUSIP: 3128MMXK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57254 | PA      | $54265.03     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8236                      | CUSIP: 3132DWEH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12714718 | PA      | $11653422.04  | 0.07%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN0628                      | CUSIP: 3140JGVW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    301017 | PA      | $304228.16    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5988                      | CUSIP: 36179UUM2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    417385 | PA      | $417629.05    | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738902                      | CUSIP: 3620AS3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    135732 | PA      | $136407.72    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1979                      | CUSIP: 3140X5FV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     98228 | PA      | $97828.37     | 0.00%             | 2023-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5111                      | CUSIP: 3140J9VD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5554168 | PA      | $5299391.59   | 0.03%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH2986                      | CUSIP: 3138A4J89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269848 | PA      | $263430.10    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8074                      | CUSIP: 3138WH6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172127 | PA      | $154928.96    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5076                      | CUSIP: 36179TT96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    862163 | PA      | $791655.63    | 0.00%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J11053                      | CUSIP: 3128PQE23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2722 | PA      | $2730.62      | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08790                      | CUSIP: 3128MJ2Y5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1927548 | PA      | $1908970.93   | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5065                      | CUSIP: 3140X8TX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1761080 | PA      | $1656289.31   | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6285                      | CUSIP: 36179U6W7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2936779 | PA      | $2836122.58   | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2831                      | CUSIP: 31418CED2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164951 | PA      | $157194.88    | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1285                      | CUSIP: 36179NNA2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1204408 | PA      | $1141219.49   | 0.01%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2578                      | CUSIP: 31418B2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    791566 | PA      | $741175.89    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AM8935                      | CUSIP: 36185B4U7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     64614 | PA      | $62753.18     | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP2138                      | CUSIP: 3138M5LU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    482124 | PA      | $461708.96    | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3691                      | CUSIP: 31418DC59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4131064 | PA      | $3700324.96   | 0.02%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8083                      | CUSIP: 3132DV6U4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4423532 | PA      | $3807091.29   | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5127                      | CUSIP: 3140X8VV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    915879 | PA      | $848974.33    | 0.01%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0624                      | CUSIP: 31419AVS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143572 | PA      | $141217.73    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1011                      | CUSIP: 36179NDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3601108 | PA      | $3300334.97   | 0.02%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH4429                      | CUSIP: 3138A54P4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19373 | PA      | $18911.62     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08592                      | CUSIP: 3128MJUS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    228953 | PA      | $222325.25    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91447                      | CUSIP: 3128P7TC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    571014 | PA      | $553485.49    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3468                      | CUSIP: 3138WC2A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43879 | PA      | $42650.67     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6930                      | CUSIP: 36179VVX5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26864340 | PA      | $22804813.13  | 0.14%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE7276                      | CUSIP: 3133BHCM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1317951 | PA      | $1264032.04   | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782949                      | CUSIP: 36241LH25<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    607862 | PA      | $625957.04    | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783409                      | CUSIP: 36241LYE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     56746 | PA      | $55198.68     | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2961                      | CUSIP: 36179RJE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6370843 | PA      | $6033191.33   | 0.04%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1450                      | CUSIP: 36179NTF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    413382 | PA      | $418754.57    | 0.00%             | 2043-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7343                      | CUSIP: 3138WHER9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    632227 | PA      | $571277.87    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8071                      | CUSIP: 3132DV6G5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1036348 | PA      | $1037596.29   | 0.01%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 931790                      | CUSIP: 31412QF79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124514 | PA      | $125486.28    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6773                      | CUSIP: 3140XAQ39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4770175 | PA      | $4533948.57   | 0.03%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4496                        | CUSIP: 36202E7H6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    869645 | PA      | $906940.25    | 0.01%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8118                      | CUSIP: 3132D6AT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14421206 | PA      | $12629535.85  | 0.08%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08538                      | CUSIP: 3128MJS43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7173379 | PA      | $6687678.02   | 0.04%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3833                      | CUSIP: 31418DHK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13436730 | PA      | $11600414.28  | 0.07%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7421                      | CUSIP: 36179WG69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3579186 | PA      | $3456133.21   | 0.02%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q03505                      | CUSIP: 3132GJR27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    851635 | PA      | $838587.17    | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08217                      | CUSIP: 3128MJG38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59287 | PA      | $60841.16     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8387                      | CUSIP: 3138ETJ98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1865044 | PA      | $1816513.97   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91849                      | CUSIP: 3128P8BS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    835518 | PA      | $783448.09    | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16044                      | CUSIP: 3128ME5D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1222702 | PA      | $1145931.23   | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3454                      | CUSIP: 36179RZT9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2975533 | PA      | $2810162.78   | 0.02%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745640                      | CUSIP: 31403DLV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76873 | PA      | $80709.01     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889307                      | CUSIP: 31410KAG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58048 | PA      | $59501.34     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1736                      | CUSIP: 3132DN4V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9661220 | PA      | $9466064.21   | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3327                      | CUSIP: 3140X6VV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1868429 | PA      | $1799042.67   | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555800                      | CUSIP: 31385XNR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108229 | PA      | $112930.94    | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6766                      | CUSIP: 36179VQT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17214165 | PA      | $15626313.33  | 0.10%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5056                      | CUSIP: 3138XUTN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150635 | PA      | $140367.57    | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9317                      | CUSIP: 3138E2K79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    265355 | PA      | $259403.56    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5910                      | CUSIP: 3133KMR72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1228828 | PA      | $1129197.09   | 0.01%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1321                      | CUSIP: 3140X4PF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    896268 | PA      | $871849.27    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13885                      | CUSIP: 3128PTJ63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245451 | PA      | $237159.68    | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5367                      | CUSIP: 3140X86D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4124841 | PA      | $3607995.56   | 0.02%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7077                      | CUSIP: 31417D2K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    112327 | PA      | $99711.38     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 713877                      | CUSIP: 36297KCN9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3878 | PA      | $3787.74      | 0.00%             | 2039-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97047                      | CUSIP: 312945ZL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2076120 | PA      | $2083418.53   | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90316                      | CUSIP: 312938K51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60095 | PA      | $60564.81     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9708                      | CUSIP: 3138ERYE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    837862 | PA      | $788157.36    | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3769                      | CUSIP: 3138ELFK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    631460 | PA      | $626608.01    | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3388                      | CUSIP: 31418CXS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    397039 | PA      | $369156.68    | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555531                      | CUSIP: 31385XEC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    670257 | PA      | $699365.98    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18604                      | CUSIP: 3128MMU68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    824078 | PA      | $772013.55    | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9582                      | CUSIP: 3140XDUG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1236071 | PA      | $1162066.75   | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5550                      | CUSIP: 3140JAEY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    514057 | PA      | $512625.65    | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 705142                      | CUSIP: 36296YLX8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     71584 | PA      | $70031.72     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4659                      | CUSIP: 3132A5E84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2000148 | PA      | $1869284.90   | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0204                      | CUSIP: 36179MGM6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    802068 | PA      | $749063.73    | 0.00%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1248                      | CUSIP: 3140J5L64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    389564 | PA      | $391883.88    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1231                      | CUSIP: 3140J5LM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2589049 | PA      | $2538704.61   | 0.02%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1G2261                      | CUSIP: 3128QSQN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1978 | PA      | $2011.35      | 0.00%             | 2037-10-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA6555                      | CUSIP: 31329QH87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    263846 | PA      | $263985.18    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1210                      | CUSIP: 31418AKY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    666310 | PA      | $629509.64    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1279                      | CUSIP: 3138X0M54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183828 | PA      | $170672.56    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2807                      | CUSIP: 31418CDM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    447277 | PA      | $418805.05    | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3218                      | CUSIP: 31418CSG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2122545 | PA      | $2016959.72   | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737036                      | CUSIP: 3620AQY98<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4229 | PA      | $4405.01      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3735                      | CUSIP: 3138X3EH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4637052 | PA      | $4219207.59   | 0.03%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4095                      | CUSIP: 3138LURR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2758269 | PA      | $2581169.79   | 0.02%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 4.5 12/22                 | CUSIP: 21H0426C8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7205000 | PA      | $7055271.45   | 0.04%             | 2022-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725703                      | CUSIP: 31402DGL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    728006 | PA      | $775874.16    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4688                      | CUSIP: 3138WEF61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19194 | PA      | $17727.12     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01428                      | CUSIP: 31292HSR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30211 | PA      | $32390.74     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V83453                      | CUSIP: 3132L8ZS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32532 | PA      | $30399.22     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4578                      | CUSIP: 31418ECQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23643886 | PA      | $20214744.87  | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08747                      | CUSIP: 3128MJZM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9107832 | PA      | $8221709.63   | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1010                      | CUSIP: 31418ADQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    743627 | PA      | $732629.64    | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5099                      | CUSIP: 3133KYUY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    413966 | PA      | $321544.04    | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14820                      | CUSIP: 3128MDSH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110021 | PA      | $106501.23    | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0651                      | CUSIP: 31417YWM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    845302 | PA      | $802237.45    | 0.01%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW0036                      | CUSIP: 3140MRBE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1998531 | PA      | $1962791.39   | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05928                      | CUSIP: 3128M74M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101787 | PA      | $102534.27    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1845                      | CUSIP: 31416XBP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65524 | PA      | $64024.13     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18689                      | CUSIP: 3128MMXT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    330222 | PA      | $318461.43    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE2472                      | CUSIP: 3140FMXA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    263218 | PA      | $237883.41    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ4794                      | CUSIP: 3138YWKG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1257193 | PA      | $1202250.21   | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6489                      | CUSIP: 31417DF73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    763776 | PA      | $698222.49    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1561                      | CUSIP: 3138EHWX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    366521 | PA      | $359061.36    | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4724                      | CUSIP: 3132A5G90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2654264 | PA      | $2626175.16   | 0.02%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18363                      | CUSIP: 3128MMMM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21966 | PA      | $21222.96     | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698396                      | CUSIP: 36296Q3D9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     40960 | PA      | $41562.81     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2353                      | CUSIP: 31418BTK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2054450 | PA      | $1881810.64   | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0478                      | CUSIP: 31419AQ83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1434595 | PA      | $1391072.67   | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ4046                      | CUSIP: 3138AVP82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    768366 | PA      | $757654.40    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95554                      | CUSIP: 312944E31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105135 | PA      | $102735.76    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK2415                      | CUSIP: 3138E6VH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1199410 | PA      | $1166557.13   | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A68547                      | CUSIP: 3128L0P89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3000 | PA      | $3015.44      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK3264                      | CUSIP: 3138E7TW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    983898 | PA      | $926733.18    | 0.01%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90698                      | CUSIP: 31335HX32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62744 | PA      | $58022.80     | 0.00%             | 2023-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3755                      | CUSIP: 3140X7E54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4666648 | PA      | $4195934.71   | 0.03%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4000                      | CUSIP: 3140X7NS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3171465 | PA      | $3047191.60   | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97125                      | CUSIP: 3129454J4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15756 | PA      | $15423.93     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4291                      | CUSIP: 3138X3XV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    392799 | PA      | $381799.58    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV7087                      | CUSIP: 3138XJ2V8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163683 | PA      | $159121.63    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0065                      | CUSIP: 3138EGCB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84822 | PA      | $84805.79     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0041                      | CUSIP: 3138EGBK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1157 | PA      | $1193.39      | 0.00%             | 2041-02-01      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735013                      | CUSIP: 31402QSA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58091 | PA      | $57856.14     | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7386                      | CUSIP: 3138WHF49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1267205 | PA      | $1184408.72   | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91538                      | CUSIP: 312939V73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    275224 | PA      | $275863.42    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08770                      | CUSIP: 3128MJ2C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1402121 | PA      | $1307324.63   | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5055                        | CUSIP: 36202FTL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    631877 | PA      | $640097.86    | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4284                      | CUSIP: 3138X3XN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2318865 | PA      | $2184959.69   | 0.01%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW3705                      | CUSIP: 3138XTDK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13155 | PA      | $13041.18     | 0.00%             | 2029-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4681                      | CUSIP: 31417BFX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203059 | PA      | $194850.70    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0005                      | CUSIP: 3138EGAF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    228316 | PA      | $228201.97    | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8098                      | CUSIP: 36179W7K8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3130651 | PA      | $2822656.57   | 0.02%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07801                      | CUSIP: 3128MAAA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    508147 | PA      | $492785.56    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 731110                      | CUSIP: 3620AJGT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     34960 | PA      | $34200.06     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06956                      | CUSIP: 3128M9BZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170395 | PA      | $170995.66    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9911                      | CUSIP: 3140XEAM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27966 | PA      | $24563.77     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08748                      | CUSIP: 3128MJZN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2010223 | PA      | $1874137.89   | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4838                      | CUSIP: 36179TLT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2085754 | PA      | $2040736.10   | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1084                      | CUSIP: 31418AF29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1521912 | PA      | $1494879.35   | 0.01%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7247                      | CUSIP: 3138WHBR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    455765 | PA      | $440378.47    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0113                      | CUSIP: 31419ADT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1447757 | PA      | $1403829.48   | 0.01%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4997                      | CUSIP: 3140X8RT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2128431 | PA      | $1998069.89   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3408                      | CUSIP: 31418CYE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1074726 | PA      | $1048544.50   | 0.01%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889579                      | CUSIP: 31410KJY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    902374 | PA      | $959141.33    | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254868                      | CUSIP: 31371LCD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    661924 | PA      | $674500.57    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7536                      | CUSIP: 36179WLR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9206083 | PA      | $8609328.28   | 0.05%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1560                      | CUSIP: 3140XGWW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  80162079 | PA      | $66222078.00  | 0.42%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2823                      | CUSIP: 3138EKD51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $280740.89    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK8288                      | CUSIP: 3140HNF64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1189435 | PA      | $1041671.20   | 0.01%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5461                      | CUSIP: 31417CB79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82840 | PA      | $74899.29     | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1645                      | CUSIP: 3140X4ZK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317068 | PA      | $301075.19    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7801                      | CUSIP: 3138WHU34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178710 | PA      | $166308.42    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4129                      | CUSIP: 3140X7ST7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25243350 | PA      | $24221354.99  | 0.15%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7062                      | CUSIP: 3140XAZ47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9543600 | PA      | $8237831.45   | 0.05%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03646                      | CUSIP: 3128M5L32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245026 | PA      | $263359.39    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08843                      | CUSIP: 3128MJ5D8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1287666 | PA      | $1272287.93   | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18306                      | CUSIP: 3128MMKU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4867 | PA      | $4882.59      | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7429                      | CUSIP: 3138EQHF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172418 | PA      | $169014.10    | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3774                      | CUSIP: 3140FPFQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    646926 | PA      | $623405.52    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5412                      | CUSIP: 3140X9AN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2652127 | PA      | $2485827.00   | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2195                      | CUSIP: 3140X5NM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1167746 | PA      | $1136621.56   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9903                      | CUSIP: 3138ESAD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9293323 | PA      | $9766290.15   | 0.06%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3434                      | CUSIP: 3138EKY82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    650783 | PA      | $636910.83    | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06412                      | CUSIP: 3128M8N59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24450 | PA      | $24873.35     | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3035                      | CUSIP: 36179RLQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3899217 | PA      | $3820967.92   | 0.02%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7538                      | CUSIP: 3132DVLT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11472871 | PA      | $9567222.30   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 720209                      | CUSIP: 3620A6DN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    418712 | PA      | $415556.34    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08775                      | CUSIP: 3128MJ2H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6024211 | PA      | $5799596.02   | 0.04%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256673                      | CUSIP: 31371NCJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3781 | PA      | $3833.05      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3221                      | CUSIP: 3140X6SK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    784913 | PA      | $730519.55    | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02920                      | CUSIP: 31294MG54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104142 | PA      | $100783.01    | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890226                      | CUSIP: 31410LA36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311161 | PA      | $312451.54    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA6146                      | CUSIP: 31329PZK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    288692 | PA      | $284881.06    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6093                      | CUSIP: 3138WFXX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180706 | PA      | $171749.86    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4124                      | CUSIP: 31418DSN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5567295 | PA      | $5161874.43   | 0.03%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06713                      | CUSIP: 3128M8YJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74200 | PA      | $78678.53     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09015                      | CUSIP: 31294UAQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    873395 | PA      | $814501.32    | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8029                      | CUSIP: 3132DV4N2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3616357 | PA      | $3122137.99   | 0.02%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BZ5664                      | CUSIP: 3617U1JH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    143187 | PA      | $122656.33    | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726398                      | CUSIP: 3620AC7K4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6735 | PA      | $7067.03      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK0782                      | CUSIP: 3138E42Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    249193 | PA      | $236511.03    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3120                      | CUSIP: 31418CPE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6755511 | PA      | $6304532.84   | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6497                      | CUSIP: 3140XAGF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3172237 | PA      | $2638602.56   | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE7704                      | CUSIP: 31419JR26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117865 | PA      | $116515.97    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7990                      | CUSIP: 36179W2X5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  36785995 | PA      | $35100722.28  | 0.22%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3243                      | CUSIP: 36179RS83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2205736 | PA      | $2038214.11   | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08781                      | CUSIP: 3128MJ2P4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    815919 | PA      | $797905.78    | 0.01%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ8476                      | CUSIP: 3138E1M20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    299250 | PA      | $284002.28    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06185                      | CUSIP: 3128M8F25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41315 | PA      | $41575.49     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7735                      | CUSIP: 3132A8SY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1089585 | PA      | $1002520.16   | 0.01%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5191                      | CUSIP: 36179TXU4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7083657 | PA      | $6679091.35   | 0.04%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC8512                      | CUSIP: 31417VN66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1596323 | PA      | $1608840.42   | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8044                      | CUSIP: 36179W5D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29376496 | PA      | $27256576.60  | 0.17%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6980                      | CUSIP: 3140XAXJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13058 | PA      | $12614.71     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735503                      | CUSIP: 31402RDG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    357967 | PA      | $381822.51    | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5877                      | CUSIP: 36179UQ62<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2638658 | PA      | $2642010.63   | 0.02%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18651                      | CUSIP: 3128MMWM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74234 | PA      | $69338.64     | 0.00%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4354                      | CUSIP: 31418DZU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7546784 | PA      | $5867836.71   | 0.04%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B8002                      | CUSIP: 3128UGH67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       512 | PA      | $527.74       | 0.00%             | 2041-02-01      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3536                      | CUSIP: 31418C4W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1180484 | PA      | $1135754.50   | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18654                      | CUSIP: 3128MMWQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    859120 | PA      | $802432.43    | 0.01%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3392                      | CUSIP: 31418CXW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1228381 | PA      | $1185716.53   | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2894                      | CUSIP: 3140X6GC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1771801 | PA      | $1606693.36   | 0.01%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0422                      | CUSIP: 3132CWPF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4235322 | PA      | $3832790.69   | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08606                      | CUSIP: 3128MJU81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    612546 | PA      | $594836.65    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4260                      | CUSIP: 31418DWW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8300759 | PA      | $7269656.30   | 0.05%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD5046                      | CUSIP: 3140FCTC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3959539 | PA      | $3694970.15   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8036                      | CUSIP: 3132DV4V4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2338519 | PA      | $2094510.86   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 915091                      | CUSIP: 31411UUQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3058 | PA      | $3128.60      | 0.00%             | 2037-04-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03815                      | CUSIP: 31292LGY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    304373 | PA      | $287920.87    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08052                      | CUSIP: 3128MJBW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102087 | PA      | $109370.92    | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8168                      | CUSIP: 3132DWCD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20820197 | PA      | $18474378.87  | 0.12%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8446                      | CUSIP: 3138WJL48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1336365 | PA      | $1258371.47   | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0405                      | CUSIP: 3140XFNX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2740831 | PA      | $2414778.12   | 0.02%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1201                      | CUSIP: 31418AKP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1447492 | PA      | $1421768.03   | 0.01%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4910                        | CUSIP: 36202FN36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     49346 | PA      | $48534.34     | 0.00%             | 2026-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8244                      | CUSIP: 3132DWER0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9245165 | PA      | $8750159.42   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1593                      | CUSIP: 3140XGXX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12891335 | PA      | $10641696.19  | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5105                      | CUSIP: 3138MLU77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    641774 | PA      | $609996.72    | 0.00%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01567                      | CUSIP: 31292HW42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    403249 | PA      | $410137.54    | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ0629                      | CUSIP: 3140H1VX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1983127 | PA      | $1924323.74   | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6619                      | CUSIP: 3138EPK94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3258060 | PA      | $3341820.55   | 0.02%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4447                        | CUSIP: 36202E5G0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    135678 | PA      | $141502.53    | 0.00%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555592                      | CUSIP: 31385XF93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176685 | PA      | $184363.26    | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2930                      | CUSIP: 31418CHG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2102695 | PA      | $2026321.95   | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0495                      | CUSIP: 3132DMRQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5630756 | PA      | $5033264.04   | 0.03%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0646                      | CUSIP: 36179MWF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3370 | PA      | $3190.04      | 0.00%             | 2042-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784035                      | CUSIP: 3622A2PU0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    390751 | PA      | $373888.61    | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890514                      | CUSIP: 31410LK35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    583166 | PA      | $558834.85    | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0751                      | CUSIP: 3138EGZR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.28         | 0.00%             | 2024-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BN3897                      | CUSIP: 3617K7KJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    420052 | PA      | $402722.24    | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2738                      | CUSIP: 31418CBG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1040899 | PA      | $979734.64    | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87434                      | CUSIP: 312934HK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15900 | PA      | $16212.40     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6026                      | CUSIP: 3140QDVU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3701025 | PA      | $3109001.68   | 0.02%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6866                      | CUSIP: 36179VTX8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4059991 | PA      | $3685551.42   | 0.02%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08618                      | CUSIP: 3128MJVL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160794 | PA      | $156135.82    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7076                      | CUSIP: 31417D2J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2896670 | PA      | $2619119.63   | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932359                      | CUSIP: 31412QZY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76210 | PA      | $74586.53     | 0.00%             | 2025-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH6790                      | CUSIP: 3138A8RL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    238149 | PA      | $236891.60    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4802                        | CUSIP: 36202FKP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    259517 | PA      | $270652.98    | 0.00%             | 2040-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9578                      | CUSIP: 3140XDUC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4157760 | PA      | $3430664.98   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3910                      | CUSIP: 31418DKY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1826410 | PA      | $1652335.43   | 0.01%             | 2035-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS2913                      | CUSIP: 3132A3GW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    473085 | PA      | $477131.50    | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0919                      | CUSIP: 31418AAV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    715129 | PA      | $664741.91    | 0.00%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255493                      | CUSIP: 31371LXW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3956 | PA      | $3990.71      | 0.00%             | 2024-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2060                      | CUSIP: 3140XHJE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14553091 | PA      | $13849532.05  | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01648                      | CUSIP: 31292HZM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    726561 | PA      | $738942.16    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06709                      | CUSIP: 3128M8YE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44673 | PA      | $44245.88     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14572                      | CUSIP: 3128MDJR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46448 | PA      | $45897.69     | 0.00%             | 2026-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1G2736                      | CUSIP: 3128QTBD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4663 | PA      | $4789.41      | 0.00%             | 2038-03-01      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB2891                      | CUSIP: 36178NF87<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    863605 | PA      | $777224.73    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3597                      | CUSIP: 36179R7J2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2168807 | PA      | $2048249.34   | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18684                      | CUSIP: 3128MMXN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2744247 | PA      | $2600986.61   | 0.02%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92286                      | CUSIP: 312940RF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189676 | PA      | $190118.21    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7281                      | CUSIP: 3138EQCT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1353182 | PA      | $1286065.14   | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8161                      | CUSIP: 3132DWB69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  30031969 | PA      | $25730748.04  | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5700                      | CUSIP: 3140X9KN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3949349 | PA      | $3575167.71   | 0.02%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9498                      | CUSIP: 3140XDRU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1017502 | PA      | $1016362.39   | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735925                      | CUSIP: 31402RSN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218268 | PA      | $223885.62    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE8396                      | CUSIP: 31419KKJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    880219 | PA      | $860070.48    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4255                      | CUSIP: 31418DWR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  95484824 | PA      | $78780250.18  | 0.49%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5192                      | CUSIP: 36179TXV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5055718 | PA      | $4920235.86   | 0.03%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785192                      | CUSIP: 3622AAUR3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    142710 | PA      | $136366.68    | 0.00%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08759                      | CUSIP: 3128MJZZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    998994 | PA      | $989374.80    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP7534                      | CUSIP: 3138MBLQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    498891 | PA      | $471324.71    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67707                      | CUSIP: 3132XCR49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2941159 | PA      | $2783446.52   | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0240                      | CUSIP: 3132ACHR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183871 | PA      | $172459.22    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS0867                      | CUSIP: 3132A06C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47725 | PA      | $48531.04     | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9393                      | CUSIP: 3138EENK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4381396 | PA      | $4099972.78   | 0.03%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2834                      | CUSIP: 31418CEG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2117400 | PA      | $1982713.47   | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0045                      | CUSIP: 3138EGBP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246516 | PA      | $247735.14    | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4168                      | CUSIP: 3138WDT27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1685317 | PA      | $1636408.46   | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q55429                      | CUSIP: 3132XYA72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1034626 | PA      | $994455.11    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18483                      | CUSIP: 3128MMRD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1157945 | PA      | $1093808.40   | 0.01%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1302                      | CUSIP: 3132DNNT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3120016 | PA      | $3113729.16   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08373                      | CUSIP: 3128MJMX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    815699 | PA      | $828213.42    | 0.01%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4204                      | CUSIP: 31418DU67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20480715 | PA      | $17427050.81  | 0.11%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6339                      | CUSIP: 36179VBG4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6916777 | PA      | $6506342.82   | 0.04%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J07292                      | CUSIP: 3128PKC51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       148 | PA      | $145.52       | 0.00%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4851                      | CUSIP: 3140X8L96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4196970 | PA      | $4058080.07   | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8146                      | CUSIP: 31417FBQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28009 | PA      | $28391.74     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7707                      | CUSIP: 36179WR42<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5165262 | PA      | $4829932.40   | 0.03%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2960                      | CUSIP: 31418CJE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2445353 | PA      | $2356377.28   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 12/22                   | CUSIP: 01F0406C6<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -2386000 | PA      | $-2257752.50  | -0.01%            | 2022-12-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7473                      | CUSIP: 36179WJS8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21977209 | PA      | $19913159.67  | 0.12%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9867                      | CUSIP: 3138ER6D7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1415394 | PA      | $1363164.92   | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67709                      | CUSIP: 3132XCR64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    252556 | PA      | $236873.18    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6889                      | CUSIP: 3138EPUP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1413829 | PA      | $1410062.32   | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7417                      | CUSIP: 36179WG28<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  41390447 | PA      | $35134330.77  | 0.22%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3081                      | CUSIP: 3140X6M73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29056 | PA      | $27678.19     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555677                      | CUSIP: 31385XJW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214037 | PA      | $223333.63    | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02622                      | CUSIP: 3128M4G72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12711 | PA      | $12684.76     | 0.00%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9467                      | CUSIP: 3138EEQV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162981 | PA      | $153483.32    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4655                      | CUSIP: 31418EE55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24982310 | PA      | $23675790.27  | 0.15%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8227                      | CUSIP: 3132DWD83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22033062 | PA      | $20880843.29  | 0.13%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06788                      | CUSIP: 3128M82V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16013 | PA      | $16285.50     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90706                      | CUSIP: 31335HYB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       991 | PA      | $933.75       | 0.00%             | 2023-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91730                      | CUSIP: 3128P74P5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    227500 | PA      | $213338.43    | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4069                      | CUSIP: 31418RQX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9391 | PA      | $9359.80      | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0538                      | CUSIP: 3132ACS35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1119839 | PA      | $1031996.90   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01585                      | CUSIP: 31292HXN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     86421 | PA      | $87897.47     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4541                        | CUSIP: 36202FBJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6790607 | PA      | $7081627.68   | 0.04%             | 2039-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA8635                      | CUSIP: 31416SSZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1596497 | PA      | $1609026.36   | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91568                      | CUSIP: 3128P7W58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2763565 | PA      | $2628731.58   | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4280                      | CUSIP: 31418DXJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27604376 | PA      | $21464163.29  | 0.13%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08757                      | CUSIP: 3128MJZX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1311981 | PA      | $1223237.68   | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782105                      | CUSIP: 36241KKS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     15949 | PA      | $16404.06     | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1656                      | CUSIP: 31418NZW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    343910 | PA      | $344711.30    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5507                      | CUSIP: 3140JADM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4848914 | PA      | $4380368.90   | 0.03%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN4365                      | CUSIP: 3140JLZ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    291937 | PA      | $297870.13    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8075                      | CUSIP: 3132D56L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    864559 | PA      | $801654.74    | 0.01%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1089                      | CUSIP: 3138WAF77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    499131 | PA      | $483643.41    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2637                      | CUSIP: 3140QM4X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2842536 | PA      | $2428802.89   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2415                      | CUSIP: 31418BVH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    647356 | PA      | $635709.34    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5071                      | CUSIP: 3133KYT41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10683479 | PA      | $9091125.79   | 0.06%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18702                      | CUSIP: 3128PYU36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    382635 | PA      | $360377.03    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2241                      | CUSIP: 3140X5P31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    606737 | PA      | $549103.55    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08210                      | CUSIP: 3128MJGU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170139 | PA      | $174607.19    | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7365                      | CUSIP: 31417EFF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    430369 | PA      | $382075.23    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0844                      | CUSIP: 31417Y5E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157051 | PA      | $157332.52    | 0.00%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5331                      | CUSIP: 36179T4Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5257479 | PA      | $5209361.42   | 0.03%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5927                      | CUSIP: 3138WFSR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2074699 | PA      | $1983997.55   | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2893                      | CUSIP: 36179RGA1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1808130 | PA      | $1771818.57   | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13369                      | CUSIP: 3128MB6E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       247 | PA      | $242.46       | 0.00%             | 2023-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4772                        | CUSIP: 36202FJR8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2324870 | PA      | $2424676.91   | 0.02%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2107                      | CUSIP: 3140X5KV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1810413 | PA      | $1707490.92   | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7557                      | CUSIP: 3133KPME5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7938321 | PA      | $7748508.04   | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4053                      | CUSIP: 31418DQF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5914775 | PA      | $5484146.18   | 0.03%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02085                      | CUSIP: 3128LXJ68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     94125 | PA      | $99648.62     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5143                      | CUSIP: 3140X8WD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5533396 | PA      | $5009301.01   | 0.03%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE7758                      | CUSIP: 31419JTQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1068183 | PA      | $1067127.90   | 0.01%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254637                      | CUSIP: 31371KZA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4746 | PA      | $4952.04      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC9580                      | CUSIP: 31417WUE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    283250 | PA      | $283911.28    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4055                      | CUSIP: 31418DQH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  54214013 | PA      | $46659772.38  | 0.29%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91437                      | CUSIP: 3128P7S20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1058488 | PA      | $1025989.49   | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91168                      | CUSIP: 3128P7JM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17256 | PA      | $17315.65     | 0.00%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1729                      | CUSIP: 3140XG4P1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32013849 | PA      | $28780796.19  | 0.18%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E04003                      | CUSIP: 31294NNU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     95999 | PA      | $89668.19     | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13201                      | CUSIP: 3128MBX69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       386 | PA      | $379.83       | 0.00%             | 2023-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3793                      | CUSIP: 3140J8GB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    348720 | PA      | $322041.66    | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05457                      | CUSIP: 3128M7ME3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    479518 | PA      | $474828.47    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3057                      | CUSIP: 31418CMF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7346791 | PA      | $6856661.91   | 0.04%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4293                      | CUSIP: 3138X3XX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2437649 | PA      | $2369375.37   | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82736                       | CUSIP: 36225FBE8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    101920 | PA      | $98899.70     | 0.00%             | 2041-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254793                      | CUSIP: 31371K7E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73631 | PA      | $75473.70     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3126                      | CUSIP: 3140X6PL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2061399 | PA      | $1847243.22   | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01563                      | CUSIP: 31283HWY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1379920 | PA      | $1395702.17   | 0.01%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9976                      | CUSIP: 3138ESCN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    736705 | PA      | $690643.89    | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6835                      | CUSIP: 31417DSZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1038264 | PA      | $971681.46    | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0852                      | CUSIP: 36179M5M8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1991423 | PA      | $1915784.23   | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555956                      | CUSIP: 31385XTM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317448 | PA      | $331219.10    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7765                      | CUSIP: 36179WTW8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3430435 | PA      | $2798194.11   | 0.02%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4360                      | CUSIP: 31418DZ21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25857439 | PA      | $23263846.95  | 0.15%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03486                      | CUSIP: 31292K2T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    241404 | PA      | $241967.92    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0734                      | CUSIP: 3140XFY88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2751946 | PA      | $2279933.76   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4580                      | CUSIP: 31418ECS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8590464 | PA      | $7870631.76   | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03037                      | CUSIP: 3128M4V67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    259397 | PA      | $267046.98    | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4056                      | CUSIP: 31418DQJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    730409 | PA      | $697715.32    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18627                      | CUSIP: 3128MMVV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    898169 | PA      | $855129.05    | 0.01%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96413                      | CUSIP: 312945DS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2273100 | PA      | $2225146.40   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60715                      | CUSIP: 31335AYL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179349 | PA      | $184093.61    | 0.00%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7484                      | CUSIP: 3140XBJ68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9832885 | PA      | $8518894.02   | 0.05%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 887624                      | CUSIP: 31410FD51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2649 | PA      | $2645.86      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4352                      | CUSIP: 3133KKZR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9457114 | PA      | $7841352.52   | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67706                      | CUSIP: 3132XCR31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    352127 | PA      | $329290.31    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4159                      | CUSIP: 31418DTR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32880285 | PA      | $28298213.71  | 0.18%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4279                      | CUSIP: 31418DXH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15232392 | PA      | $13704221.77  | 0.09%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5298                      | CUSIP: 3140J93G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    829940 | PA      | $742428.24    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759192                      | CUSIP: 36230UF95<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14377 | PA      | $13820.16     | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5130                      | CUSIP: 3133KYVX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2301495 | PA      | $1880018.29   | 0.01%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5263                      | CUSIP: 36179TZ40<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2446967 | PA      | $2303214.23   | 0.01%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3310                      | CUSIP: 36179RVB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5012420 | PA      | $4708092.97   | 0.03%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3431                      | CUSIP: 3138A4Y58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1316198 | PA      | $1279355.20   | 0.01%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6314                      | CUSIP: 3138WGAQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    292576 | PA      | $283539.95    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785313                      | CUSIP: 3622AAYJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    154936 | PA      | $133577.54    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2469                      | CUSIP: 3140Q9W74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    925305 | PA      | $888740.29    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B4777                      | CUSIP: 3128JQFT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1515 | PA      | $1521.28      | 0.00%             | 2040-06-01      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2073                      | CUSIP: 36179QJS1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    599207 | PA      | $573899.81    | 0.00%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07787                      | CUSIP: 3128M96Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2324759 | PA      | $2192178.25   | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0801                      | CUSIP: 3140EU3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    279863 | PA      | $262019.49    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5116                        | CUSIP: 36202FVH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    139346 | PA      | $145271.10    | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1704                      | CUSIP: 3132AD3M8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7630884 | PA      | $7584400.10   | 0.05%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8190                      | CUSIP: 3132DWC35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8614727 | PA      | $7636941.90   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1676                      | CUSIP: 36179N2H0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    282834 | PA      | $259165.25    | 0.00%             | 2044-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8507                      | CUSIP: 3132D6NY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12292194 | PA      | $11126592.74  | 0.07%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8156                      | CUSIP: 3132DWBZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  63764962 | PA      | $54532139.46  | 0.34%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1682                      | CUSIP: 3140X42Q8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    409371 | PA      | $384389.16    | 0.00%             | 2029-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0625                      | CUSIP: 36179MVS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2399716 | PA      | $2273782.87   | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3185                      | CUSIP: 31418CRF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1032591 | PA      | $941682.10    | 0.01%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7987                      | CUSIP: 36179W2U1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27095491 | PA      | $23756334.85  | 0.15%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08595                      | CUSIP: 3128MJUV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1021326 | PA      | $991767.05    | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4438                      | CUSIP: 31418D4Y5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  57523329 | PA      | $49286201.04  | 0.31%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8210                      | CUSIP: 3140XCDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20263469 | PA      | $18024843.84  | 0.11%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5487                      | CUSIP: 3140X9CZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11280436 | PA      | $10848134.31  | 0.07%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01523                      | CUSIP: 31292HVQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174495 | PA      | $177469.56    | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08502                      | CUSIP: 3128MJRY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    406117 | PA      | $367170.05    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5066                      | CUSIP: 31417BTY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    362678 | PA      | $341625.30    | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4654                      | CUSIP: 3132A5E35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151511 | PA      | $136638.03    | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2031                      | CUSIP: 3140Q9HH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4486699 | PA      | $4353611.65   | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4417                      | CUSIP: 3131XX4A6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    473467 | PA      | $441000.14    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0561                      | CUSIP: 31417YTT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53664 | PA      | $52436.96     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2824                      | CUSIP: 3138EKD69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    260402 | PA      | $243704.83    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08248                      | CUSIP: 3128MJH29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15327 | PA      | $15592.25     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8088                      | CUSIP: 3132D56Z0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3912971 | PA      | $3426958.44   | 0.02%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3238                      | CUSIP: 3140XJS46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12855413 | PA      | $10612457.10  | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08354                      | CUSIP: 3128MJMC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270899 | PA      | $275050.73    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0222                      | CUSIP: 3140XFG88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13844560 | PA      | $11293516.08  | 0.07%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93505                      | CUSIP: 3129413N5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2223360 | PA      | $2228553.73   | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0133                      | CUSIP: 3132DMEE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2801946 | PA      | $2734321.96   | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90779                      | CUSIP: 31335H2L6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3825 | PA      | $3602.82      | 0.00%             | 2024-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2520                      | CUSIP: 31329KYR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223410 | PA      | $219639.96    | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5604                      | CUSIP: 3140X9GN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1194541 | PA      | $1146043.04   | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6018                      | CUSIP: 31417CVL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44241 | PA      | $41402.04     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 721749                      | CUSIP: 3620A7ZN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     26501 | PA      | $26727.21     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8201                      | CUSIP: 3132DWDE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6160282 | PA      | $5456972.60   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02195                      | CUSIP: 3128LXNL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14415 | PA      | $14674.44     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 357669                      | CUSIP: 31376KJN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102558 | PA      | $107292.12    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2609                      | CUSIP: 31418B3T1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    895404 | PA      | $838447.69    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8982                      | CUSIP: 3138WJ6U7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    379430 | PA      | $369556.20    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3361                      | CUSIP: 3140X6WX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311143 | PA      | $291603.77    | 0.00%             | 2033-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5529                      | CUSIP: 3138ENEB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    795737 | PA      | $771132.65    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783046                      | CUSIP: 36241LL38<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    936018 | PA      | $915809.30    | 0.01%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2985                      | CUSIP: 3138LTJ74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    267128 | PA      | $261601.00    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2714                      | CUSIP: 3140X6AQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3952714 | PA      | $3552116.75   | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7526                      | CUSIP: 3132DVLF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3985978 | PA      | $3456803.77   | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7255                      | CUSIP: 36179WBY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14532627 | PA      | $12805795.15  | 0.08%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890297                      | CUSIP: 31410LDA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42729 | PA      | $42523.18     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8001                      | CUSIP: 3138EQ3K6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    112747 | PA      | $110528.50    | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01614                      | CUSIP: 31292HYK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110417 | PA      | $110258.87    | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3125                      | CUSIP: 31418CPK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    983330 | PA      | $934420.45    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4517                      | CUSIP: 31418EAT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26338195 | PA      | $24358916.70  | 0.15%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2670                      | CUSIP: 31418B6G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6086571 | PA      | $5499950.21   | 0.03%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4266                      | CUSIP: 31418DW40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    412746 | PA      | $320587.82    | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 930018                      | CUSIP: 31412NG34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       235 | PA      | $235.09       | 0.00%             | 2023-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK0863                      | CUSIP: 3138E45Z0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     80780 | PA      | $78561.24     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4153                      | CUSIP: 31418DTK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2352379 | PA      | $2070220.95   | 0.01%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4842                      | CUSIP: 31418ELY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6886003 | PA      | $6978499.24   | 0.04%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB2801                      | CUSIP: 31416YDF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     78045 | PA      | $75862.25     | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3851                      | CUSIP: 31418DH54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1912663 | PA      | $1899789.94   | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9288                      | CUSIP: 3140GYKA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1870558 | PA      | $1815031.83   | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0949                      | CUSIP: 31418ABT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    394939 | PA      | $367098.85    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 676940                      | CUSIP: 36295QBH2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     16607 | PA      | $17223.99     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725705                      | CUSIP: 31402DGN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101592 | PA      | $104206.16    | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1468                      | CUSIP: 3138EHT28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    492104 | PA      | $462918.70    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7513                      | CUSIP: 3132DVK20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7100502 | PA      | $6650927.39   | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4268                      | CUSIP: 31418DW65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19505602 | PA      | $16739112.77  | 0.10%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3089                      | CUSIP: 31418CNF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1674672 | PA      | $1616967.48   | 0.01%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4240                      | CUSIP: 3140X7WA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1092545 | PA      | $1023033.50   | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0216                      | CUSIP: 3140XFG21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4824411 | PA      | $4349934.12   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18670                      | CUSIP: 3128MMW82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    600036 | PA      | $569640.11    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0022                      | CUSIP: 31417YAY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20862 | PA      | $20422.64     | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0843                      | CUSIP: 3138EG5D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183100 | PA      | $177965.36    | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3871                      | CUSIP: 31418DJR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13719652 | PA      | $12288876.23  | 0.08%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4292                      | CUSIP: 3138X3XW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231302 | PA      | $224820.83    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738711                      | CUSIP: 3620ASVC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     33074 | PA      | $33173.31     | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5055                      | CUSIP: 3140X8TM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    873442 | PA      | $853953.73    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3243                      | CUSIP: 3140X6S93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    584816 | PA      | $543265.26    | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01793                      | CUSIP: 31283H7E9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63116 | PA      | $65843.96     | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0067                      | CUSIP: 3132DMCC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    984812 | PA      | $1012188.24   | 0.01%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2414                      | CUSIP: 31418BVG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1674592 | PA      | $1571837.75   | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04585                      | CUSIP: 3128M6NA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1141012 | PA      | $1172862.90   | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8067                      | CUSIP: 3132DV6C4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24635571 | PA      | $21202510.89  | 0.13%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4908                      | CUSIP: 3131XYNZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1645164 | PA      | $1532280.97   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782068                      | CUSIP: 36241KJM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    132385 | PA      | $136527.37    | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ3023                      | CUSIP: 3140KNLD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    669132 | PA      | $556257.26    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7856                      | CUSIP: 3138EQWS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34305 | PA      | $32318.48     | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4534                      | CUSIP: 3140X8BC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6212036 | PA      | $5558575.32   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08610                      | CUSIP: 3128MJVC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    446898 | PA      | $433961.17    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6208                      | CUSIP: 31417C3S2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    364652 | PA      | $323736.76    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08177                      | CUSIP: 3128MJFT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5848 | PA      | $5956.92      | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1908                      | CUSIP: 3140J6DN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    835036 | PA      | $794504.30    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782696                      | CUSIP: 36241K7H5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    176281 | PA      | $182832.97    | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2079                      | CUSIP: 3140X5JZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8508730 | PA      | $7661805.49   | 0.05%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q08998                      | CUSIP: 3132GUKK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1605510 | PA      | $1513717.32   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08551                      | CUSIP: 3128MJTH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    950477 | PA      | $922926.32    | 0.01%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0984                      | CUSIP: 31419BCW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63251 | PA      | $62916.76     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8634                      | CUSIP: 3138WJSY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    528676 | PA      | $497387.56    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0907                      | CUSIP: 3138WAAH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    318692 | PA      | $307454.16    | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ4547                      | CUSIP: 3140H6BR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    383171 | PA      | $369241.86    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q46873                      | CUSIP: 3132WLT71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    238730 | PA      | $234250.66    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3501                      | CUSIP: 31418C3K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1198248 | PA      | $1205137.33   | 0.01%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18465                      | CUSIP: 3128MMQT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2010986 | PA      | $1899595.68   | 0.01%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8220                      | CUSIP: 3132DWDZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32634846 | PA      | $28893456.29  | 0.18%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782654                      | CUSIP: 36241K5P9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    702836 | PA      | $728966.93    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3472                      | CUSIP: 31418C2E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2988254 | PA      | $3005513.20   | 0.02%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8123                      | CUSIP: 3132D6AY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10319945 | PA      | $9284481.93   | 0.06%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61080                      | CUSIP: 31335BFV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    717496 | PA      | $710502.67    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7800                      | CUSIP: 3138WHU26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169288 | PA      | $152973.08    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04221                      | CUSIP: 3128M6AW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8202 | PA      | $8536.58      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783262                      | CUSIP: 36241LTT3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    278561 | PA      | $282657.04    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM2523                      | CUSIP: 3131XVYU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    114011 | PA      | $102811.43    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18673                      | CUSIP: 3128MMXB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4063376 | PA      | $3857630.57   | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1218                      | CUSIP: 3140Q8K87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1059021 | PA      | $1047321.44   | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1609                      | CUSIP: 31418NYF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61478 | PA      | $61274.58     | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8151                      | CUSIP: 36179XBU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20606306 | PA      | $20193784.69  | 0.13%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7346                      | CUSIP: 3140XBEU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    980320 | PA      | $873380.92    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2771                      | CUSIP: 31418CCH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7900756 | PA      | $7139212.10   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781885                      | CUSIP: 36241KCW6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     36538 | PA      | $36850.17     | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4923                        | CUSIP: 36202FPG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    661203 | PA      | $669806.67    | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8115                      | CUSIP: 3138WJAR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    413472 | PA      | $373143.66    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0563                      | CUSIP: 3138W9TV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    299651 | PA      | $295982.18    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7244                      | CUSIP: 3138WHBN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    318229 | PA      | $297976.95    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91343                      | CUSIP: 3128P7P49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    542350 | PA      | $513763.83    | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723517                      | CUSIP: 3620A9YN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     63324 | PA      | $62281.09     | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3149                      | CUSIP: 31418CQB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1492413 | PA      | $1438189.08   | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3520                      | CUSIP: 36179R4D8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4198152 | PA      | $3869711.80   | 0.02%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995112                      | CUSIP: 31416BN53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    324559 | PA      | $338799.05    | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18726                      | CUSIP: 3128MMYY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2200876 | PA      | $2120794.54   | 0.01%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745327                      | CUSIP: 31403DA41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40288 | PA      | $42762.04     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4921                      | CUSIP: 3138WEPF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17678 | PA      | $16696.19     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2756                      | CUSIP: 36179RBZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    322657 | PA      | $326848.56    | 0.00%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0375                      | CUSIP: 31419AMZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120978 | PA      | $120578.28    | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4703                      | CUSIP: 3140J9GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1098861 | PA      | $1024516.00   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1860                      | CUSIP: 3133L8B53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11624313 | PA      | $10473009.99  | 0.07%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2387                      | CUSIP: 31418BUM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    615321 | PA      | $577617.61    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6621                      | CUSIP: 3138WGLB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1415593 | PA      | $1325491.47   | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A94713                      | CUSIP: 312943GW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    405209 | PA      | $395933.72    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7503                      | CUSIP: 3132DVKQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3867490 | PA      | $3582176.84   | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9668                      | CUSIP: 3138WKW68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    997216 | PA      | $960943.09    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA5176                      | CUSIP: 31346YXD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1060283 | PA      | $915051.46    | 0.01%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254903                      | CUSIP: 31371LDG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    459478 | PA      | $470989.69    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0036                      | CUSIP: 3132CWBD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166170 | PA      | $157681.52    | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3244                      | CUSIP: 36179RS91<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4693096 | PA      | $4408037.93   | 0.03%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0393                      | CUSIP: 31418MNK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153985 | PA      | $156045.55    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6367                      | CUSIP: 3140XACD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1615177 | PA      | $1506644.94   | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4586                      | CUSIP: 36179TCX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8508265 | PA      | $8015794.64   | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC9564                      | CUSIP: 31417WTW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342172 | PA      | $344675.44    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8146                      | CUSIP: 3132DWBP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  95543120 | PA      | $78825720.21  | 0.49%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5108                      | CUSIP: 3140J9VA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    353284 | PA      | $338039.93    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3313                      | CUSIP: 31416YVF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61500 | PA      | $61175.12     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2642                      | CUSIP: 31418B5C6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1981345 | PA      | $1855404.72   | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2826                      | CUSIP: 3138EKD85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    232912 | PA      | $217960.08    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE8289                      | CUSIP: 31419KF75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218102 | PA      | $213118.02    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4603                      | CUSIP: 31418EDH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6637802 | PA      | $6125859.81   | 0.04%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7192                      | CUSIP: 36179V7D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  42434306 | PA      | $36021294.00  | 0.23%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 12/22                 | CUSIP: 01F0226C4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23000000 | PA      | $19639842.60  | 0.12%             | 2022-12-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2877                      | CUSIP: 3140X6FT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54856 | PA      | $53702.32     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8499                      | CUSIP: 3138WJNR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214858 | PA      | $208183.49    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3311                      | CUSIP: 36179RVC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3612541 | PA      | $3540030.07   | 0.02%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 744386                      | CUSIP: 3620AY6X9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     13604 | PA      | $13595.97     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8207                      | CUSIP: 3132DWDL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11512595 | PA      | $10547674.12  | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04729                      | CUSIP: 3128M6SS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317403 | PA      | $322896.04    | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8177                      | CUSIP: 3132DWCN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  61899844 | PA      | $51063694.06  | 0.32%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4181                      | CUSIP: 3140QBUF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115877 | PA      | $116339.67    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0022                      | CUSIP: 36179MAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2102732 | PA      | $1992381.03   | 0.01%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5475                      | CUSIP: 3138WFCM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    299843 | PA      | $294446.70    | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3938                      | CUSIP: 36179SLT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    555230 | PA      | $530764.92    | 0.00%             | 2046-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9318                      | CUSIP: 3138ERK82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     68816 | PA      | $66939.84     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01674                      | CUSIP: 31292H2F0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    257618 | PA      | $260566.82    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5099                      | CUSIP: 3140J9UZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    400857 | PA      | $371150.36    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8298                      | CUSIP: 3140XCGG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1660277 | PA      | $1585213.51   | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1172                      | CUSIP: 3140XGJS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27060634 | PA      | $24015168.26  | 0.15%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2330                      | CUSIP: 3140X5SU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3634978 | PA      | $3385666.83   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4236                      | CUSIP: 3138WDV65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    671770 | PA      | $625880.69    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3384                      | CUSIP: 31418CXN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8248101 | PA      | $7935358.36   | 0.05%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7530                      | CUSIP: 3132DVLK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2088305 | PA      | $1800685.29   | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4532                      | CUSIP: 3140X8BA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1903962 | PA      | $1688917.12   | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9110                      | CUSIP: 3138ERDQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    300459 | PA      | $301052.14    | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745336                      | CUSIP: 31403DBD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    364343 | PA      | $373493.92    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3334                      | CUSIP: 31418CV43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1292295 | PA      | $1278097.66   | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1541                      | CUSIP: 3140Q8WB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1689598 | PA      | $1639458.32   | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA4194                      | CUSIP: 31329MUT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    801825 | PA      | $728846.76    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5265                      | CUSIP: 36179TZ65<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4064053 | PA      | $4069210.77   | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QN0971                      | CUSIP: 3133G7CG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2909099 | PA      | $2623117.34   | 0.02%             | 2034-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08774                      | CUSIP: 3128MJ2G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2765429 | PA      | $2578433.37   | 0.02%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR4722                      | CUSIP: 3140L3G88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2710199 | PA      | $2250741.58   | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3228                      | CUSIP: 3140QASS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    207191 | PA      | $204931.36    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5620                      | CUSIP: 3138A7G69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200830 | PA      | $199294.27    | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5051                      | CUSIP: 31417BTH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21667 | PA      | $21072.41     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09012                      | CUSIP: 31294UAM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1103974 | PA      | $1029547.07   | 0.01%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18575                      | CUSIP: 3128MMT94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3449998 | PA      | $3296087.42   | 0.02%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP7830                      | CUSIP: 3138MBVY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    602807 | PA      | $569504.13    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4656                      | CUSIP: 31418EE63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  34232554 | PA      | $33364317.48  | 0.21%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95565                      | CUSIP: 312944FE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164340 | PA      | $160583.49    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0535                      | CUSIP: 3132ACSY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2526769 | PA      | $2371640.48   | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR3175                      | CUSIP: 3138W0Q51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39063 | PA      | $37045.30     | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7397                      | CUSIP: 31417EGF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    206469 | PA      | $186698.75    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89601                      | CUSIP: 312936U21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2255 | PA      | $2272.97      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8112                      | CUSIP: 3132D6AM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    557051 | PA      | $515232.18    | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8145                      | CUSIP: 3132DWBN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  33568171 | PA      | $26100505.06  | 0.16%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737191                      | CUSIP: 3620AQ7C1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     76908 | PA      | $78927.89     | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4423                      | CUSIP: 31418D4H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4685408 | PA      | $4112528.99   | 0.03%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2803                      | CUSIP: 31418CDH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10138480 | PA      | $9506804.46   | 0.06%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256514                      | CUSIP: 31371M3X3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    584419 | PA      | $622969.85    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91819                      | CUSIP: 3128P8AU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    780200 | PA      | $718870.95    | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60080                      | CUSIP: 31335ACR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    889089 | PA      | $821786.43    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18302                      | CUSIP: 3128MMKQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8040 | PA      | $7952.69      | 0.00%             | 2024-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8503                      | CUSIP: 3132D6NU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13285075 | PA      | $12021689.98  | 0.08%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3786                      | CUSIP: 31418DF49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    516853 | PA      | $519230.74    | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM2525                      | CUSIP: 3131XVYW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142482 | PA      | $128469.26    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3309                      | CUSIP: 31418CVB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1427044 | PA      | $1326857.53   | 0.01%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5815                      | CUSIP: 3140X9N92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2334942 | PA      | $2164897.36   | 0.01%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4134                      | CUSIP: 31418DSY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    551595 | PA      | $511041.91    | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03813                      | CUSIP: 3128M5SA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38796 | PA      | $39472.77     | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4155                      | CUSIP: 31418DTM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6009050 | PA      | $5406618.97   | 0.03%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4700                      | CUSIP: 31418EGJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27282200 | PA      | $25821467.64  | 0.16%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2045                      | CUSIP: 31418BHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1104649 | PA      | $1029179.11   | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM1147                      | CUSIP: 3131XUHY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    822072 | PA      | $760306.13    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07805                      | CUSIP: 3128MAAE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1189936 | PA      | $1243468.97   | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8562                      | CUSIP: 3132A9QP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    751143 | PA      | $706282.22    | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08021                      | CUSIP: 3128MJAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31779 | PA      | $32189.59     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1905                      | CUSIP: 3140XHDK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22819312 | PA      | $21302769.80  | 0.13%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745840                      | CUSIP: 31403DS59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    352460 | PA      | $375696.82    | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4077                      | CUSIP: 31418DQ70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  53876611 | PA      | $44546959.83  | 0.28%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5304                      | CUSIP: 3140J93N9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    267124 | PA      | $256759.91    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A86314                      | CUSIP: 312933AP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219819 | PA      | $208580.64    | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE4309                      | CUSIP: 31419EYF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     96512 | PA      | $94307.65     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9093                      | CUSIP: 3140XDC79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18036628 | PA      | $16349925.63  | 0.10%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3905                      | CUSIP: 31418DKT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10517203 | PA      | $9420273.21   | 0.06%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06361                      | CUSIP: 3128M8MJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184179 | PA      | $181153.89    | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM0057                      | CUSIP: 3140X3B31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1439043 | PA      | $1331176.20   | 0.01%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3678                      | CUSIP: 3140J8CQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    888906 | PA      | $865986.20    | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2301                      | CUSIP: 3138EJRX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    922657 | PA      | $875644.66    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6296                      | CUSIP: 3140X97J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1261189 | PA      | $1217657.33   | 0.01%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0821                      | CUSIP: 31417Y4F1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     99273 | PA      | $98747.94     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8318                      | CUSIP: 3138WJG44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1062763 | PA      | $959092.37    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9318                      | CUSIP: 3140XDK88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4830874 | PA      | $4369022.73   | 0.03%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91177                      | CUSIP: 3128P7JW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4450 | PA      | $4457.14      | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08804                      | CUSIP: 3128MJ3N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2788938 | PA      | $2596369.71   | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02790                      | CUSIP: 31294MC33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13056 | PA      | $12612.77     | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3985                      | CUSIP: 31418DNB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327131 | PA      | $309066.46    | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2539                      | CUSIP: 31418BZD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1911265 | PA      | $1852290.72   | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90863                      | CUSIP: 31335H5Y5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       994 | PA      | $1004.01      | 0.00%             | 2024-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY8520                      | CUSIP: 3138YNPE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    133797 | PA      | $121282.11    | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5148                      | CUSIP: 3133KYWH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3226837 | PA      | $2750453.27   | 0.02%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8252                      | CUSIP: 3140QGE29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4833308 | PA      | $3995386.33   | 0.03%             | 2045-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91359                      | CUSIP: 3128P7QL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    185522 | PA      | $184822.55    | 0.00%             | 2031-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1376                      | CUSIP: 36179NQ50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4156482 | PA      | $4118103.87   | 0.03%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08505                      | CUSIP: 3128MJR36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    534378 | PA      | $483169.96    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7552                      | CUSIP: 3132DVL94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4028678 | PA      | $3481786.97   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2978                      | CUSIP: 3140X6JY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2782763 | PA      | $2594346.74   | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1678                      | CUSIP: 36179N2K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6604 | PA      | $6471.56      | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 719256                      | CUSIP: 3620A5BZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     20773 | PA      | $20949.80     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745353                      | CUSIP: 31403DBW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    334269 | PA      | $351286.58    | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD5474                      | CUSIP: 31418TCL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    357427 | PA      | $357687.18    | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK2413                      | CUSIP: 3138E6VF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    537359 | PA      | $524903.45    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6541                      | CUSIP: 36179VHS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9469070 | PA      | $8595909.09   | 0.05%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7052                      | CUSIP: 36179VZR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  53536098 | PA      | $47248214.01  | 0.30%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2140                      | CUSIP: 3140XHLW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1962064 | PA      | $1807262.90   | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9571                      | CUSIP: 31417GT55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    953280 | PA      | $878395.99    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5117                      | CUSIP: 3133KYVJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5156994 | PA      | $4005436.86   | 0.03%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4617                      | CUSIP: 3140X8DX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5547089 | PA      | $5204276.15   | 0.03%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8152                      | CUSIP: 3132DWBV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13502091 | PA      | $11967126.22  | 0.08%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890517                      | CUSIP: 31410LK68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62126 | PA      | $65319.77     | 0.00%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2445                      | CUSIP: 31418BWF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    582652 | PA      | $546973.58    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7505                      | CUSIP: 3132DVKS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4435919 | PA      | $4436406.03   | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9302                      | CUSIP: 3138MRKQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1612540 | PA      | $1508355.05   | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01427                      | CUSIP: 31292HSQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15393 | PA      | $16407.02     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR2466                      | CUSIP: 3138NYW43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129972 | PA      | $112518.96    | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2184                      | CUSIP: 3140XHNA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12333946 | PA      | $10183728.62  | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17508                      | CUSIP: 3128PXKV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1370305 | PA      | $1297806.44   | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8010                      | CUSIP: 3132DV3T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269522 | PA      | $241403.73    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8201                      | CUSIP: 36179XDE3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  43829374 | PA      | $42951870.79  | 0.27%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH1111                      | CUSIP: 3138A2GV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88524 | PA      | $86494.43     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1294                      | CUSIP: 3140X4NL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    111001 | PA      | $111355.39    | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q43252                      | CUSIP: 3132WGTJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1970154 | PA      | $1778412.15   | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4156                      | CUSIP: 31418DTN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2903944 | PA      | $2692573.76   | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5603                      | CUSIP: 3140X9GM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4959818 | PA      | $4511667.17   | 0.03%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2458                      | CUSIP: 31418BWU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    872854 | PA      | $857135.28    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6931                      | CUSIP: 36179VVY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12473303 | PA      | $11008600.06  | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723538                      | CUSIP: 3620A9ZB0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     28110 | PA      | $28523.43     | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1377                      | CUSIP: 36179NQ68<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    858149 | PA      | $869296.05    | 0.01%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q39359                      | CUSIP: 3132QWMH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    755314 | PA      | $706367.18    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6337                      | CUSIP: 36179VBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14276 | PA      | $12621.80     | 0.00%             | 2049-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4416                      | CUSIP: 3140J84A8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100173 | PA      | $103275.74    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08392                      | CUSIP: 3128MJNJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    337032 | PA      | $337812.06    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6830                      | CUSIP: 3140XASU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3342504 | PA      | $3335680.16   | 0.02%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8107                      | CUSIP: 3132D6AG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20440450 | PA      | $18389761.43  | 0.12%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5331                        | CUSIP: 36202F4Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1040421 | PA      | $985816.12    | 0.01%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698091                      | CUSIP: 36296QRL5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     85460 | PA      | $86713.98     | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1307                      | CUSIP: 31418ANZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1467131 | PA      | $1350311.45   | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1632                      | CUSIP: 3138X0Y69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    858413 | PA      | $781079.88    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08633                      | CUSIP: 3128MJV31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    573424 | PA      | $555155.05    | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18676                      | CUSIP: 3128MMXE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    663011 | PA      | $619286.61    | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO8044                      | CUSIP: 3138LY5E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170848 | PA      | $163944.25    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8617                      | CUSIP: 3132A9SE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4845974 | PA      | $4535459.66   | 0.03%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0157                      | CUSIP: 36179ME63<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     92328 | PA      | $96285.48     | 0.00%             | 2042-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1677                      | CUSIP: 36179N2J6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    582629 | PA      | $552079.32    | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0018                      | CUSIP: 3140XFAU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4049259 | PA      | $3953897.17   | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2596                      | CUSIP: 3138EJ3E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1195699 | PA      | $1129682.53   | 0.01%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18574                      | CUSIP: 3128MMT86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1400864 | PA      | $1318487.31   | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8269                      | CUSIP: 3138WJFK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3735762 | PA      | $3375493.02   | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q04649                      | CUSIP: 3132GKZN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1130810 | PA      | $1073188.58   | 0.01%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8110                      | CUSIP: 3132D6AK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9350254 | PA      | $8188673.52   | 0.05%             | 2036-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1599                      | CUSIP: 3133L7X44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7782801 | PA      | $7059868.43   | 0.04%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7827                      | CUSIP: 3140XBVV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10732006 | PA      | $9596749.51   | 0.06%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6498                      | CUSIP: 3140KEGG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1326688 | PA      | $1096971.61   | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK4523                      | CUSIP: 3138E9AZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1316169 | PA      | $1275534.65   | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 677219                      | CUSIP: 36295QK82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     47858 | PA      | $49508.89     | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2760                      | CUSIP: 31329LB50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20920 | PA      | $19521.81     | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK4374                      | CUSIP: 3131X72F4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    493315 | PA      | $459620.28    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH2594                      | CUSIP: 3140GQ3C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1204873 | PA      | $1123534.40   | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735500                      | CUSIP: 31402RDD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    320581 | PA      | $336895.71    | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5104                      | CUSIP: 3133KYU56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9625177 | PA      | $7476436.08   | 0.05%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18582                      | CUSIP: 3128MMUG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2925268 | PA      | $2785435.18   | 0.02%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0537                      | CUSIP: 3132ACS27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7778964 | PA      | $7288824.66   | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0287                      | CUSIP: 3140XFJ93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3886589 | PA      | $3219202.22   | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3448                      | CUSIP: 31418CZN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    879798 | PA      | $889267.58    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3991                      | CUSIP: 31418DNH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8451754 | PA      | $7554728.73   | 0.05%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2959                      | CUSIP: 31418CJD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    824076 | PA      | $769054.81    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8773                      | CUSIP: 3138ETXB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1269477 | PA      | $1194595.65   | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1357                      | CUSIP: 3140J5QK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     66803 | PA      | $66439.95     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3655                      | CUSIP: 3138WDBZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327298 | PA      | $321574.31    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08817                      | CUSIP: 3128MJ4B3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3497697 | PA      | $3361956.99   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0933                      | CUSIP: 3138EHBB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2925513 | PA      | $3075568.90   | 0.02%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5110                      | CUSIP: 3133KYVB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3839907 | PA      | $2982511.91   | 0.02%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3104                      | CUSIP: 36179RNV7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1197344 | PA      | $1106403.38   | 0.01%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4970                      | CUSIP: 3140X8QY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2922564 | PA      | $3136397.75   | 0.02%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9461                      | CUSIP: 3138EEQP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    459989 | PA      | $434636.58    | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B7981                      | CUSIP: 3128UGHH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25408 | PA      | $26162.45     | 0.00%             | 2041-02-01      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8258                      | CUSIP: 3132DWE74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19077545 | PA      | $18997510.92  | 0.12%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7292                      | CUSIP: 3140XBC65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4565287 | PA      | $4235885.14   | 0.03%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8312                      | CUSIP: 3140XCGW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3722036 | PA      | $3210902.30   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08808                      | CUSIP: 3128MJ3S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1275176 | PA      | $1187143.43   | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04444                      | CUSIP: 31292L5D3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1266781 | PA      | $1156912.66   | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89870                      | CUSIP: 3129366F9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    406233 | PA      | $409412.61    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9870                      | CUSIP: 3140XD6G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6258388 | PA      | $5385239.44   | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2305                      | CUSIP: 36179QR29<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1600838 | PA      | $1604009.70   | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4473                      | CUSIP: 31418D6K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11529680 | PA      | $9418095.08   | 0.06%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4747                        | CUSIP: 36202FHY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3823120 | PA      | $3987133.70   | 0.03%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3475                      | CUSIP: 31416Y2H0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4269 | PA      | $4455.58      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA5511                      | CUSIP: 3133A0DQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10836593 | PA      | $9355372.94   | 0.06%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60854                      | CUSIP: 31335A5P9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167246 | PA      | $164220.11    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4286                      | CUSIP: 31418DXQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    448221 | PA      | $348120.95    | 0.00%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7672                      | CUSIP: 3140XBQ29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7040645 | PA      | $6051011.56   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08624                      | CUSIP: 3128MJVS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2499696 | PA      | $2427265.39   | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01501                      | CUSIP: 31292HU28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38653 | PA      | $39094.99     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4501                      | CUSIP: 31418EAB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7369723 | PA      | $6251408.96   | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1577                      | CUSIP: 3140X4XF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3083458 | PA      | $2984326.68   | 0.02%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3897                      | CUSIP: 31418DKK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    606562 | PA      | $573755.79    | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4855                      | CUSIP: 3140J9MD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    116681 | PA      | $113229.74    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2594                      | CUSIP: 3140XH3C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20579203 | PA      | $17762881.31  | 0.11%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK3542                      | CUSIP: 3131X65B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184267 | PA      | $177209.14    | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15736                      | CUSIP: 3128MESZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170239 | PA      | $160467.14    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18607                      | CUSIP: 3128MMU92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2447296 | PA      | $2292676.37   | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7779                      | CUSIP: 31418VUD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77907 | PA      | $79429.81     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89729                      | CUSIP: 312936Y27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    408612 | PA      | $387729.68    | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13882                      | CUSIP: 3128PTJ30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    114733 | PA      | $112759.37    | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3410                      | CUSIP: 31418CYG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2406684 | PA      | $2322980.88   | 0.01%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8119                      | CUSIP: 3132D6AU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9670354 | PA      | $8700022.74   | 0.05%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J11831                      | CUSIP: 3128PRA82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14621 | PA      | $14572.53     | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8479                      | CUSIP: 3138ANM59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20172 | PA      | $20553.47     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2560                      | CUSIP: 3140XHZ26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5172449 | PA      | $4920619.31   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5839                      | CUSIP: 3138WFPZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144835 | PA      | $142232.27    | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8205                      | CUSIP: 3132DWDJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7459560 | PA      | $6377851.86   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8010                      | CUSIP: 3132D53T7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1362720 | PA      | $1265551.63   | 0.01%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0241                      | CUSIP: 3140Q7HT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    974467 | PA      | $936158.78    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8665                      | CUSIP: 3140XCTX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5928133 | PA      | $5390883.58   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0005                      | CUSIP: 31417YAF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9621 | PA      | $9417.35      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3688                      | CUSIP: 31418DC26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3062803 | PA      | $3042171.72   | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5938                      | CUSIP: 3138WFS49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1958662 | PA      | $1838218.85   | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3669                      | CUSIP: 31418DCF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212325 | PA      | $213299.53    | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04320                      | CUSIP: 3128M6DZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4964 | PA      | $4972.91      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7616                      | CUSIP: 3140XBPA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7827920 | PA      | $7068218.43   | 0.04%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8541                      | CUSIP: 3140XCP36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1610465 | PA      | $1520149.67   | 0.01%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1355                      | CUSIP: 31416WQH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182104 | PA      | $189048.91    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE4400                      | CUSIP: 3133BD3H6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2525876 | PA      | $2480679.60   | 0.02%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0210                      | CUSIP: 31419AGU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    485058 | PA      | $503499.75    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH6961                      | CUSIP: 3138A8WX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177454 | PA      | $176094.97    | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3987                      | CUSIP: 3133KKNC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6213051 | PA      | $5332110.98   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04359                      | CUSIP: 3128M6E87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26993 | PA      | $27460.37     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9986                      | CUSIP: 3138WLCY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47919 | PA      | $47669.83     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4117                        | CUSIP: 36202ESE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1671 | PA      | $1735.01      | 0.00%             | 2038-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01573                      | CUSIP: 31292HXA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    389501 | PA      | $393955.99    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE1733                      | CUSIP: 31419B4T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    396626 | PA      | $387543.11    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q16062                      | CUSIP: 3132J7FC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325860 | PA      | $289851.34    | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16485                      | CUSIP: 3128MFNA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2310996 | PA      | $2190374.44   | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4588                      | CUSIP: 36179TCZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    234911 | PA      | $231693.84    | 0.00%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0943                      | CUSIP: 31419BBM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    344454 | PA      | $351206.76    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4623                      | CUSIP: 31418ED56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18009908 | PA      | $15396654.49  | 0.10%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7728                      | CUSIP: 31417ESS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1254310 | PA      | $1085700.77   | 0.01%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2100                      | CUSIP: 3140QMKN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    932592 | PA      | $854621.82    | 0.01%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3427                      | CUSIP: 36179RYY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1132267 | PA      | $1040245.98   | 0.01%             | 2031-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8141                      | CUSIP: 3132D6BJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9002558 | PA      | $8109199.70   | 0.05%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q09008                      | CUSIP: 3132GUKV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1954046 | PA      | $1879183.59   | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698094                      | CUSIP: 36296QRP6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    198381 | PA      | $201286.60    | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI5737                      | CUSIP: 3138AKLT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4424 | PA      | $4400.76      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91236                      | CUSIP: 3128P7LR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19012 | PA      | $18611.06     | 0.00%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8129                      | CUSIP: 3132DWA60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12810371 | PA      | $10989377.18  | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1888                      | CUSIP: 3138AFC24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2841725 | PA      | $2826710.82   | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08768                      | CUSIP: 3128MJ2A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1459304 | PA      | $1445256.24   | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1961                      | CUSIP: 31418BFB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317878 | PA      | $305158.69    | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8104                      | CUSIP: 3140XCAE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5290520 | PA      | $4722889.52   | 0.03%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 CA2286                      | CUSIP: 3617U9RF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    808818 | PA      | $686660.45    | 0.00%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82959                       | CUSIP: 36225FJD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     59519 | PA      | $58648.34     | 0.00%             | 2041-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3183                      | CUSIP: 31418CRD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2601546 | PA      | $2506952.92   | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7074                      | CUSIP: 31417D2G7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1336442 | PA      | $1186404.20   | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07786                      | CUSIP: 3128M96X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2142521 | PA      | $2078888.33   | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08887                      | CUSIP: 3128MJ6Z8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2148385 | PA      | $1922544.56   | 0.01%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3875                      | CUSIP: 36179SJU2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1944502 | PA      | $1905486.65   | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18368                      | CUSIP: 3128MMMS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43677 | PA      | $42199.99     | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5064                      | CUSIP: 3133KYTV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    374031 | PA      | $318246.25    | 0.00%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4.5 12/22                 | CUSIP: 01F0426C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16867000 | PA      | $16418970.31  | 0.10%             | 2022-12-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7768                      | CUSIP: 36179WTZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12549737 | PA      | $11376418.10  | 0.07%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738538                      | CUSIP: 3620ASPX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    923967 | PA      | $901760.69    | 0.01%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2654                      | CUSIP: 3138EJ5Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23934 | PA      | $23221.79     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82714                       | CUSIP: 36225FAQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4472 | PA      | $4339.11      | 0.00%             | 2041-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4228                      | CUSIP: 31418DVW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12244658 | PA      | $10724033.92  | 0.07%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07941                      | CUSIP: 3128MAEN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    293326 | PA      | $288392.80    | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03489                      | CUSIP: 31292K2W6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50013 | PA      | $48866.29     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SI2011                      | CUSIP: 3133USGU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3464117 | PA      | $3355221.20   | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04715                      | CUSIP: 3128M6SC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    111061 | PA      | $119179.04    | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3755                      | CUSIP: 31418DE57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    557653 | PA      | $560180.29    | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4321                      | CUSIP: 36179SYS0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10588610 | PA      | $9983759.22   | 0.06%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR5395                      | CUSIP: 3138W27H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209077 | PA      | $189045.37    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3698                      | CUSIP: 3140X7DC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    954452 | PA      | $944501.95    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1109                      | CUSIP: 31416WGT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $624.09       | 0.00%             | 2030-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5559                      | CUSIP: 3138ENE96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    605432 | PA      | $604004.95    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8911                      | CUSIP: 3140XC3V8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13942815 | PA      | $12927174.74  | 0.08%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4564                      | CUSIP: 31418ECA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9246893 | PA      | $8190991.62   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91725                      | CUSIP: 3128P74J9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    470569 | PA      | $441246.11    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0232                      | CUSIP: 3138W9HJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    228942 | PA      | $217149.36    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3239                      | CUSIP: 31418CS54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6613197 | PA      | $6372783.50   | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4786                        | CUSIP: 36202FJ72<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     53609 | PA      | $52830.19     | 0.00%             | 2025-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1015                      | CUSIP: 31418ADV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    465148 | PA      | $420587.30    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5146                      | CUSIP: 3133KYWF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3893198 | PA      | $3410589.72   | 0.02%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8246                      | CUSIP: 3132DWET6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15287162 | PA      | $15223054.82  | 0.10%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17231                      | CUSIP: 3128PXA89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    431675 | PA      | $408566.48    | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0955                      | CUSIP: 3132DNBY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12200173 | PA      | $10817857.08  | 0.07%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60989                      | CUSIP: 31335BC20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7499647 | PA      | $6641292.61   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX3706                      | CUSIP: 3138Y5DL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174398 | PA      | $170248.50    | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93090                      | CUSIP: 312941NF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    408794 | PA      | $399440.01    | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4738                      | CUSIP: 3140X8HQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3476185 | PA      | $3304367.43   | 0.02%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7386                      | CUSIP: 3140XBF47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5456906 | PA      | $5111142.33   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q09530                      | CUSIP: 3132GU4P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    353695 | PA      | $333482.74    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3896                      | CUSIP: 31418DKJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    489472 | PA      | $454550.80    | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1880                      | CUSIP: 3140J6CS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     94280 | PA      | $91387.84     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR4985                      | CUSIP: 3138W2RF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     96832 | PA      | $85212.31     | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0768                      | CUSIP: 3138W92A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195986 | PA      | $189071.29    | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1695                      | CUSIP: 3140XG3D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17788302 | PA      | $16465119.55  | 0.10%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3471                      | CUSIP: 3138EK2D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    369639 | PA      | $356804.60    | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8405                      | CUSIP: 3138WJKT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1320065 | PA      | $1233133.17   | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7420                      | CUSIP: 36179WG51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8445610 | PA      | $7927152.11   | 0.05%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95121                      | CUSIP: 312943VN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10140 | PA      | $10163.47     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890765                      | CUSIP: 31410LTW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1771652 | PA      | $1668785.44   | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5371                      | CUSIP: 3140X86H5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1925075 | PA      | $1718519.21   | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3210                      | CUSIP: 3140X6R86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6250930 | PA      | $5818470.24   | 0.04%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2560                      | CUSIP: 31418BZ25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    396875 | PA      | $376844.39    | 0.00%             | 2036-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4964                      | CUSIP: 36179TQR9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    701844 | PA      | $698578.52    | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2272                      | CUSIP: 36179QQZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    193638 | PA      | $180952.73    | 0.00%             | 2029-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4154                      | CUSIP: 3140X7TL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1420800 | PA      | $1191207.57   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0095                      | CUSIP: 31418MC91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    192122 | PA      | $204959.53    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6880                      | CUSIP: 3140XAUE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5067335 | PA      | $4922970.99   | 0.03%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18884                      | CUSIP: 3128PY2R4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63094 | PA      | $58842.77     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13614                      | CUSIP: 3128MCGX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        67 | PA      | $67.13        | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4653                      | CUSIP: 36179TE27<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2582755 | PA      | $2526984.68   | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2760                      | CUSIP: 3138EKB61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164252 | PA      | $165282.24    | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03600                      | CUSIP: 3128M5KM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14705 | PA      | $14821.23     | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08716                      | CUSIP: 3128MJYN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1032724 | PA      | $966118.24    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA4536                      | CUSIP: 31416NBE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4877 | PA      | $4773.64      | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8346                      | CUSIP: 36179XHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20125249 | PA      | $19205217.45  | 0.12%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5304                        | CUSIP: 36202F3M6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    714034 | PA      | $674779.77    | 0.00%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61282                      | CUSIP: 31335BM78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4146458 | PA      | $3758519.39   | 0.02%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3831                      | CUSIP: 31418DHH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2660775 | PA      | $2435507.85   | 0.02%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698402                      | CUSIP: 36296Q3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    119161 | PA      | $120916.67    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778794                      | CUSIP: 36176W7F2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1128039 | PA      | $1077950.38   | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3651                      | CUSIP: 3138WDBV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    482025 | PA      | $473918.37    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08701                      | CUSIP: 3128MJX70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    829447 | PA      | $748755.25    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW5583                      | CUSIP: 3140MXFZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1067423 | PA      | $1023731.60   | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8444                      | CUSIP: 31417FL22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54115 | PA      | $50635.71     | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6523                      | CUSIP: 3138EBG90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    718433 | PA      | $676489.28    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5185                      | CUSIP: 3138MLXP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104822 | PA      | $99032.61     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7475                      | CUSIP: 36179WJU3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4325579 | PA      | $4176809.33   | 0.03%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3904                      | CUSIP: 3140J8KS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    253069 | PA      | $252010.56    | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7550                      | CUSIP: 3140XBL81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     91355 | PA      | $86992.85     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE6394                      | CUSIP: 3133BGC71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2297462 | PA      | $2290683.16   | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3537                      | CUSIP: 3140QA4X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172863 | PA      | $179070.26    | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1601                      | CUSIP: 36179NX60<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1141055 | PA      | $1130517.68   | 0.01%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6339                      | CUSIP: 3140XABH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4348563 | PA      | $3909483.82   | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4182                      | CUSIP: 31418DUG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  83633274 | PA      | $69146886.97  | 0.43%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5355                      | CUSIP: 3138WE5R6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    981661 | PA      | $924740.60    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995246                      | CUSIP: 31416BTB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     80461 | PA      | $82728.06     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5486                      | CUSIP: 31419GCY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34998 | PA      | $35016.05     | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2484                      | CUSIP: 31418BXN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1560121 | PA      | $1511847.84   | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1170                      | CUSIP: 3138AEJQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32152 | PA      | $32258.28     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3237                      | CUSIP: 31418CS39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     75420 | PA      | $67981.84     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3738                      | CUSIP: 36179SEK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    599078 | PA      | $600267.53    | 0.00%             | 2046-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784101                      | CUSIP: 3622A2RW4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4408894 | PA      | $4162853.21   | 0.03%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05447                      | CUSIP: 3128M7L46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41763 | PA      | $42089.43     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5480                      | CUSIP: 3140X9CS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2064495 | PA      | $1845614.02   | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QK0391                      | CUSIP: 3133D3NG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    811352 | PA      | $690293.58    | 0.00%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8070                      | CUSIP: 3132D56F4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3427400 | PA      | $3178201.06   | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3800                      | CUSIP: 31418DGJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2024440 | PA      | $1853072.14   | 0.01%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04121                      | CUSIP: 3128M54E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28774 | PA      | $29603.30     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2839                      | CUSIP: 3140QNEM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3887199 | PA      | $3203307.94   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3665                      | CUSIP: 31418DCB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219426 | PA      | $217949.27    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4044                      | CUSIP: 36179SP50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    131645 | PA      | $124318.28    | 0.00%             | 2031-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2620                      | CUSIP: 3140XH4E4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5896566 | PA      | $5884684.25   | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4945                        | CUSIP: 36202FP67<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1604200 | PA      | $1571916.32   | 0.01%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA8275                      | CUSIP: 36178GFQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    207031 | PA      | $191842.26    | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890247                      | CUSIP: 31410LBQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90058 | PA      | $97853.34     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX4902                      | CUSIP: 3138Y6NU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    727531 | PA      | $676022.63    | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2678                      | CUSIP: 36179Q6P1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5144414 | PA      | $4871768.94   | 0.03%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1359                      | CUSIP: 3138WAQM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149569 | PA      | $144316.02    | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5114                      | CUSIP: 3133KYVF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11095238 | PA      | $9521370.95   | 0.06%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7273                      | CUSIP: 31417ECK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    858356 | PA      | $784710.90    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4032                      | CUSIP: 3140J8PS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    988867 | PA      | $926250.35    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3662                      | CUSIP: 36179SB71<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4222138 | PA      | $3891778.21   | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13885                      | CUSIP: 3128MCRE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23964 | PA      | $24025.14     | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09029                      | CUSIP: 31292SA67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1772681 | PA      | $1611143.22   | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2227                      | CUSIP: 3132AEPL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9862091 | PA      | $9468788.03   | 0.06%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4518                        | CUSIP: 36202FAT3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    155669 | PA      | $152243.61    | 0.00%             | 2039-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726468                      | CUSIP: 3620ADCD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      7050 | PA      | $7311.80      | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4111                      | CUSIP: 3140X7R92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2124994 | PA      | $1988971.80   | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5125                      | CUSIP: 3133KYVS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4552896 | PA      | $3903564.21   | 0.02%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1152                      | CUSIP: 3140X4H66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77624 | PA      | $72033.94     | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889572                      | CUSIP: 31410KJR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139183 | PA      | $143067.74    | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91752                      | CUSIP: 3128P75M1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    439584 | PA      | $427071.69    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01838                      | CUSIP: 3128LXBF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    872556 | PA      | $887962.86    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9453                      | CUSIP: 3138WKQF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    368490 | PA      | $357294.43    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7269                      | CUSIP: 3138WHCF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    235510 | PA      | $222170.26    | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18438                      | CUSIP: 3128MMPY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    221853 | PA      | $206872.93    | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BO3004                      | CUSIP: 3617KJKR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    534793 | PA      | $495476.52    | 0.00%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1579                      | CUSIP: 3140X4XH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3352318 | PA      | $3244175.26   | 0.02%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04014                      | CUSIP: 31292LN76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    339710 | PA      | $324836.44    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14056                      | CUSIP: 3128MCWR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10315 | PA      | $10281.32     | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP0525                      | CUSIP: 3138M3SP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    348040 | PA      | $325742.80    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08739                      | CUSIP: 3128MJZD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    210590 | PA      | $203291.85    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555678                      | CUSIP: 31385XJX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    500951 | PA      | $513510.26    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4520                      | CUSIP: 31418EAW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11943998 | PA      | $10187710.54  | 0.06%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6902                      | CUSIP: 31417DU43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    140182 | PA      | $128042.28    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8986                      | CUSIP: 3140XC6Y9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6465328 | PA      | $6004327.15   | 0.04%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08762                      | CUSIP: 3128MJZ45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35024 | PA      | $33717.78     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ0813                      | CUSIP: 3140H13X6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    114782 | PA      | $103420.59    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4399                      | CUSIP: 31418D3H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  50614702 | PA      | $43367760.20  | 0.27%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 733746                      | CUSIP: 3620AMET5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     25619 | PA      | $25996.68     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08593                      | CUSIP: 3128MJUT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117805 | PA      | $116669.14    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8085                      | CUSIP: 3132D56W7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1621941 | PA      | $1503934.19   | 0.01%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1346                      | CUSIP: 3132ADP77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    484053 | PA      | $475188.05    | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889996                      | CUSIP: 31410KXZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45745 | PA      | $48144.97     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5072                      | CUSIP: 3138WET66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1685045 | PA      | $1527472.34   | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3940                      | CUSIP: 31417ALW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179848 | PA      | $175571.58    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848285                      | CUSIP: 31300LF26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6686 | PA      | $6836.85      | 0.00%             | 2040-06-01      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0791                      | CUSIP: 31417Y2Z9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    240164 | PA      | $240954.91    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7919                      | CUSIP: 3133KPYQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1418544 | PA      | $1344108.38   | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784122                      | CUSIP: 3622A2SK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7435685 | PA      | $6809009.51   | 0.04%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4442                      | CUSIP: 3138LU5C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125258 | PA      | $126250.86    | 0.00%             | 2042-09-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1704                      | CUSIP: 3140Q83N3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1942499 | PA      | $1945426.07   | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1635                      | CUSIP: 3138X0Y93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    592261 | PA      | $558033.07    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18512                      | CUSIP: 3128MMSA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    371587 | PA      | $356409.74    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725594                      | CUSIP: 31402DC73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41414 | PA      | $43204.83     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5466                      | CUSIP: 36179UCB6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8780827 | PA      | $8545308.72   | 0.05%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726323                      | CUSIP: 3620AC4G6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    104905 | PA      | $106035.01    | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7151                      | CUSIP: 31418U5M2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169947 | PA      | $169385.64    | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4072                      | CUSIP: 31418DQ21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1480099 | PA      | $1302722.92   | 0.01%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1347                      | CUSIP: 3140X4P91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2326172 | PA      | $2100231.39   | 0.01%             | 2048-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8002                      | CUSIP: 3132D53K6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    897097 | PA      | $848615.18    | 0.01%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q01798                      | CUSIP: 3132GE7K0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    605266 | PA      | $607402.14    | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7928                      | CUSIP: 3132A8YZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22872 | PA      | $22250.52     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 615447                      | CUSIP: 36290RWG4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2362 | PA      | $2397.07      | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0855                      | CUSIP: 3132DM5Q4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23176484 | PA      | $19832933.50  | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3383                      | CUSIP: 31418CXM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3948683 | PA      | $3679765.41   | 0.02%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7556                      | CUSIP: 3140XBME7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7578935 | PA      | $7011751.17   | 0.04%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2897                      | CUSIP: 3138EKGF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2169559 | PA      | $2030393.68   | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92179                      | CUSIP: 312940M48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109724 | PA      | $109534.61    | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0862                      | CUSIP: 3140Q75Y9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1704892 | PA      | $1591143.34   | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759137                      | CUSIP: 36230UEJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    661406 | PA      | $644419.90    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5077                      | CUSIP: 3133KYUA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12331673 | PA      | $10493139.76  | 0.07%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7375                      | CUSIP: 31417EFR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182226 | PA      | $172141.90    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4681                      | CUSIP: 3132A5FW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2255447 | PA      | $1954825.02   | 0.01%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9432                      | CUSIP: 3140QHPS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6659590 | PA      | $6000522.05   | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8038                      | CUSIP: 3140XB4Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6595147 | PA      | $5875096.76   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737942                      | CUSIP: 3620ARZF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    129109 | PA      | $124777.65    | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3004                      | CUSIP: 31418CKS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    314353 | PA      | $309865.62    | 0.00%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4094                      | CUSIP: 31418DRQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5837893 | PA      | $5138394.15   | 0.03%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8097                      | CUSIP: 3132DV7J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25607149 | PA      | $21173045.80  | 0.13%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0215                      | CUSIP: 3138EGGZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1298288 | PA      | $1306406.28   | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7519                      | CUSIP: 3132DVK87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7084607 | PA      | $6528527.09   | 0.04%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698375                      | CUSIP: 36296Q2G3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    898113 | PA      | $883355.34    | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8901                      | CUSIP: 3140XC3K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6831828 | PA      | $6061742.29   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08619                      | CUSIP: 3128MJVM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1377073 | PA      | $1250328.89   | 0.01%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1733                      | CUSIP: 3140XG4T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2608170 | PA      | $2324884.46   | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4340                      | CUSIP: 3140J8ZE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    563710 | PA      | $508766.63    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5109                      | CUSIP: 3133KYVA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2201244 | PA      | $1925637.26   | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08708                      | CUSIP: 3128MJYE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    349304 | PA      | $345080.83    | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1366                      | CUSIP: 31418AQU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    999046 | PA      | $915182.35    | 0.01%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7528                      | CUSIP: 3132DVLH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11316234 | PA      | $9484997.24   | 0.06%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7920                      | CUSIP: 3140XBYS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5188986 | PA      | $4646062.21   | 0.03%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01882                      | CUSIP: 3128LXCT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178264 | PA      | $181403.76    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08861                      | CUSIP: 3128MJ5X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    285075 | PA      | $265404.05    | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0215                      | CUSIP: 31419AGZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    700274 | PA      | $679033.43    | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9226                      | CUSIP: 3140XDHC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3135499 | PA      | $2843910.49   | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8092                      | CUSIP: 3132DV7D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6697779 | PA      | $5987186.68   | 0.04%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8511                      | CUSIP: 3132D6N48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4760910 | PA      | $4304831.64   | 0.03%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6474                      | CUSIP: 36179VFP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27729181 | PA      | $25172886.19  | 0.16%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5218                      | CUSIP: 3138EMYQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    332500 | PA      | $334246.15    | 0.00%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254915                      | CUSIP: 31371LDU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6641 | PA      | $6239.54      | 0.00%             | 2023-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1525                      | CUSIP: 31418AVT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1910727 | PA      | $1800472.96   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4446                      | CUSIP: 31418D5G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4865109 | PA      | $4171721.01   | 0.03%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6153                      | CUSIP: 36179UZS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  42135635 | PA      | $38108690.35  | 0.24%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0010                      | CUSIP: 3132D9AK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    521845 | PA      | $533783.40    | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3377                      | CUSIP: 3138WCXF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164452 | PA      | $152774.92    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4020                      | CUSIP: 31418DPE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11865660 | PA      | $10606035.68  | 0.07%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC8568                      | CUSIP: 31417VQW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1177245 | PA      | $1179990.60   | 0.01%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3867                      | CUSIP: 3138WDJM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1488230 | PA      | $1422051.79   | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1257                      | CUSIP: 3140J5MF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1470228 | PA      | $1293213.65   | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190329                      | CUSIP: 31368HLJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     86227 | PA      | $91101.91     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5109                      | CUSIP: 3140J9VB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5444671 | PA      | $5189669.02   | 0.03%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2211                      | CUSIP: 3132AEN44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1227905 | PA      | $1178938.99   | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1112                      | CUSIP: 31418AGW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191324 | PA      | $186069.95    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5208                        | CUSIP: 36202FYD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     67699 | PA      | $64109.64     | 0.00%             | 2026-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02384                      | CUSIP: 3128LXUH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202762 | PA      | $218222.53    | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4157                      | CUSIP: 31418DTP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  34189420 | PA      | $26586096.80  | 0.17%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5113                      | CUSIP: 3133KYVE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4944995 | PA      | $3840868.92   | 0.02%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2838                      | CUSIP: 31329LEK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33066 | PA      | $30675.19     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889455                      | CUSIP: 31410KE42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21507 | PA      | $22685.96     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7508                      | CUSIP: 3132DVKV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6514422 | PA      | $6057016.01   | 0.04%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3936                      | CUSIP: 3140X7LS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    346360 | PA      | $324963.46    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4516                      | CUSIP: 3140X8AS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4035903 | PA      | $3661235.18   | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3781                      | CUSIP: 3138X3FX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    643809 | PA      | $597840.28    | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15537                      | CUSIP: 3128MELS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    237404 | PA      | $223071.51    | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6626                      | CUSIP: 3140KELG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4179898 | PA      | $3455838.52   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5079                      | CUSIP: 36179TUC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1178158 | PA      | $1172671.84   | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784443                      | CUSIP: 3622A25C2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1704156 | PA      | $1718206.31   | 0.01%             | 2042-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2086                      | CUSIP: 3138EJJ82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7036 | PA      | $7257.92      | 0.00%             | 2042-05-01      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 3 12/22                   | CUSIP: 01F0304C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2634187.36   | 0.02%             | 2022-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5915                      | CUSIP: 3140X9SD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1650526 | PA      | $1710786.87   | 0.01%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5764                      | CUSIP: 36179UMM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3751245 | PA      | $3756020.03   | 0.02%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7039                      | CUSIP: 3138WGZD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    803475 | PA      | $799404.98    | 0.01%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4299                      | CUSIP: 3140QBX52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2463982 | PA      | $2207095.57   | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0977                      | CUSIP: 3140XGCP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7608855 | PA      | $6807771.27   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745511                      | CUSIP: 31403DGU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202493 | PA      | $205535.33    | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01749                      | CUSIP: 31283H5J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213410 | PA      | $216305.52    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6715                      | CUSIP: 3138EPN91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180284 | PA      | $175320.19    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89941                      | CUSIP: 312937BJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48652 | PA      | $49033.26     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR9198                      | CUSIP: 3138W7GG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190694 | PA      | $173515.21    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6733                      | CUSIP: 3140XAPT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4133177 | PA      | $3888990.73   | 0.02%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0139                      | CUSIP: 36179MEL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    419570 | PA      | $392985.13    | 0.00%             | 2027-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4392                      | CUSIP: 3140QP3A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5642235 | PA      | $5494004.23   | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2722                      | CUSIP: 3138WQAY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5028443 | PA      | $4575292.96   | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01371                      | CUSIP: 31292HQY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8744 | PA      | $8898.38      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0824                      | CUSIP: 3132DM4H5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7048627 | PA      | $6096434.88   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3960                      | CUSIP: 31418DMJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10383194 | PA      | $9280587.50   | 0.06%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5228                        | CUSIP: 36202FYZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     50159 | PA      | $49333.00     | 0.00%             | 2026-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1273                      | CUSIP: 31418AMX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171055 | PA      | $160082.97    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8267                      | CUSIP: 3132DWFG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16130999 | PA      | $16070713.76  | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2521                      | CUSIP: 36179QYS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1734791 | PA      | $1643900.43   | 0.01%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3735                      | CUSIP: 36179SEG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9563002 | PA      | $8814827.82   | 0.06%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6983                      | CUSIP: 3140QEXM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2984614 | PA      | $2481291.41   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2832                      | CUSIP: 31418CEE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6955146 | PA      | $6546446.73   | 0.04%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5098                      | CUSIP: 3140J9UY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1717088 | PA      | $1749580.60   | 0.01%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8172                      | CUSIP: 3132DWCH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  42104233 | PA      | $34733545.57  | 0.22%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4311                      | CUSIP: 31418DYH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    646876 | PA      | $555121.45    | 0.00%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BA2102                      | CUSIP: 3140E6KQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    767388 | PA      | $687303.99    | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4723                      | CUSIP: 3140X8G92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3295597 | PA      | $2562698.53   | 0.02%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08796                      | CUSIP: 3128MJ3E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1374162 | PA      | $1281198.76   | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0867                      | CUSIP: 3138EG6D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43952 | PA      | $42722.14     | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7937                      | CUSIP: 36179WZA9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17780767 | PA      | $16034900.10  | 0.10%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9229                      | CUSIP: 3138ERHF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    766521 | PA      | $753491.31    | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK4740                      | CUSIP: 3140HJHS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    535276 | PA      | $514120.36    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08818                      | CUSIP: 3128MJ4C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2607647 | PA      | $2576555.69   | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03050                      | CUSIP: 3128M4WK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6784 | PA      | $6904.79      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1839                      | CUSIP: 36179QBG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    371612 | PA      | $364141.90    | 0.00%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q10378                      | CUSIP: 3132HLM34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    747753 | PA      | $676167.50    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4801                        | CUSIP: 36202FKN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1015724 | PA      | $1028942.28   | 0.01%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256939                      | CUSIP: 31371NLU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3070 | PA      | $3322.83      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4742                      | CUSIP: 3138M8HU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1763573 | PA      | $1666139.93   | 0.01%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4206                      | CUSIP: 31418DU83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9136559 | PA      | $8220427.88   | 0.05%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN5342                      | CUSIP: 3140JM5C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5840712 | PA      | $5595565.91   | 0.04%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1374                      | CUSIP: 3140XGQ44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10293145 | PA      | $9129528.26   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8089                      | CUSIP: 3132DV7A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  34769151 | PA      | $29923718.31  | 0.19%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4654                      | CUSIP: 31418EE48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8916915 | PA      | $8172566.52   | 0.05%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01461                      | CUSIP: 31283HTS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169046 | PA      | $180216.34    | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95083                      | CUSIP: 312943UG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    351368 | PA      | $342971.97    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4549                      | CUSIP: 31418EBT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4449253 | PA      | $3941322.51   | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5437                      | CUSIP: 3138ENBF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    721254 | PA      | $743758.64    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5090                      | CUSIP: 3133KYUP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14417478 | PA      | $12267468.97  | 0.08%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9203                      | CUSIP: 36178WGL7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1463280 | PA      | $1316792.06   | 0.01%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6684                      | CUSIP: 36179VM98<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    422374 | PA      | $396224.57    | 0.00%             | 2035-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0911                      | CUSIP: 31418AAM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70863 | PA      | $67110.96     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06061                      | CUSIP: 3128M8B60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1118325 | PA      | $1091635.42   | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6040                      | CUSIP: 36179UV90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1853648 | PA      | $1790069.38   | 0.01%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16505                      | CUSIP: 3128MFNW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1035230 | PA      | $1008054.68   | 0.01%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0933                      | CUSIP: 36179NBA5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4957953 | PA      | $4543852.10   | 0.03%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3058                      | CUSIP: 31418CMG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2548412 | PA      | $2455722.22   | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q21319                      | CUSIP: 3132JNPC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2221966 | PA      | $2071645.32   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1059                      | CUSIP: 31418AE95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    883322 | PA      | $867628.83    | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8073                      | CUSIP: 3132D56J6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1789896 | PA      | $1567691.07   | 0.01%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4330                      | CUSIP: 31418DY48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7676961 | PA      | $7100290.67   | 0.04%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4856                      | CUSIP: 3140J9ME8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    750186 | PA      | $727898.58    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7795                      | CUSIP: 3133KPUU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7928855 | PA      | $7927649.57   | 0.05%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA2226                      | CUSIP: 31334YPK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    308847 | PA      | $279961.71    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256803                      | CUSIP: 31371NGL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5873 | PA      | $6007.97      | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03202                      | CUSIP: 3128M43K7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19201 | PA      | $19778.35     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0361                      | CUSIP: 3132CWMJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2970947 | PA      | $2814078.73   | 0.02%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05175                      | CUSIP: 3128M7CL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212067 | PA      | $213008.36    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3805                      | CUSIP: 36179SGN1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    256856 | PA      | $257361.09    | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0543                      | CUSIP: 3138EGS96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    347908 | PA      | $348668.16    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735502                      | CUSIP: 31402RDF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    201990 | PA      | $212267.90    | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93095                      | CUSIP: 312941NL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    313054 | PA      | $313781.52    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V81760                      | CUSIP: 3132L65V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33659 | PA      | $32627.73     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4322                      | CUSIP: 36179SYT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2114998 | PA      | $2069343.11   | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6061                      | CUSIP: 3140X9WX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    783219 | PA      | $651711.93    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8745                      | CUSIP: 3140XCWF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27527968 | PA      | $23581990.61  | 0.15%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4563                      | CUSIP: 31418EB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23558855 | PA      | $20122259.10  | 0.13%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08676                      | CUSIP: 3128MJXE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2540497 | PA      | $2382324.30   | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7253                      | CUSIP: 36179WBW7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3677457 | PA      | $2995110.13   | 0.02%             | 2051-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5818                      | CUSIP: 36179UPB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2290851 | PA      | $2293760.20   | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1507                      | CUSIP: 3132DNU84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  49507409 | PA      | $40826730.25  | 0.26%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7592                      | CUSIP: 3140XBNJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5156543 | PA      | $4795357.39   | 0.03%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY8862                      | CUSIP: 3138YNZ42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126296 | PA      | $122202.45    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8057                      | CUSIP: 3132DV5S0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    915163 | PA      | $847747.15    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 931801                      | CUSIP: 31412QGJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15597 | PA      | $16210.99     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8238                      | CUSIP: 3132DWEK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25109763 | PA      | $24461717.24  | 0.15%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888673                      | CUSIP: 31410GJS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    135807 | PA      | $144774.21    | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0405                      | CUSIP: 3132ACNW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2520278 | PA      | $2521260.04   | 0.02%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7705                      | CUSIP: 3140XBR36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2186111 | PA      | $2023897.55   | 0.01%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6542                      | CUSIP: 36179VHT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12191376 | PA      | $11468314.32  | 0.07%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3734                      | CUSIP: 3138ELEG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23756 | PA      | $24050.37     | 0.00%             | 2043-06-01      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1697                      | CUSIP: 3132DN3E1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3715691 | PA      | $3641111.62   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08824                      | CUSIP: 3128MJ4J6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5136122 | PA      | $4936835.16   | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190396                      | CUSIP: 31368HNM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1164031 | PA      | $1173139.33   | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09042                      | CUSIP: 31292SBK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    650817 | PA      | $606758.91    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4574                      | CUSIP: 3132A5CK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177582 | PA      | $175698.22    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08741                      | CUSIP: 3128MJZF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13978113 | PA      | $12618150.03  | 0.08%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0717                      | CUSIP: 3132ACYN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     78153 | PA      | $75300.94     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03507                      | CUSIP: 3128M5GQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14428 | PA      | $14600.68     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6218                      | CUSIP: 36179U4B5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1059757 | PA      | $957130.82    | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4226                      | CUSIP: 3140X7VU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34039 | PA      | $29406.66     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0023                      | CUSIP: 3132CWAY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11347 | PA      | $10765.49     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8375                      | CUSIP: 3138WJJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    380107 | PA      | $368796.26    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV0691                      | CUSIP: 3138XBXV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    680583 | PA      | $666923.82    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8594                      | CUSIP: 3132A9RP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16361 | PA      | $15564.42     | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18536                      | CUSIP: 3128MMS20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    717739 | PA      | $675522.79    | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735989                      | CUSIP: 31402RUN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    295750 | PA      | $308606.52    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5738                      | CUSIP: 3138ENLU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158329 | PA      | $148464.63    | 0.00%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7073                      | CUSIP: 31418U2F0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20342 | PA      | $20275.17     | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4306                      | CUSIP: 31418DYC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  31870950 | PA      | $27258592.55  | 0.17%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3093                      | CUSIP: 3140X6NK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     78153 | PA      | $75077.73     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0892                      | CUSIP: 3132DM7D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    611387 | PA      | $508457.85    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1921                      | CUSIP: 36179QD24<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    354475 | PA      | $359079.21    | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4747                      | CUSIP: 3132A5HY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1356362 | PA      | $1263336.80   | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK0916                      | CUSIP: 3140HEAS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1007826 | PA      | $1018586.82   | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783366                      | CUSIP: 36241LW36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    318247 | PA      | $331886.63    | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 780168                      | CUSIP: 36225AFH8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       346 | PA      | $356.32       | 0.00%             | 2024-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995515                      | CUSIP: 31416B3Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44583 | PA      | $44931.90     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8574                      | CUSIP: 3132A9Q34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1436700 | PA      | $1371320.94   | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08721                      | CUSIP: 3128MJYT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4062353 | PA      | $3667145.26   | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2321                      | CUSIP: 3140XHSK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5183340 | PA      | $4441807.99   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2086                      | CUSIP: 3132AEJ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6066796 | PA      | $5622555.06   | 0.04%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1923                      | CUSIP: 3140XHD53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  52364336 | PA      | $44817860.48  | 0.28%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60676                      | CUSIP: 31335AXD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1226747 | PA      | $1229477.96   | 0.01%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95796                      | CUSIP: 312944NM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53704 | PA      | $52475.38     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40045                      | CUSIP: 3132FCBN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43434 | PA      | $45208.72     | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0584                      | CUSIP: 3140XFUJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189910 | PA      | $156599.83    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4343                      | CUSIP: 31418DZH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10342750 | PA      | $8041791.24   | 0.05%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06409                      | CUSIP: 3128M8N26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    631580 | PA      | $640199.09    | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61932                      | CUSIP: 31335CED2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    783228 | PA      | $729436.61    | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97046                      | CUSIP: 312945ZK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    390143 | PA      | $391505.70    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890789                      | CUSIP: 31410LUN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40079 | PA      | $38265.65     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5465                      | CUSIP: 36179UCA8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    506389 | PA      | $476616.54    | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4293                        | CUSIP: 36202EXW4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     10494 | PA      | $10905.57     | 0.00%             | 2038-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4500                      | CUSIP: 31418EAA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    301729 | PA      | $241742.14    | 0.00%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18717                      | CUSIP: 3128MMYP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1258644 | PA      | $1236675.67   | 0.01%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH2886                      | CUSIP: 3138A4F42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6756 | PA      | $6566.92      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0898                      | CUSIP: 3140XF7L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5411139 | PA      | $4811696.38   | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2444                      | CUSIP: 36179QWD9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    995200 | PA      | $917525.58    | 0.01%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09000                      | CUSIP: 31292R7M8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    933589 | PA      | $880200.28    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5126                      | CUSIP: 3140QCVU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2023662 | PA      | $1794862.52   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4495                        | CUSIP: 36202E7G8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    636359 | PA      | $644631.33    | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 984281                      | CUSIP: 31415MM69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163994 | PA      | $174980.51    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05645                      | CUSIP: 3128M7TA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    806195 | PA      | $835676.99    | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5135                      | CUSIP: 3133KYV48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10128725 | PA      | $8684062.33   | 0.05%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07195                      | CUSIP: 3128M9KG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1087033 | PA      | $1092524.41   | 0.01%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1044                      | CUSIP: 31418AES3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    438471 | PA      | $396507.11    | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4602                      | CUSIP: 31418EDG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6982391 | PA      | $6289057.34   | 0.04%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01435                      | CUSIP: 31292HSY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    217005 | PA      | $234953.98    | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05080                      | CUSIP: 3128M66R4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29849 | PA      | $29861.14     | 0.00%             | 2037-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01436                      | CUSIP: 31292HSZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5827 | PA      | $6248.11      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725220                      | CUSIP: 31402CVM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    728779 | PA      | $747039.23    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01534                      | CUSIP: 31283HV36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38168 | PA      | $38610.42     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7408                      | CUSIP: 31417EGS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193632 | PA      | $175089.56    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9615                      | CUSIP: 3138WKVH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    770558 | PA      | $750614.56    | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A86249                      | CUSIP: 3129325J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    339023 | PA      | $341669.84    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07942                      | CUSIP: 3128MAEP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     85875 | PA      | $85115.74     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6039                      | CUSIP: 36179UV82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9584097 | PA      | $9015568.86   | 0.06%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01589                      | CUSIP: 31283HXS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    118706 | PA      | $120733.56    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8787                      | CUSIP: 3140XCXR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4552639 | PA      | $3906706.01   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04527                      | CUSIP: 3128M6LG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    591065 | PA      | $601295.01    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 677292                      | CUSIP: 36295QNH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     70537 | PA      | $72401.80     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0937                      | CUSIP: 31419BBF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1156605 | PA      | $1097677.07   | 0.01%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3278                      | CUSIP: 31418CUC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    653473 | PA      | $647810.16    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725205                      | CUSIP: 31402CU67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264581 | PA      | $271207.39    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5398                      | CUSIP: 36179T7K5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12038271 | PA      | $11715650.15  | 0.07%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04334                      | CUSIP: 3128M6EF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129351 | PA      | $135547.89    | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9487                      | CUSIP: 3138WKRH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    635857 | PA      | $612740.23    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08692                      | CUSIP: 3128MJXW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2333861 | PA      | $2106761.03   | 0.01%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6008                      | CUSIP: 3140QDVA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1256433 | PA      | $1173664.38   | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2549                      | CUSIP: 31418BZP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1674961 | PA      | $1568527.55   | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3918                      | CUSIP: 3140QPK89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1491892 | PA      | $1454941.76   | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1629                      | CUSIP: 3138X0Y36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7089454 | PA      | $6449991.24   | 0.04%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA1104                      | CUSIP: 3133KGGM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4884722 | PA      | $4367201.71   | 0.03%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3484                      | CUSIP: 3138EK2S3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1470050 | PA      | $1475650.49   | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0696                      | CUSIP: 3140XFX22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9315542 | PA      | $8302404.81   | 0.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV0695                      | CUSIP: 3138XBXZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215135 | PA      | $214562.04    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 487825                      | CUSIP: 36210B4J1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    135065 | PA      | $137048.73    | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AZ0988                      | CUSIP: 36197DCZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    817885 | PA      | $763818.58    | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701603                      | CUSIP: 36296UNU0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     65917 | PA      | $68376.34     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96815                      | CUSIP: 312945SC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6194 | PA      | $6063.34      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3566                      | CUSIP: 3140X66C0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1797698 | PA      | $1734789.92   | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3781                      | CUSIP: 3138A5FX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325305 | PA      | $317566.59    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5907                      | CUSIP: 3140X9R56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    728530 | PA      | $661449.62    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2602                      | CUSIP: 36179Q3K5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1080505 | PA      | $1058785.32   | 0.01%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7559                      | CUSIP: 3140XBMH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2293801 | PA      | $1951257.73   | 0.01%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0317                      | CUSIP: 36179MK66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3426730 | PA      | $3170158.59   | 0.02%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE7993                      | CUSIP: 3133BH3A2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1380000 | PA      | $1307712.67   | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BZ5517                      | CUSIP: 3617U1DW9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    140750 | PA      | $120599.23    | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 620472                      | CUSIP: 36290XJR2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     85169 | PA      | $86407.80     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C92004                      | CUSIP: 3128P8GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1998643 | PA      | $1966721.96   | 0.01%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0563                      | CUSIP: 31417YTV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    500071 | PA      | $483349.59    | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4095                      | CUSIP: 31418DRR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6586298 | PA      | $5926044.19   | 0.04%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6589                      | CUSIP: 31417DKB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    303030 | PA      | $274047.41    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BC8968                      | CUSIP: 3617BC6D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    857456 | PA      | $855255.38    | 0.01%             | 2047-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3376                      | CUSIP: 36179RXD6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3838850 | PA      | $3635311.07   | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1202                      | CUSIP: 3132DNKP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4565374 | PA      | $4229940.69   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1679                      | CUSIP: 36179N2L1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    835913 | PA      | $846769.16    | 0.01%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5175                        | CUSIP: 36202FXC5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1284689 | PA      | $1301408.21   | 0.01%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO3659                      | CUSIP: 3138LUB53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    290105 | PA      | $271599.27    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255767                      | CUSIP: 31371MCC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5639 | PA      | $5783.98      | 0.00%             | 2025-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2959                      | CUSIP: 3138LTJD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    262896 | PA      | $251943.58    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8800                      | CUSIP: 3140XCX60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4565110 | PA      | $4076028.68   | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8585                      | CUSIP: 3140XCRF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10996011 | PA      | $10208529.62  | 0.06%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9511                      | CUSIP: 3133AUR83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    278114 | PA      | $231005.41    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5667                      | CUSIP: 3140X9JM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9199096 | PA      | $8653591.27   | 0.05%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4225                      | CUSIP: 31417AVT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    840252 | PA      | $779695.14    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08688                      | CUSIP: 3128MJXS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1379624 | PA      | $1331840.69   | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5956                      | CUSIP: 3140X9TN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     95071 | PA      | $91365.29     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93337                      | CUSIP: 312941V61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120752 | PA      | $121032.45    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3956                      | CUSIP: 3140QBME5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    920090 | PA      | $851571.50    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH5768                      | CUSIP: 3140GUMS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79161 | PA      | $77538.25     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00730                      | CUSIP: 31292GY34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1822 | PA      | $1870.91      | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0918                      | CUSIP: 31418AAU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    272953 | PA      | $266466.68    | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01644                      | CUSIP: 31283HZH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270483 | PA      | $273578.82    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18571                      | CUSIP: 3128MMT52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    990088 | PA      | $931819.85    | 0.01%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8183                      | CUSIP: 3132DWCU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  75973212 | PA      | $64898125.81  | 0.41%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3798                      | CUSIP: 31418DGG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243489 | PA      | $230334.11    | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0627                      | CUSIP: 31419AVV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58587 | PA      | $58528.75     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q53751                      | CUSIP: 3132XWEZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2852564 | PA      | $2659316.62   | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8178                      | CUSIP: 3132DWCP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  58614145 | PA      | $50217580.86  | 0.31%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4962                      | CUSIP: 36179TQP3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7955850 | PA      | $7501651.77   | 0.05%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2879                      | CUSIP: 3140X6FV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    287358 | PA      | $275525.19    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08473                      | CUSIP: 3128MJQ37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3089972 | PA      | $2913391.90   | 0.02%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q41208                      | CUSIP: 3132WEKW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    768572 | PA      | $718880.54    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3333                      | CUSIP: 31418CV35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5281522 | PA      | $5081272.34   | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A37159                      | CUSIP: 31297S5U5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20164 | PA      | $20534.90     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2683                      | CUSIP: 3138EJ6V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    543992 | PA      | $539824.56    | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4181                      | CUSIP: 31418DUF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  33353848 | PA      | $25937246.31  | 0.16%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5664                      | CUSIP: 3140X9JJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214680 | PA      | $203255.42    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1106                      | CUSIP: 31418AGQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    353910 | PA      | $325755.49    | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5837                      | CUSIP: 3138WFPX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     97026 | PA      | $94028.24     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08011                      | CUSIP: 3128MJAM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    338276 | PA      | $367151.35    | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4074                      | CUSIP: 3140QBQ43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    535473 | PA      | $497354.86    | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8062                      | CUSIP: 3132DV5X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7461897 | PA      | $6607404.58   | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9328                      | CUSIP: 3138MRLJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    596864 | PA      | $564565.62    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8140                      | CUSIP: 3132D6BH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9403065 | PA      | $8231178.59   | 0.05%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745412                      | CUSIP: 31403DDR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    654675 | PA      | $682605.55    | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3415                      | CUSIP: 31418CYM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5379309 | PA      | $5175323.77   | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783276                      | CUSIP: 36241LT97<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    414373 | PA      | $411776.28    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1090                      | CUSIP: 36179NF78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1037786 | PA      | $983348.19    | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2827                      | CUSIP: 36179RD89<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    835336 | PA      | $818561.49    | 0.01%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9551                      | CUSIP: 3138WKTH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    749509 | PA      | $722204.05    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17774                      | CUSIP: 3128PXT71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1035222 | PA      | $980514.91    | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5017                        | CUSIP: 36202FSE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3731588 | PA      | $3899837.53   | 0.02%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00834                      | CUSIP: 31292G4T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6609 | PA      | $6756.73      | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61771                      | CUSIP: 31335B6G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    284988 | PA      | $286698.50    | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3377                      | CUSIP: 36179RXE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    854246 | PA      | $837097.47    | 0.01%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6342                      | CUSIP: 36179VBK5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    234534 | PA      | $234463.18    | 0.00%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9416                      | CUSIP: 3140XDPA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15065682 | PA      | $14142228.20  | 0.09%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3802                      | CUSIP: 36179SGK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4963969 | PA      | $4575702.85   | 0.03%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18663                      | CUSIP: 3128MMWZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    556035 | PA      | $527879.00    | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6223                      | CUSIP: 3138EN4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    799981 | PA      | $803044.06    | 0.01%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4416                      | CUSIP: 31418D4A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2600811 | PA      | $2406332.30   | 0.02%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9289                      | CUSIP: 3140QHKB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4411212 | PA      | $3775365.21   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4325                      | CUSIP: 31418DYX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  91064143 | PA      | $75128054.87  | 0.47%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6633                      | CUSIP: 3140XALP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1209489 | PA      | $1243303.55   | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8082                      | CUSIP: 3132DV6T7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5640028 | PA      | $4386140.65   | 0.03%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4269                        | CUSIP: 36202EW62<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    132239 | PA      | $143402.18    | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE4394                      | CUSIP: 3133BD3B9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2384997 | PA      | $2334804.00   | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783314                      | CUSIP: 36241LVF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     51597 | PA      | $53706.98     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0895                      | CUSIP: 31417Y7H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    622631 | PA      | $578768.37    | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995203                      | CUSIP: 31416BRY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1195060 | PA      | $1213599.69   | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8268                      | CUSIP: 3132DWFH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19717899 | PA      | $19982734.41  | 0.13%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4571                      | CUSIP: 31418ECH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2836962 | PA      | $2485234.62   | 0.02%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0223                      | CUSIP: 3140XFG96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    935935 | PA      | $883334.11    | 0.01%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6081                      | CUSIP: 3138WFXK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61116 | PA      | $57364.66     | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 938805                      | CUSIP: 31412YNW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8008 | PA      | $8203.10      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8173                      | CUSIP: 3132DWCJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  64867939 | PA      | $55577156.70  | 0.35%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2577                      | CUSIP: 31418B2K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5114 | PA      | $4622.38      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4609                      | CUSIP: 31417BDP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    644202 | PA      | $626497.28    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2 12/22                   | CUSIP: 01F0206C8<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -25245000 | PA      | $-20767955.77 | -0.13%            | 2022-12-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0007                      | CUSIP: 36179MAG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    961681 | PA      | $900759.55    | 0.01%             | 2027-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6527                      | CUSIP: 3138WGHD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574722 | PA      | $556971.02    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0828                      | CUSIP: 31419A4N4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1671456 | PA      | $1565062.57   | 0.01%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC1591                      | CUSIP: 31417KXV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40712 | PA      | $41891.69     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4831                      | CUSIP: 3140QQLM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3932534 | PA      | $3838894.10   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0654                      | CUSIP: 3140XFWQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6752431 | PA      | $5849280.24   | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2542                      | CUSIP: 31418BZG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    418166 | PA      | $379020.41    | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4030                      | CUSIP: 3140QPPQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11877249 | PA      | $11583537.27  | 0.07%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 4.5 12/20                 | CUSIP: 01F0424C4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8025000 | PA      | $7989890.63   | 0.05%             | 2022-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD0442                      | CUSIP: 3140F7P45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    235028 | PA      | $220090.97    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254146                      | CUSIP: 31371KHX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87542 | PA      | $88714.59     | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J38270                      | CUSIP: 31307VFK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14984 | PA      | $13997.03     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1937                      | CUSIP: 3138AFEK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    911005 | PA      | $914001.40    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4805                        | CUSIP: 36202FKS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     11016 | PA      | $12072.99     | 0.00%             | 2040-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02699                      | CUSIP: 3128M4KL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     75669 | PA      | $79841.91     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14197                      | CUSIP: 3128MC3E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164202 | PA      | $158898.22    | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1648                      | CUSIP: 3140XGZN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  59518706 | PA      | $50951423.00  | 0.32%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4237                      | CUSIP: 31418DV74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        | 129251215 | PA      | $106861362.68 | 0.67%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7512                      | CUSIP: 3132DVKZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15116345 | PA      | $13605674.96  | 0.09%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8099                      | CUSIP: 3132DV7L3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19142031 | PA      | $16444494.11  | 0.10%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3378                      | CUSIP: 36179RXF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    219721 | PA      | $220154.46    | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0409                      | CUSIP: 3138EGN34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48331 | PA      | $47282.25     | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE6832                      | CUSIP: 31419HSW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2311 | PA      | $2377.42      | 0.00%             | 2040-11-01      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZN4768                      | CUSIP: 3131YBJM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     94548 | PA      | $87548.59     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9469                      | CUSIP: 3138ERQX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    856015 | PA      | $821817.18    | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9816                      | CUSIP: 3140XD4A1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2315896 | PA      | $2148385.33   | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3726                      | CUSIP: 3133KKD71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13122062 | PA      | $10804626.01  | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4635                      | CUSIP: 3140X8EH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    938460 | PA      | $774238.92    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1472                      | CUSIP: 3140X4T63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1255716 | PA      | $1231326.79   | 0.01%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5991                      | CUSIP: 3138WTUR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73360 | PA      | $66743.43     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5131                      | CUSIP: 3133KYVY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7199441 | PA      | $6172478.36   | 0.04%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18531                      | CUSIP: 3128MMSV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    422421 | PA      | $405157.69    | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5019                      | CUSIP: 36179TSG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2850206 | PA      | $2660703.42   | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4238                      | CUSIP: 31418DV82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21164236 | PA      | $18215046.51  | 0.11%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8025                      | CUSIP: 3140QF4K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2471117 | PA      | $2122025.23   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE4624                      | CUSIP: 31419FD60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21204 | PA      | $20720.10     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4785                      | CUSIP: 3132A5J63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23703 | PA      | $22761.21     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08046                      | CUSIP: 3128MJBQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    821520 | PA      | $879945.19    | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7313                      | CUSIP: 36179WDS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5442906 | PA      | $4915409.92   | 0.03%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8064                      | CUSIP: 3132DV5Z4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1207199 | PA      | $1153052.90   | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6262                      | CUSIP: 3138WF5Y8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    404151 | PA      | $379389.29    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3309                      | CUSIP: 36179RVA4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    363015 | PA      | $335455.23    | 0.00%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1441                      | CUSIP: 3138ASS78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    491445 | PA      | $477676.16    | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995838                      | CUSIP: 31416CHP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109709 | PA      | $115144.80    | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1947                      | CUSIP: 3140J6EV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2483025 | PA      | $2640190.75   | 0.02%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW1004                      | CUSIP: 3138XQDJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    523043 | PA      | $487315.75    | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC6037                      | CUSIP: 3140F1V74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165529 | PA      | $155084.29    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3182                      | CUSIP: 31418CRC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1571821 | PA      | $1466915.97   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4751                      | CUSIP: 3140X8H59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2188642 | PA      | $2037134.13   | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9279                      | CUSIP: 3140GYJZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    573918 | PA      | $565025.45    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5032                      | CUSIP: 3133KYSV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2298636 | PA      | $2017219.15   | 0.01%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0391                      | CUSIP: 36179MNG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4584993 | PA      | $4241632.10   | 0.03%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI9851                      | CUSIP: 3138AP5M6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    711048 | PA      | $715530.09    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1724                      | CUSIP: 3140X44J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4220544 | PA      | $3781448.30   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q43259                      | CUSIP: 3132WGTR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327151 | PA      | $305862.24    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08637                      | CUSIP: 3128MJV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    524950 | PA      | $508218.86    | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1838                      | CUSIP: 36179QBF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    345392 | PA      | $327292.99    | 0.00%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93511                      | CUSIP: 3129413U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    431418 | PA      | $447755.84    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 699759                      | CUSIP: 31400WMG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2100 | PA      | $2159.07      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0208                      | CUSIP: 3138EGGS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    417720 | PA      | $420337.67    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q52319                      | CUSIP: 3132XUSH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3326894 | PA      | $3101650.20   | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3394                      | CUSIP: 3138A4XY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1100264 | PA      | $1075081.51   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06224                      | CUSIP: 3128M8G99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    339126 | PA      | $317556.68    | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1449                      | CUSIP: 36179NTE8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1133030 | PA      | $1103787.73   | 0.01%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08823                      | CUSIP: 3128MJ4H0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1379479 | PA      | $1284237.92   | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1449                      | CUSIP: 3140X4TF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    532919 | PA      | $494794.69    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0657                      | CUSIP: 3132ACWS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2123239 | PA      | $2262981.13   | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04774                      | CUSIP: 3128M6T73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155108 | PA      | $155219.89    | 0.00%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4386                      | CUSIP: 31418D2U5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9289299 | PA      | $7215421.81   | 0.05%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1660                      | CUSIP: 3140X4Z25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1173739 | PA      | $1125726.33   | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781496                      | CUSIP: 36225BUV8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     42953 | PA      | $45177.42     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6004                      | CUSIP: 3138ENU64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145999 | PA      | $144216.45    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4205                      | CUSIP: 31418DU75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26973745 | PA      | $23623492.75  | 0.15%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3870                      | CUSIP: 31418DJQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6511560 | PA      | $5621202.87   | 0.04%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18569                      | CUSIP: 3128MMT37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    864944 | PA      | $826366.79    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1550                      | CUSIP: 3140XGWL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  38339108 | PA      | $32923923.94  | 0.21%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5990                      | CUSIP: 3138WTUQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162973 | PA      | $148240.30    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3657                      | CUSIP: 31418DB35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1550310 | PA      | $1466568.71   | 0.01%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725232                      | CUSIP: 31402CVZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    674217 | PA      | $683434.24    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2679                      | CUSIP: 36179Q6Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3226528 | PA      | $3161599.06   | 0.02%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783382                      | CUSIP: 36241LXK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    158133 | PA      | $160460.67    | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE5069                      | CUSIP: 3140FQT31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    598846 | PA      | $542951.34    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254549                      | CUSIP: 31371KWJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2739 | PA      | $2952.39      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08615                      | CUSIP: 3128MJVH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2198106 | PA      | $2064702.11   | 0.01%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8570                      | CUSIP: 3132A9QX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    489712 | PA      | $467414.16    | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4292                        | CUSIP: 36202EXV6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     21266 | PA      | $23062.57     | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7535                      | CUSIP: 3132DVLQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  34599003 | PA      | $29917404.94  | 0.19%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4647                      | CUSIP: 3132A5EU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437560 | PA      | $409946.45    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00765                      | CUSIP: 31292GZ66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2734 | PA      | $2643.70      | 0.00%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8115                      | CUSIP: 3132DWAQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2193380 | PA      | $1960201.02   | 0.01%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ9225                      | CUSIP: 3140E2HB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200911 | PA      | $197316.39    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5018                      | CUSIP: 36179TSF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1198260 | PA      | $1100170.08   | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08791                      | CUSIP: 3128MJ2Z2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    553771 | PA      | $498676.49    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254831                      | CUSIP: 31371LA82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1064 | PA      | $1076.67      | 0.00%             | 2023-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2693                      | CUSIP: 3138EJ7F9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    456806 | PA      | $433297.45    | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8302                      | CUSIP: 3140XCGL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24225 | PA      | $23199.95     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund | Vanguard Market Liquidity Fund | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78 | Long             | STIV             | CORP              | US        |   5398626 | NS      | $539808599.74 | 3.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5118                      | CUSIP: 3133KYVK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10377216 | PA      | $8905480.47   | 0.06%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5157                      | CUSIP: 3138EMWT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63585 | PA      | $62088.02     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI3417                      | CUSIP: 3138AGYP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4465 | PA      | $4696.18      | 0.00%             | 2041-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9125                      | CUSIP: 3138ERD72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62932 | PA      | $61414.29     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ9232                      | CUSIP: 3140E2HJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    907380 | PA      | $867851.78    | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02793                      | CUSIP: 3128M4NJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190935 | PA      | $194429.40    | 0.00%             | 2037-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2737                      | CUSIP: 31418CBF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168324 | PA      | $152098.74    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3595                      | CUSIP: 36179R7G8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    447351 | PA      | $392311.20    | 0.00%             | 2046-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01883                      | CUSIP: 3128LXCU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149470 | PA      | $152163.93    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3834                      | CUSIP: 3140X7HL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16448363 | PA      | $16105476.68  | 0.10%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q16616                      | CUSIP: 3132J7YN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1661491 | PA      | $1506157.89   | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3238                      | CUSIP: 31418CS47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8263378 | PA      | $7711997.06   | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2841                      | CUSIP: 31418CEP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1365140 | PA      | $1200922.53   | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14120                      | CUSIP: 3128MCYR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    298624 | PA      | $298277.98    | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2871                      | CUSIP: 31418CFM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18878 | PA      | $17991.05     | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8133                      | CUSIP: 3132DWBA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20723924 | PA      | $16114266.12  | 0.10%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4714                      | CUSIP: 3140X8GY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3996585 | PA      | $3448512.72   | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4600                      | CUSIP: 31418EDE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  63842729 | PA      | $58489215.82  | 0.37%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08573                      | CUSIP: 3128MJT75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246403 | PA      | $239269.88    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0578                      | CUSIP: 3138EGUC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115935 | PA      | $112690.92    | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08792                      | CUSIP: 3128MJ3A6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3159195 | PA      | $2945402.04   | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0154                      | CUSIP: 36179ME30<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3586241 | PA      | $3397997.32   | 0.02%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6997                      | CUSIP: 3138EPX33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2366662 | PA      | $2373517.94   | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08786                      | CUSIP: 3128MJ2U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    335870 | PA      | $332636.02    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 12/22                   | CUSIP: 01F0506C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12780000 | PA      | $12722091.26  | 0.08%             | 2022-12-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735402                      | CUSIP: 31402RAB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1233197 | PA      | $1260340.44   | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4761                      | CUSIP: 31418EJF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18863854 | PA      | $18793376.84  | 0.12%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK7766                      | CUSIP: 3138ECTY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3512043 | PA      | $3317965.70   | 0.02%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254634                      | CUSIP: 31371KY70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2965 | PA      | $2959.00      | 0.00%             | 2023-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3978                      | CUSIP: 3140X7M48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1800308 | PA      | $1711206.02   | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0000                      | CUSIP: 31326SAV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1523733 | PA      | $1366707.97   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1016                      | CUSIP: 31418ADW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36484 | PA      | $35480.83     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2446                      | CUSIP: 36179QWF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1489893 | PA      | $1459945.69   | 0.01%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735496                      | CUSIP: 31402RC98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7678 | PA      | $7997.30      | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1028                      | CUSIP: 3140X4EA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    651431 | PA      | $606624.87    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ7353                      | CUSIP: 3140E0E35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1178480 | PA      | $1106231.70   | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4278                      | CUSIP: 31418DXG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18553058 | PA      | $16248031.40  | 0.10%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0105                      | CUSIP: 3132CWDJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    249101 | PA      | $231327.61    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8107                      | CUSIP: 3132DWAG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29581735 | PA      | $25460120.84  | 0.16%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18470                      | CUSIP: 3128MMQY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1925368 | PA      | $1818708.18   | 0.01%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4626                      | CUSIP: 31418ED80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26834981 | PA      | $25432343.12  | 0.16%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5876                      | CUSIP: 36179UQ54<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    864102 | PA      | $834475.32    | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5232                        | CUSIP: 36202FY59<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    585148 | PA      | $555635.03    | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3.5 12/22                 | CUSIP: 01F0326C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  45775000 | PA      | $41927039.06  | 0.26%             | 2022-12-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254766                      | CUSIP: 31371K6B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    682116 | PA      | $691451.15    | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91798                      | CUSIP: 3128P77K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    538498 | PA      | $496149.10    | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4769                      | CUSIP: 3132A5JN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    571258 | PA      | $548541.02    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6038                      | CUSIP: 3140X9V85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6936961 | PA      | $6491541.89   | 0.04%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781830                      | CUSIP: 36241KA73<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    202657 | PA      | $207870.52    | 0.00%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5133                      | CUSIP: 3140X8V38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9927591 | PA      | $9666213.28   | 0.06%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92269                      | CUSIP: 312940QW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38589 | PA      | $38678.33     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0221                      | CUSIP: 36179MG61<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    420995 | PA      | $412523.82    | 0.00%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08650                      | CUSIP: 3128MJWL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2306585 | PA      | $2163059.38   | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13887                      | CUSIP: 3128MCRG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $39.41        | 0.00%             | 2025-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3938                      | CUSIP: 31418DLU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1024398 | PA      | $988965.93    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3217                      | CUSIP: 31418CSF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170163 | PA      | $159084.94    | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB2085                      | CUSIP: 31416XJ76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     91739 | PA      | $89639.74     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745588                      | CUSIP: 31403DJ91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    423337 | PA      | $444746.05    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7706                      | CUSIP: 36179WR34<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22889856 | PA      | $20751739.34  | 0.13%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03805                      | CUSIP: 31292LGN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1343155 | PA      | $1266454.77   | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555880                      | CUSIP: 31385XQ91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190821 | PA      | $199120.35    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4937                      | CUSIP: 31417BPX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    861647 | PA      | $815052.60    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT9666                      | CUSIP: 3138WXW45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    375644 | PA      | $353947.77    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01665                      | CUSIP: 31283HZ65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    390654 | PA      | $395121.61    | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7226                      | CUSIP: 3140XBA42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1913163 | PA      | $1850454.65   | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3210                      | CUSIP: 31418CR89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14679973 | PA      | $13699952.22  | 0.09%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4199                      | CUSIP: 3140QBUZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    538690 | PA      | $541790.39    | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9407                      | CUSIP: 3138ERNZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38344 | PA      | $38277.74     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8925                      | CUSIP: 31417F4K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    410612 | PA      | $377491.82    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00078                      | CUSIP: 3132GDCP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50282 | PA      | $50459.33     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4785                      | CUSIP: 31418EJ76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24874933 | PA      | $24770577.56  | 0.16%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08882                      | CUSIP: 3128MJ6U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1898028 | PA      | $1816711.55   | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14813                      | CUSIP: 3128MDSA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211162 | PA      | $200760.83    | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8512                      | CUSIP: 3132D6N55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4787023 | PA      | $4313318.84   | 0.03%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3934                      | CUSIP: 3138WDLQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    533106 | PA      | $511812.03    | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX0833                      | CUSIP: 3138Y14T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    809130 | PA      | $751543.37    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5822                      | CUSIP: 3140JAPG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    816656 | PA      | $736976.53    | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8805                      | CUSIP: 3138ETYB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    795355 | PA      | $745967.64    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8136                      | CUSIP: 3132D6BD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16873410 | PA      | $14775780.34  | 0.09%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0518                      | CUSIP: 31417YSG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53530 | PA      | $51739.78     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6820                      | CUSIP: 36179VSH4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14279726 | PA      | $12962110.07  | 0.08%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8188                      | CUSIP: 3132DWCZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  71793985 | PA      | $59221292.93  | 0.37%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08702                      | CUSIP: 3128MJX88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1745705 | PA      | $1633077.68   | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4777                      | CUSIP: 36179TJW6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1681366 | PA      | $1546060.73   | 0.01%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07239                      | CUSIP: 3128M9LU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    944937 | PA      | $863848.12    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 745311                      | CUSIP: 3620C1AL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    228951 | PA      | $223988.34    | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7138                      | CUSIP: 36179V4X5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3737604 | PA      | $3508308.86   | 0.02%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890755                      | CUSIP: 31410LTL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    403470 | PA      | $376907.69    | 0.00%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8211                      | CUSIP: 3138ETDR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    416847 | PA      | $407709.18    | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1859                      | CUSIP: 3132AEB47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6519203 | PA      | $6722904.88   | 0.04%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783353                      | CUSIP: 36241LWN2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     76724 | PA      | $79056.90     | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3429                      | CUSIP: 3138EKY33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    561898 | PA      | $561267.44    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8135                      | CUSIP: 3132DWBC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8441009 | PA      | $7241121.76   | 0.05%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK0909                      | CUSIP: 3140HEAK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    498311 | PA      | $479441.20    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2134                      | CUSIP: 3140XHLQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9709243 | PA      | $8919889.31   | 0.06%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6913                      | CUSIP: 3140XAVF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2651592 | PA      | $2483076.01   | 0.02%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4398                      | CUSIP: 31418D3G5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  48064926 | PA      | $39652141.50  | 0.25%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07589                      | CUSIP: 3128M9XS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82533 | PA      | $86040.76     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08715                      | CUSIP: 3128MJYM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5809624 | PA      | $5244382.63   | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4777                      | CUSIP: 3132A5JW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    706458 | PA      | $657040.48    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95257                      | CUSIP: 312943ZW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157037 | PA      | $147033.38    | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9869                      | CUSIP: 3138ER6F2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1341811 | PA      | $1259298.22   | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4718                      | CUSIP: 3132A5G33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4517460 | PA      | $4344754.51   | 0.03%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1223                      | CUSIP: 36179NLC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2298685 | PA      | $2106737.33   | 0.01%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7118                      | CUSIP: 3138EP4C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1444875 | PA      | $1403706.67   | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6631                      | CUSIP: 3140KELM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6484648 | PA      | $5403114.68   | 0.03%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1762                      | CUSIP: 36179N5X2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1688772 | PA      | $1710721.84   | 0.01%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3778                      | CUSIP: 3140X7FU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1771791 | PA      | $1530985.11   | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AQ6652                      | CUSIP: 36189XL93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    528862 | PA      | $499458.64    | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q13743                      | CUSIP: 3132HQEQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    563722 | PA      | $509604.00    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67715                      | CUSIP: 3132XCSC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7308593 | PA      | $7352272.08   | 0.05%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1840                      | CUSIP: 36179QBH3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    873518 | PA      | $884862.18    | 0.01%             | 2044-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781988                      | CUSIP: 36241KF52<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    149044 | PA      | $148969.99    | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3731                      | CUSIP: 31418DED0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    335145 | PA      | $336687.20    | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8068                      | CUSIP: 3132D56D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5573760 | PA      | $4881595.25   | 0.03%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8069                      | CUSIP: 3132DV6E0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2173804 | PA      | $2013705.31   | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08705                      | CUSIP: 3128MJYB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    441420 | PA      | $398473.16    | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 535704                      | CUSIP: 31384WDH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2411 | PA      | $2527.62      | 0.00%             | 2030-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4426                      | CUSIP: 36179S4K0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1098496 | PA      | $1063343.81   | 0.01%             | 2032-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0615                      | CUSIP: 3132DMVG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1806377 | PA      | $1785968.83   | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61352                      | CUSIP: 31335BQD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36807 | PA      | $36867.83     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5122                      | CUSIP: 3133KYVP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5044377 | PA      | $4427916.92   | 0.03%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4754                      | CUSIP: 3140X8H83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4959677 | PA      | $4653294.56   | 0.03%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91787                      | CUSIP: 3128P76Y4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    664619 | PA      | $645712.04    | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4437                      | CUSIP: 31418D4X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  52597392 | PA      | $43390912.91  | 0.27%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4733                      | CUSIP: 31418EHK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23745791 | PA      | $23132859.88  | 0.15%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4512                      | CUSIP: 31418EAN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  56230220 | PA      | $48030363.72  | 0.30%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8231                      | CUSIP: 3132DWEC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18834342 | PA      | $18351959.17  | 0.12%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4396                      | CUSIP: 3140QP3E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8217415 | PA      | $8013956.07   | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0855                      | CUSIP: 3140Q75R4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2866169 | PA      | $2668543.38   | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2712                      | CUSIP: 3140X6AN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46348 | PA      | $45444.86     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91796                      | CUSIP: 3129397H8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51629 | PA      | $53586.58     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01857                      | CUSIP: 3128LXB25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44702 | PA      | $45467.68     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4606                      | CUSIP: 31418EDL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1767361 | PA      | $1506370.42   | 0.01%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q43428                      | CUSIP: 3132WGY27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199229 | PA      | $179873.88    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B8336                      | CUSIP: 3128UGUL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11126 | PA      | $11559.58     | 0.00%             | 2041-06-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6925                      | CUSIP: 3138WGVT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    442135 | PA      | $421367.65    | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4288                      | CUSIP: 3138X3XS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1673348 | PA      | $1639739.95   | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06929                      | CUSIP: 3128M9A69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     37247 | PA      | $37377.78     | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3713                        | CUSIP: 36202EDS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     39713 | PA      | $43388.75     | 0.00%             | 2035-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60187                      | CUSIP: 31335AF45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1546680 | PA      | $1398805.54   | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2879                      | CUSIP: 31418CFV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1561614 | PA      | $1508858.91   | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z50008                      | CUSIP: 3132FEAH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       987 | PA      | $973.31       | 0.00%             | 2025-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4373                      | CUSIP: 3140X72F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7026064 | PA      | $6745797.96   | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4400                      | CUSIP: 31418D3J9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5436252 | PA      | $4823358.06   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995737                      | CUSIP: 31416CEJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    747304 | PA      | $769998.48    | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995674                      | CUSIP: 31416CCK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     83847 | PA      | $90577.03     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J21162                      | CUSIP: 31306YJF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277402 | PA      | $258684.93    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995049                      | CUSIP: 31416BL63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    491809 | PA      | $516854.30    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4715                        | CUSIP: 36202FGY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    530983 | PA      | $553761.31    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA1082                      | CUSIP: 3133KGFX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161861 | PA      | $162598.77    | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3414                      | CUSIP: 3140X6YL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6554646 | PA      | $6264228.80   | 0.04%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4512                      | CUSIP: 36179TAM7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    443694 | PA      | $437615.29    | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3463                      | CUSIP: 31418CZ56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     68763 | PA      | $67777.60     | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 704480                      | CUSIP: 36296XUD4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    343007 | PA      | $347262.04    | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1442                      | CUSIP: 3140XGS83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13318708 | PA      | $12054053.66  | 0.08%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5400                      | CUSIP: 3138ENAA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18378 | PA      | $18306.77     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3572                      | CUSIP: 36179R6H7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    539930 | PA      | $509854.62    | 0.00%             | 2031-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM7731                      | CUSIP: 3131Y2SU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    292986 | PA      | $281336.51    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2243                      | CUSIP: 3138EJP51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76020 | PA      | $74317.24     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7767                      | CUSIP: 36179WTY4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  40658603 | PA      | $35712711.66  | 0.22%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD3808                      | CUSIP: 31418RGS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58542 | PA      | $58678.74     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3211                      | CUSIP: 31418CR97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3952101 | PA      | $3808513.55   | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257452                      | CUSIP: 31371N5M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10529 | PA      | $10813.86     | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD7160                      | CUSIP: 3140FE5W0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1893277 | PA      | $1802644.31   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0217                      | CUSIP: 3140XFG39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12474089 | PA      | $10639379.03  | 0.07%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60919                      | CUSIP: 31335BAU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    860361 | PA      | $850114.91    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9585                      | CUSIP: 3138WKUK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    289489 | PA      | $281061.08    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07851                      | CUSIP: 3128MABU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    274201 | PA      | $268252.15    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7436                      | CUSIP: 31417EHN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1017985 | PA      | $920491.08    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8029                      | CUSIP: 3132A84N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105233 | PA      | $102377.47    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2561                      | CUSIP: 31418BZ33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1483733 | PA      | $1413902.38   | 0.01%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01864                      | CUSIP: 3128LXB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87053 | PA      | $88542.29     | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3282                      | CUSIP: 36179RUF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     44040 | PA      | $41083.43     | 0.00%             | 2030-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2906                      | CUSIP: 3140XJGQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7349012 | PA      | $7318180.48   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1610                      | CUSIP: 3140XGYG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4110706 | PA      | $3796809.00   | 0.02%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3240                      | CUSIP: 3140QAS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    431555 | PA      | $431818.17    | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3216                      | CUSIP: 31418CSE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    610392 | PA      | $601686.37    | 0.00%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09010                      | CUSIP: 31294UAK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    520206 | PA      | $485127.06    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BP1022                      | CUSIP: 3617L7D30<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    679682 | PA      | $621189.55    | 0.00%             | 2049-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1065                      | CUSIP: 36179NFE3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    104893 | PA      | $99054.36     | 0.00%             | 2028-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z50013                      | CUSIP: 3132FEAN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1682 | PA      | $1662.09      | 0.00%             | 2024-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4121                      | CUSIP: 3140QPSK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2295738 | PA      | $2173570.27   | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5716                      | CUSIP: 31417CK61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90911 | PA      | $85622.67     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9416                      | CUSIP: 3138ERPA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    353913 | PA      | $347034.16    | 0.00%             | 2031-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08242                      | CUSIP: 3128MJHU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105076 | PA      | $107849.46    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM0062                      | CUSIP: 3140X3B80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10164614 | PA      | $9490110.31   | 0.06%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 952436                      | CUSIP: 31413QSZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9725 | PA      | $9680.53      | 0.00%             | 2037-09-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM1990                      | CUSIP: 3131XVF75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    292119 | PA      | $263432.03    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA8386                      | CUSIP: 36178GJ70<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    371096 | PA      | $361592.20    | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725425                      | CUSIP: 31402C4J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    730759 | PA      | $762551.27    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783771                      | CUSIP: 3622A2FL1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     74412 | PA      | $77033.64     | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783069                      | CUSIP: 36241LMS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    859103 | PA      | $881689.51    | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888029                      | CUSIP: 31410FSS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    341115 | PA      | $373276.89    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4712                      | CUSIP: 3132A5GV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1421379 | PA      | $1278617.79   | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2705                      | CUSIP: 31418CAF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4129858 | PA      | $3731902.59   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QB2462                      | CUSIP: 3133A8WX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1500346 | PA      | $1341243.92   | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01820                      | CUSIP: 3128LXAV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    422054 | PA      | $441545.81    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5785                      | CUSIP: 3140JANB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2053574 | PA      | $1935481.15   | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02168                      | CUSIP: 3128LXMR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32818 | PA      | $35161.07     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07031                      | CUSIP: 3128M9EC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    438485 | PA      | $428016.06    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2471                      | CUSIP: 3133KHW85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    849383 | PA      | $793614.69    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5020                      | CUSIP: 36179TSH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4551024 | PA      | $4452813.14   | 0.03%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97259                      | CUSIP: 312946B47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73620 | PA      | $71972.39     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07029                      | CUSIP: 3128M9EA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1080986 | PA      | $1063231.44   | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5616                      | CUSIP: 3138A7G28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    723551 | PA      | $703327.98    | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6473                      | CUSIP: 3138WGFP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    335814 | PA      | $304354.61    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3053                        | CUSIP: 36202DMA6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2050 | PA      | $2080.21      | 0.00%             | 2031-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0487                      | CUSIP: 3138LQRH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1512903 | PA      | $1368057.37   | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6840                      | CUSIP: 31417DS61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165695 | PA      | $154820.27    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3187                      | CUSIP: 31418CRH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2590229 | PA      | $2421467.51   | 0.02%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1459                      | CUSIP: 31418ATR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4391349 | PA      | $4022598.53   | 0.03%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14614                      | CUSIP: 3128MDK36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70475 | PA      | $69685.03     | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV2925                      | CUSIP: 3138XEHB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67216 | PA      | $64862.92     | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18818                      | CUSIP: 3128PYYP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2281932 | PA      | $2128134.06   | 0.01%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI9827                      | CUSIP: 3138AP4M7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5321 | PA      | $5514.04      | 0.00%             | 2041-11-01      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1287                      | CUSIP: 36179NNC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1996936 | PA      | $2022885.79   | 0.01%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3611                      | CUSIP: 3138WDAM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    591563 | PA      | $554213.50    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04773                      | CUSIP: 3128M6T65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231175 | PA      | $229560.32    | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1776                      | CUSIP: 3132AD6M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2804970 | PA      | $2599363.00   | 0.02%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5645                      | CUSIP: 3138WFHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    754292 | PA      | $707506.06    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J11210                      | CUSIP: 3128PQKX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6416 | PA      | $6346.86      | 0.00%             | 2024-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3952                      | CUSIP: 3138A5MA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162791 | PA      | $159060.68    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH8835                      | CUSIP: 3138AAY96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3084 | PA      | $3202.54      | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60440                      | CUSIP: 31335APZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8096647 | PA      | $7554159.72   | 0.05%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA0466                      | CUSIP: 31416HQU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    185876 | PA      | $187334.01    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4562                      | CUSIP: 31418EB82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15691702 | PA      | $12911548.07  | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18581                      | CUSIP: 3128MMUF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4151361 | PA      | $3889043.71   | 0.02%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9111                      | CUSIP: 3138ERDR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110496 | PA      | $109416.10    | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1457                      | CUSIP: 3140XGTP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3752084 | PA      | $3095944.02   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM1779                      | CUSIP: 3131XU6Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4667499 | PA      | $4209033.55   | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1920                      | CUSIP: 3140XHD20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13798914 | PA      | $13084839.80  | 0.08%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0595                      | CUSIP: 3132DMUU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3580572 | PA      | $3225454.39   | 0.02%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4414                      | CUSIP: 31418D3Y6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  35703634 | PA      | $30535751.16  | 0.19%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2806                      | CUSIP: 3138EKDL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16880 | PA      | $16924.32     | 0.00%             | 2039-08-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1887                      | CUSIP: 3133L8CY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4572011 | PA      | $4118955.66   | 0.03%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18700                      | CUSIP: 3128MMX65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56915 | PA      | $53582.12     | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1225                      | CUSIP: 36179NLE6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1042379 | PA      | $1003286.06   | 0.01%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01552                      | CUSIP: 31292HWM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    259513 | PA      | $262480.86    | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5234                        | CUSIP: 36202FY75<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    191281 | PA      | $197832.03    | 0.00%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256311                      | CUSIP: 31371MVC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143559 | PA      | $147522.08    | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6662                      | CUSIP: 3140XAML3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    227237 | PA      | $206481.83    | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04591                      | CUSIP: 3128M6NG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57311 | PA      | $59596.98     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7099                      | CUSIP: 31417D3H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203116 | PA      | $183678.68    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4263                      | CUSIP: 36179SWY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1118034 | PA      | $1095607.99   | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ0881                      | CUSIP: 3138YR6T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    954465 | PA      | $899156.32    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18631                      | CUSIP: 3128MMVZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3368153 | PA      | $3145846.49   | 0.02%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4497                      | CUSIP: 31418D7K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7695302 | PA      | $6922726.46   | 0.04%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q13638                      | CUSIP: 3132HQBF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    860670 | PA      | $778268.22    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890445                      | CUSIP: 31410LHW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1935560 | PA      | $1834514.06   | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60855                      | CUSIP: 31335A5Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    316578 | PA      | $313779.38    | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4418                      | CUSIP: 3140QB4C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2453463 | PA      | $2175995.39   | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR1196                      | CUSIP: 3138NXKJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1060954 | PA      | $959311.70    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8073                      | CUSIP: 3138WH6K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    830682 | PA      | $721516.81    | 0.00%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS6674                      | CUSIP: 3132A7MX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1034626 | PA      | $959723.73    | 0.01%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08771                      | CUSIP: 3128MJ2D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2729389 | PA      | $2627665.21   | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2510                      | CUSIP: 31418BYG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174047 | PA      | $163962.80    | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5805                      | CUSIP: 3140X9NX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9375046 | PA      | $8484625.44   | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8650                      | CUSIP: 3138WJTG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6611170 | PA      | $5973519.71   | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2866                      | CUSIP: 31418CFG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3149360 | PA      | $2964278.21   | 0.02%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1815                      | CUSIP: 3140XHAR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4761363 | PA      | $4635959.92   | 0.03%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01286                      | CUSIP: 31292HNB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42214 | PA      | $44425.60     | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01599                      | CUSIP: 31292HX41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    415038 | PA      | $419790.16    | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08743                      | CUSIP: 3128MJZH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174747 | PA      | $169926.27    | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8104                      | CUSIP: 3132DWAD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  44258320 | PA      | $34416672.52  | 0.22%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J11872                      | CUSIP: 3128PRCH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8447 | PA      | $8418.90      | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9107                      | CUSIP: 3138ERDM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161175 | PA      | $159898.77    | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18666                      | CUSIP: 3128MMW41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3076087 | PA      | $2920258.30   | 0.02%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6105                      | CUSIP: 3140X9YB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4516760 | PA      | $3894563.58   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725066                      | CUSIP: 31402CQT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26961 | PA      | $30344.65     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6710                      | CUSIP: 36179VN30<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7196211 | PA      | $6532532.12   | 0.04%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5483                      | CUSIP: 3140JACV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2294027 | PA      | $2143051.04   | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07872                      | CUSIP: 3128MACH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    660387 | PA      | $654332.28    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254514                      | CUSIP: 31371KVF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    121589 | PA      | $124813.04    | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05965                      | CUSIP: 3128M76A9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1303384 | PA      | $1312915.95   | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735670                      | CUSIP: 31402RJP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    417851 | PA      | $436004.33    | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785023                      | CUSIP: 3622AAPG3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    937866 | PA      | $885720.85    | 0.01%             | 2034-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8508                      | CUSIP: 3132D6NZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14079561 | PA      | $12771417.63  | 0.08%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0624                      | CUSIP: 36179MVR8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5221275 | PA      | $4830251.83   | 0.03%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6438                      | CUSIP: 31418UEL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    365550 | PA      | $379468.31    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6680                      | CUSIP: 3140KEM62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5898022 | PA      | $4913403.03   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7504                      | CUSIP: 3140XBKS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3393098 | PA      | $3157096.08   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08577                      | CUSIP: 3128MJUB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    368650 | PA      | $357974.32    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8679                      | CUSIP: 3132A9UC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146391 | PA      | $138843.95    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782734                      | CUSIP: 36241LBB1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    385829 | PA      | $395899.31    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91187                      | CUSIP: 3128P7J87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11553 | PA      | $11592.82     | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0153                      | CUSIP: 36179ME22<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    992596 | PA      | $918322.80    | 0.01%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1837                      | CUSIP: 3140XHBF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  45054040 | PA      | $38762482.17  | 0.24%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254954                      | CUSIP: 31371LE39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7593 | PA      | $7132.89      | 0.00%             | 2023-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0395                      | CUSIP: 31419ANM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    493903 | PA      | $495058.05    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF0331                      | CUSIP: 3133BMLL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1413470 | PA      | $1339296.87   | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4727                      | CUSIP: 3140X8HD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1096971 | PA      | $1047290.53   | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4357                      | CUSIP: 31418DZX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26010478 | PA      | $23102049.01  | 0.14%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK5328                      | CUSIP: 3140HJ4N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    492136 | PA      | $473682.91    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4494                      | CUSIP: 31418D7G1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9621571 | PA      | $8529905.29   | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701734                      | CUSIP: 36296USX9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     77153 | PA      | $78265.50     | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09022                      | CUSIP: 31292SAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3713873 | PA      | $3357825.34   | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255320                      | CUSIP: 31371LSH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2905 | PA      | $2853.92      | 0.00%             | 2024-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3930                      | CUSIP: 3140X7LL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4121845 | PA      | $3999191.12   | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5211                      | CUSIP: 3138WEYH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142316 | PA      | $137895.81    | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785312                      | CUSIP: 3622AAYH1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    778742 | PA      | $684988.38    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4559                      | CUSIP: 3138M8B51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    368597 | PA      | $333276.10    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6633                      | CUSIP: 31417DLP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1336069 | PA      | $1250368.04   | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5115                      | CUSIP: 3133KYVG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9020264 | PA      | $7890264.77   | 0.05%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN4443                      | CUSIP: 3140JL5D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182815 | PA      | $180278.12    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889624                      | CUSIP: 31410KLD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38602 | PA      | $39731.35     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0887                      | CUSIP: 3140XF6Z9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3064141 | PA      | $2716806.89   | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8155                      | CUSIP: 3132DWBY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  52849869 | PA      | $43599117.58  | 0.27%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18940                      | CUSIP: 3128PY4Z4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296861 | PA      | $276784.86    | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555528                      | CUSIP: 31385XD95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105108 | PA      | $112049.93    | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7521                      | CUSIP: 3138EQLB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5553153 | PA      | $5692229.45   | 0.04%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2976                      | CUSIP: 3140X6JW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16787 | PA      | $15672.47     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2646                      | CUSIP: 3138EJ5G9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11415 | PA      | $11686.62     | 0.00%             | 2042-05-01      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2303                      | CUSIP: 3140X5RZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176883 | PA      | $181156.37    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4805                      | CUSIP: 31418EKT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7199820 | PA      | $7013810.81   | 0.04%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1526                      | CUSIP: 3132ADVT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    638154 | PA      | $618984.55    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05936                      | CUSIP: 3128M74V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    283572 | PA      | $269016.05    | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0606                      | CUSIP: 31417YU88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172328 | PA      | $172610.24    | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4289                      | CUSIP: 3140QPXT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2438690 | PA      | $2375253.15   | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09007                      | CUSIP: 31292SAG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1391931 | PA      | $1312295.18   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91875                      | CUSIP: 3128P8CL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    578750 | PA      | $534257.58    | 0.00%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 710846                      | CUSIP: 36297FWF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     84252 | PA      | $82575.55     | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04269                      | CUSIP: 31292LW68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    279749 | PA      | $257141.63    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5235                        | CUSIP: 36202FY83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    124417 | PA      | $129751.26    | 0.00%             | 2041-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0499                      | CUSIP: 3138W9RV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    651889 | PA      | $625867.60    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08636                      | CUSIP: 3128MJV64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3833130 | PA      | $3594660.22   | 0.02%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5500                      | CUSIP: 3140QDDE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3067965 | PA      | $2849003.33   | 0.02%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8131                      | CUSIP: 3132D6A83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17790079 | PA      | $15578865.12  | 0.10%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1037                      | CUSIP: 31418AEK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    934737 | PA      | $860410.95    | 0.01%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3029                      | CUSIP: 31418CLK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    727967 | PA      | $691771.88    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4581                      | CUSIP: 31418ECT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8265809 | PA      | $7235202.18   | 0.05%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7631                      | CUSIP: 3140XBPR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5280408 | PA      | $4706247.88   | 0.03%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2137                      | CUSIP: 31418BLT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    970957 | PA      | $889426.28    | 0.01%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ0546                      | CUSIP: 3138MFTC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    435064 | PA      | $407129.50    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6405                      | CUSIP: 3138WGDK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     92091 | PA      | $87248.21     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01847                      | CUSIP: 31292JBQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    563539 | PA      | $570788.65    | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4387                      | CUSIP: 31418D2V3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15762069 | PA      | $13526422.48  | 0.08%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725221                      | CUSIP: 31402CVN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1226633 | PA      | $1279910.98   | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8386                      | CUSIP: 3138ETJ80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3254247 | PA      | $3164601.94   | 0.02%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3365                      | CUSIP: 3138EKW35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    720728 | PA      | $768535.24    | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1873                      | CUSIP: 3140X5CK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10696536 | PA      | $9564560.38   | 0.06%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN7109                      | CUSIP: 3140JP3T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    297988 | PA      | $276244.33    | 0.00%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725424                      | CUSIP: 31402C4H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1156515 | PA      | $1206822.29   | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5078                      | CUSIP: 36179TUB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4422175 | PA      | $4326730.40   | 0.03%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737660                      | CUSIP: 3620ARQM6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     88946 | PA      | $85290.73     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5527                      | CUSIP: 36179UD82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1623058 | PA      | $1527735.06   | 0.01%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3027                      | CUSIP: 31418CLH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4120253 | PA      | $3970394.06   | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2629                      | CUSIP: 3138EJ4P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142602 | PA      | $146666.27    | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2960                      | CUSIP: 36179RJD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5792933 | PA      | $5353244.57   | 0.03%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2576                      | CUSIP: 3140X52J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54331 | PA      | $51984.83     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1062                      | CUSIP: 31418AFC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110585 | PA      | $104164.44    | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3444                      | CUSIP: 31418CZJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3533472 | PA      | $3494352.17   | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0734                      | CUSIP: 3132CWY73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8542222 | PA      | $7882584.04   | 0.05%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9563                      | CUSIP: 3138E2TV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30363 | PA      | $31357.45     | 0.00%             | 2042-01-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4281                      | CUSIP: 31418DXK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  60890542 | PA      | $50238320.42  | 0.32%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16447                      | CUSIP: 3128MFL48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38066 | PA      | $37046.18     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4754                      | CUSIP: 3140J9H87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2172981 | PA      | $2037985.18   | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18565                      | CUSIP: 3128MMTX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1058556 | PA      | $1011372.43   | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08831                      | CUSIP: 3128MJ4R8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4656807 | PA      | $4476103.08   | 0.03%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2230                      | CUSIP: 31418BPQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3092208 | PA      | $2832432.61   | 0.02%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01856                      | CUSIP: 3128LXBZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45902 | PA      | $48145.85     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7075                      | CUSIP: 3140XA2H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     80630 | PA      | $77436.73     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08105                      | CUSIP: 3128MJDK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181766 | PA      | $185212.84    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3955                      | CUSIP: 31418DMD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90315 | PA      | $83741.62     | 0.00%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06214                      | CUSIP: 3128M8GX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    554683 | PA      | $595882.37    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW7396                      | CUSIP: 3138XXGE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    282544 | PA      | $274651.08    | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 2658                        | CUSIP: 36202C5T6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     45741 | PA      | $46797.35     | 0.00%             | 2028-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4379                      | CUSIP: 31418D2M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  63619222 | PA      | $54567059.58  | 0.34%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2201                      | CUSIP: 3140X5NT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1594589 | PA      | $1539353.24   | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7544                      | CUSIP: 3132DVLZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9316560 | PA      | $8401705.84   | 0.05%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14490                      | CUSIP: 3128PT7B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    604811 | PA      | $585324.02    | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08353                      | CUSIP: 3128MJMB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    624501 | PA      | $629385.83    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3706                      | CUSIP: 3138WDDL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    400567 | PA      | $375203.92    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785311                      | CUSIP: 3622AAYG3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2277188 | PA      | $2003290.86   | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91485                      | CUSIP: 3128P7UJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    355708 | PA      | $344767.76    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03600                      | CUSIP: 31292K7M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90443 | PA      | $84678.94     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7517                      | CUSIP: 31417EK75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2395768 | PA      | $2087616.00   | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2572                      | CUSIP: 3140X52E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3310853 | PA      | $2873076.51   | 0.02%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91947                      | CUSIP: 312940EU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    242111 | PA      | $251320.13    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4125                      | CUSIP: 36179SSN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2669227 | PA      | $2340954.13   | 0.01%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783672                      | CUSIP: 3622A2CH3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    220668 | PA      | $205166.01    | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6765                      | CUSIP: 36179VQS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1324554 | PA      | $1169087.34   | 0.01%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX2530                      | CUSIP: 3138Y3Y47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193285 | PA      | $183182.45    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J19197                      | CUSIP: 3128Q0GE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1049799 | PA      | $988779.49    | 0.01%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07784                      | CUSIP: 3128M96V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4373703 | PA      | $4238313.79   | 0.03%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07026                      | CUSIP: 3128M9D74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    107743 | PA      | $107789.13    | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783035                      | CUSIP: 36241LLQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    332554 | PA      | $337442.50    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3933                      | CUSIP: 31418DLP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1108440 | PA      | $972829.91    | 0.01%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08632                      | CUSIP: 3128MJV23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1545300 | PA      | $1449115.16   | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257048                      | CUSIP: 31371NP90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2005 | PA      | $2050.72      | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07924                      | CUSIP: 3128MAD55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4048373 | PA      | $3852301.28   | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6287                      | CUSIP: 36179U6Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    251428 | PA      | $251313.49    | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08051                      | CUSIP: 3128MJBV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     97953 | PA      | $99745.28     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2903                      | CUSIP: 31418CGM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14291 | PA      | $13579.92     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5762                      | CUSIP: 36179UMK5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2788980 | PA      | $2625181.54   | 0.02%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5090                      | CUSIP: 3140J9UQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62585 | PA      | $63379.16     | 0.00%             | 2031-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH7620                      | CUSIP: 3138A9PE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50899 | PA      | $50631.99     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6527                      | CUSIP: 3140XAHD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3882232 | PA      | $3869508.20   | 0.02%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8509                      | CUSIP: 3132D6N22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13524203 | PA      | $12238243.69  | 0.08%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 436717                      | CUSIP: 36207NDW1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    209578 | PA      | $217372.65    | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6942                      | CUSIP: 3138EPWC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19860 | PA      | $18642.48     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1375                      | CUSIP: 36179NQ43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    359210 | PA      | $340373.55    | 0.00%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0423                      | CUSIP: 3140QKPH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3043472 | PA      | $2681894.47   | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4540                      | CUSIP: 31418EBJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1549166 | PA      | $1320563.88   | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91025                      | CUSIP: 312939D65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55940 | PA      | $57038.45     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3385                      | CUSIP: 3140J7XP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2452733 | PA      | $2380737.93   | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5511                      | CUSIP: 31417CDR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    501454 | PA      | $469343.29    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6154                      | CUSIP: 36179UZT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1832062 | PA      | $1723299.34   | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3028                      | CUSIP: 31418CLJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    334065 | PA      | $322535.13    | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7245                      | CUSIP: 3138WHBP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    531141 | PA      | $497298.72    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08680                      | CUSIP: 3128MJXJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1236338 | PA      | $1119515.90   | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q14426                      | CUSIP: 3132HQ4K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2386665 | PA      | $2157861.93   | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18552                      | CUSIP: 3128MMTJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    722719 | PA      | $690470.17    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3465                      | CUSIP: 31418CZ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1095820 | PA      | $1067341.12   | 0.01%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP2133                      | CUSIP: 3138M5LP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1745143 | PA      | $1633200.58   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08601                      | CUSIP: 3128MJU32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1159104 | PA      | $1125536.24   | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0949                      | CUSIP: 31419BBT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8799535 | PA      | $8635779.96   | 0.05%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08653                      | CUSIP: 3128MJWP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3526344 | PA      | $3193126.34   | 0.02%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995094                      | CUSIP: 31416BNK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    262420 | PA      | $260750.64    | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782665                      | CUSIP: 36241K6A1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    736744 | PA      | $764125.13    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735649                      | CUSIP: 31402RH28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    451623 | PA      | $489692.72    | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2445                      | CUSIP: 36179QWE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2768810 | PA      | $2623709.93   | 0.02%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9324                      | CUSIP: 3138MRLE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1598529 | PA      | $1445370.19   | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5937                      | CUSIP: 31417CS30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1631837 | PA      | $1526306.45   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1105                      | CUSIP: 3138WAGP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52332 | PA      | $50863.44     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2032                      | CUSIP: 3140Q9HJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    242579 | PA      | $234787.80    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 705753                      | CUSIP: 36297ABW2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3146 | PA      | $3076.33      | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5286                      | CUSIP: 3133KL2T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9678137 | PA      | $8285880.15   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07907                      | CUSIP: 3128MADL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1580686 | PA      | $1608709.85   | 0.01%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783289                      | CUSIP: 36241LUN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1227930 | PA      | $1245988.53   | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1191                      | CUSIP: 3140Q8KD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2553233 | PA      | $2382830.72   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555285                      | CUSIP: 31385W2S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159777 | PA      | $170328.32    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB2077                      | CUSIP: 31416XJX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    569827 | PA      | $552652.55    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7613                      | CUSIP: 3132A8N62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211235 | PA      | $204454.14    | 0.00%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV2348                      | CUSIP: 3138XDTE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146164 | PA      | $142101.25    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7769                      | CUSIP: 36179WT24<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9097909 | PA      | $8507415.79   | 0.05%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5126                      | CUSIP: 3133KYVT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4815282 | PA      | $4226658.33   | 0.03%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD3793                      | CUSIP: 31418RGB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59016 | PA      | $60171.89     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07416                      | CUSIP: 3128M9SD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    613343 | PA      | $577296.88    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ3437                      | CUSIP: 3138AUZB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23212 | PA      | $23328.42     | 0.00%             | 2041-11-01      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8070                      | CUSIP: 3132DV6F7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    837854 | PA      | $796350.44    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4550                      | CUSIP: 3138WEBU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1019474 | PA      | $966662.48    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04219                      | CUSIP: 3128M6AU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33774 | PA      | $34358.42     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555591                      | CUSIP: 31385XF85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74466 | PA      | $77704.08     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2149                      | CUSIP: 36179QL66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2085461 | PA      | $2043532.95   | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 550656                      | CUSIP: 36213CWR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     42396 | PA      | $42968.12     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 487821                      | CUSIP: 36210B4E2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    410413 | PA      | $425696.05    | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97474                      | CUSIP: 312946JT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    229318 | PA      | $224475.89    | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1042                      | CUSIP: 3140J5EQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2315553 | PA      | $2246732.83   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4154                      | CUSIP: 31418DTL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3426365 | PA      | $3000814.36   | 0.02%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9260                      | CUSIP: 3138ERJE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159515 | PA      | $156383.24    | 0.00%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8067                      | CUSIP: 3132D56C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1713110 | PA      | $1500380.35   | 0.01%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735676                      | CUSIP: 31402RJV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2573579 | PA      | $2691938.79   | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783261                      | CUSIP: 36241LTS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    304052 | PA      | $308523.04    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09008                      | CUSIP: 31292SAH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    524929 | PA      | $474593.01    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8031                      | CUSIP: 3132D54Q2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4480324 | PA      | $4154307.22   | 0.03%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6767                      | CUSIP: 36179VQU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1006673 | PA      | $945049.13    | 0.01%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0786                      | CUSIP: 3132DM2T1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    258992 | PA      | $215429.69    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3047                      | CUSIP: 31419DL58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    249163 | PA      | $250982.97    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8163                      | CUSIP: 3132DWB85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    827082 | PA      | $760242.36    | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14210                      | CUSIP: 3128MC3T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       357 | PA      | $350.68       | 0.00%             | 2025-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q07465                      | CUSIP: 3132GSTW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    488163 | PA      | $460278.23    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP7553                      | CUSIP: 3138MBMB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1392218 | PA      | $1258810.13   | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08597                      | CUSIP: 3128MJUX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1305320 | PA      | $1226125.44   | 0.01%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06881                      | CUSIP: 3128M86S8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17731 | PA      | $16719.08     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BA0000                      | CUSIP: 3140E4AA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    790831 | PA      | $742274.92    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4730                      | CUSIP: 3132A5HF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    924155 | PA      | $860823.79    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1222                      | CUSIP: 3138EHLC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23113 | PA      | $23858.78     | 0.00%             | 2040-09-01      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1193                      | CUSIP: 3138AEKF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    521758 | PA      | $518999.11    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1597                      | CUSIP: 3138EHX31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1751 | PA      | $1867.36      | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4468                        | CUSIP: 36202E6D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    267953 | PA      | $271436.41    | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93996                      | CUSIP: 312942NM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    430591 | PA      | $431594.65    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4703                      | CUSIP: 3132A5GL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1365213 | PA      | $1231156.93   | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6740                      | CUSIP: 3138EBP25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2654710 | PA      | $2542296.22   | 0.02%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QN4368                      | CUSIP: 3133GAZ90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1944106 | PA      | $1702519.77   | 0.01%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4661                      | CUSIP: 3140X8FB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3242499 | PA      | $3006271.92   | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1694                      | CUSIP: 3132DN3B7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3814182 | PA      | $3719684.25   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G62009                      | CUSIP: 31335CGS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1608448 | PA      | $1508474.53   | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13492                      | CUSIP: 3128MCC52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       316 | PA      | $310.83       | 0.00%             | 2024-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS1767                      | CUSIP: 3132A16C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1076122 | PA      | $1106295.71   | 0.01%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190361                      | CUSIP: 31368HMJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205549 | PA      | $212648.81    | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08540                      | CUSIP: 3128MJS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2867759 | PA      | $2606580.20   | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5595                      | CUSIP: 3138WFGD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    302949 | PA      | $284129.14    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0540                      | CUSIP: 3132ACS50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4134428 | PA      | $4014798.93   | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9774                      | CUSIP: 31417G2G0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    512642 | PA      | $483005.47    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL9314                      | CUSIP: 36184HK37<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1542880 | PA      | $1351505.97   | 0.01%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0243                      | CUSIP: 3140Q7HV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311153 | PA      | $304768.28    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1858                      | CUSIP: 3132AEB39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12552247 | PA      | $12375143.68  | 0.08%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09064                      | CUSIP: 31292SB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277303 | PA      | $269265.64    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0066                      | CUSIP: 3132DMCB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    599488 | PA      | $620526.60    | 0.00%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5222                      | CUSIP: 3140X8YU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3381151 | PA      | $2800621.42   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05832                      | CUSIP: 3128M7Y59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38788 | PA      | $38970.36     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2891                      | CUSIP: 36179RF87<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3136387 | PA      | $2898393.91   | 0.02%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q38893                      | CUSIP: 3132QV3B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24121 | PA      | $23284.56     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4122                      | CUSIP: 3140QBSL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1553332 | PA      | $1443216.39   | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V82942                      | CUSIP: 3132L8HT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4576289 | PA      | $4085088.58   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5022                      | CUSIP: 36179TSK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    832415 | PA      | $847811.38    | 0.01%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL5265                      | CUSIP: 36184BZ67<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    515468 | PA      | $487866.43    | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4096                      | CUSIP: 31418DRS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32464328 | PA      | $27940330.01  | 0.18%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7797                      | CUSIP: 3140XBUX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9592499 | PA      | $9251420.92   | 0.06%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3522                      | CUSIP: 31418C4G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    744081 | PA      | $731790.17    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5054                      | CUSIP: 3133KYTK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3295794 | PA      | $2901049.83   | 0.02%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1866                      | CUSIP: 3132AECB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    244328 | PA      | $244204.23    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782562                      | CUSIP: 36241KZ35<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    202529 | PA      | $210077.16    | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2949                      | CUSIP: 3138EKH32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40583 | PA      | $41694.08     | 0.00%             | 2042-08-01      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4682                      | CUSIP: 3132A5FX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    730585 | PA      | $658871.25    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4176                      | CUSIP: 3140X7UA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1643340 | PA      | $1594989.21   | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5470                      | CUSIP: 3140X9CG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5829762 | PA      | $5288184.73   | 0.03%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2523                      | CUSIP: 31329KYU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    828255 | PA      | $814276.70    | 0.01%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A61868                      | CUSIP: 3128KSCD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18356 | PA      | $19313.17     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1661                      | CUSIP: 3138X0Z35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    806360 | PA      | $748739.07    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4606                      | CUSIP: 3132A5DK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2070960 | PA      | $1873393.26   | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1370                      | CUSIP: 3132ADQX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    809215 | PA      | $729607.78    | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02696                      | CUSIP: 31294L7H0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34745 | PA      | $34630.00     | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08847                      | CUSIP: 3128MJ5H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1053106 | PA      | $1012223.50   | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0462                      | CUSIP: 36179MQP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7154768 | PA      | $6779273.64   | 0.04%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05911                      | CUSIP: 3128M73U8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1390438 | PA      | $1457568.96   | 0.01%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13768                      | CUSIP: 3128MCMR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1044 | PA      | $1062.25      | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9063                      | CUSIP: 3138ERB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    344767 | PA      | $337725.47    | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8127                      | CUSIP: 3132DWA45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26612446 | PA      | $20692637.67  | 0.13%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698089                      | CUSIP: 36296QRJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    268247 | PA      | $261978.88    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18672                      | CUSIP: 3128MMXA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2471856 | PA      | $2308627.35   | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91853                      | CUSIP: 3128P8BW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1177647 | PA      | $1104284.94   | 0.01%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7803                      | CUSIP: 3138WHU59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    241852 | PA      | $229331.70    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA1983                      | CUSIP: 3133KHFY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2778306 | PA      | $2492276.61   | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q38530                      | CUSIP: 3132QVPQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40684 | PA      | $40339.99     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8326                      | CUSIP: 3138ETHC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1140169 | PA      | $1139950.08   | 0.01%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8149                      | CUSIP: 3132DWBS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23070987 | PA      | $17939840.18  | 0.11%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1711                      | CUSIP: 3138EH3V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1280978 | PA      | $1285864.89   | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18608                      | CUSIP: 3128MMVA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1155314 | PA      | $1100063.84   | 0.01%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2721                      | CUSIP: 3138WQAX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1863483 | PA      | $1690553.17   | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1628                      | CUSIP: 3138X0Y28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2525807 | PA      | $2297940.48   | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08474                      | CUSIP: 3128MJQ45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    313596 | PA      | $304965.25    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3658                      | CUSIP: 3140J8B44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    456388 | PA      | $417087.16    | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0896                      | CUSIP: 3140XF7J4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19130820 | PA      | $17093527.52  | 0.11%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4592                      | CUSIP: 3132A5C52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4532274 | PA      | $4396908.81   | 0.03%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7406                      | CUSIP: 3140XBGQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2221477 | PA      | $2086899.86   | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7193                      | CUSIP: 36179V7E4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  31485461 | PA      | $27705971.28  | 0.17%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0385                      | CUSIP: 31419ANB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    544872 | PA      | $532398.57    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG D97610                      | CUSIP: 3128E4N32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2074 | PA      | $2010.01      | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5397                      | CUSIP: 36179T7J8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    423737 | PA      | $398837.30    | 0.00%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08681                      | CUSIP: 3128MJXK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8619447 | PA      | $8082998.45   | 0.05%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ0440                      | CUSIP: 3138MFP27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    613963 | PA      | $574508.55    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4922                        | CUSIP: 36202FPF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2256116 | PA      | $2210726.65   | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7537                      | CUSIP: 3132DVLS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9348664 | PA      | $7697724.26   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8166                      | CUSIP: 3132DWCB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29166242 | PA      | $24060311.94  | 0.15%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91718                      | CUSIP: 3128P74B6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    878286 | PA      | $804557.86    | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0756                      | CUSIP: 36179MZV5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    638312 | PA      | $595505.88    | 0.00%             | 2028-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783707                      | CUSIP: 3622A2DL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     30446 | PA      | $28491.04     | 0.00%             | 2028-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4780                      | CUSIP: 36179TJZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    759568 | PA      | $756035.31    | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3965                      | CUSIP: 3138WDMP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1334910 | PA      | $1297503.90   | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1951                      | CUSIP: 3132AEEY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43804 | PA      | $40595.49     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1543                      | CUSIP: 3132DNWC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28500275 | PA      | $24374688.79  | 0.15%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2656                      | CUSIP: 3138EJ5S3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    592644 | PA      | $559856.12    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4254                      | CUSIP: 31418DWQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14063157 | PA      | $10961502.24  | 0.07%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255814                      | CUSIP: 31371MDT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    780393 | PA      | $820105.86    | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6289                      | CUSIP: 3138EN7B9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     91527 | PA      | $93665.69     | 0.00%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8583                      | CUSIP: 3138WJRD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1548382 | PA      | $1449802.90   | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4297                      | CUSIP: 3140X7X38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4578621 | PA      | $4308189.05   | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3119                      | CUSIP: 3138WCPD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88762 | PA      | $85217.84     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3537                      | CUSIP: 31418C4X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    762812 | PA      | $754449.22    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8966                      | CUSIP: 3138WJ6C7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    654731 | PA      | $628944.43    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ4491                      | CUSIP: 3140KP7D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3823849 | PA      | $3155068.27   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7729                      | CUSIP: 3138LYST5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156098 | PA      | $146077.64    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8004                      | CUSIP: 3140XB3N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2814763 | PA      | $2790755.71   | 0.02%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5181                      | CUSIP: 3140X8XK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2838645 | PA      | $2448545.98   | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK4769                      | CUSIP: 3140HJJP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    521724 | PA      | $524750.49    | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4068                      | CUSIP: 36179SQV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2957999 | PA      | $2726571.79   | 0.02%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9516                      | CUSIP: 3140XDSE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9040193 | PA      | $7778974.01   | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05085                      | CUSIP: 3128M66W3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105402 | PA      | $107265.29    | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3443                      | CUSIP: 31418CZH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5554316 | PA      | $5344002.25   | 0.03%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1415                      | CUSIP: 3138ASSD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247950 | PA      | $246640.37    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8046                      | CUSIP: 3132D55F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2298152 | PA      | $2171053.12   | 0.01%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60536                      | CUSIP: 31335ASZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    529478 | PA      | $514396.12    | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE6643                      | CUSIP: 31419HLZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       941 | PA      | $945.93       | 0.00%             | 2040-10-01      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783121                      | CUSIP: 36241LPE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1591935 | PA      | $1519429.35   | 0.01%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4877                        | CUSIP: 36202FM29<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    223676 | PA      | $220418.13    | 0.00%             | 2025-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4207                      | CUSIP: 31418DU91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    776254 | PA      | $719809.26    | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16932                      | CUSIP: 3128PWVZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32645 | PA      | $30893.23     | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2002                      | CUSIP: 3140J6GL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1453435 | PA      | $1411132.81   | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8174                      | CUSIP: 3132DWCK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4368042 | PA      | $3875641.22   | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04587                      | CUSIP: 3128M6NC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89451 | PA      | $90998.95     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08658                      | CUSIP: 3128MJWU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1099847 | PA      | $995948.11    | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5330                      | CUSIP: 3140X84Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    281906 | PA      | $265568.02    | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5 12/22                   | CUSIP: 21H0506C1<br>LEI: N/A            | Short            | ABS-MBS          | USGA              | US        |  -1080647 | PA      | $-1079633.89  | -0.01%            | 2022-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5508                      | CUSIP: 31419GDN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42011 | PA      | $42356.90     | 0.00%             | 2040-12-01      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04306                      | CUSIP: 31292LYB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    321315 | PA      | $290569.33    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA8065                      | CUSIP: 3133A26A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1146668 | PA      | $1026334.43   | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC3014                      | CUSIP: 31417MK44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6811 | PA      | $6813.73      | 0.00%             | 2039-10-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995050                      | CUSIP: 31416BL71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    536670 | PA      | $576050.18    | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8186                      | CUSIP: 3138ANCY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215558 | PA      | $210429.57    | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1156                      | CUSIP: 36179NH92<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2073361 | PA      | $1900183.94   | 0.01%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60038                      | CUSIP: 31335ABF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3584614 | PA      | $3379595.09   | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5204                        | CUSIP: 36202FX92<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    441155 | PA      | $446894.84    | 0.00%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 12/22                 | CUSIP: 01F0526C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5675000 | PA      | $5742390.63   | 0.04%             | 2022-12-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1584                      | CUSIP: 3140XGXN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16043387 | PA      | $13268643.00  | 0.08%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8030                      | CUSIP: 3132DV4P7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12403464 | PA      | $11109427.68  | 0.07%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH9033                      | CUSIP: 3138ABBB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10404 | PA      | $10324.22     | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3676                      | CUSIP: 3140J8CN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1617689 | PA      | $1570088.51   | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18566                      | CUSIP: 3128MMTY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    280727 | PA      | $275632.76    | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0331                      | CUSIP: 3138W9LM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178759 | PA      | $162624.85    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6785                      | CUSIP: 31417DRF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148823 | PA      | $140596.49    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8085                      | CUSIP: 3132DV6W0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2272311 | PA      | $2104674.68   | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2806                      | CUSIP: 31418CDL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4829292 | PA      | $4363588.51   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0428                      | CUSIP: 31417YPN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    112182 | PA      | $112365.98    | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA2236                      | CUSIP: 31334YPV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2878082 | PA      | $2608763.47   | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AC3794                      | CUSIP: 36179DGB0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     40525 | PA      | $37419.60     | 0.00%             | 2028-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889983                      | CUSIP: 31410KXL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    361646 | PA      | $387507.33    | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7504                      | CUSIP: 3132DVKR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8059981 | PA      | $7489548.31   | 0.05%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4519                        | CUSIP: 36202FAU0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    138297 | PA      | $140095.50    | 0.00%             | 2039-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18540                      | CUSIP: 3128MMS61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    769258 | PA      | $724011.34    | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848674                      | CUSIP: 31300LT70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6967 | PA      | $7182.25      | 0.00%             | 2042-02-01      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4837                      | CUSIP: 36179TLS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10390826 | PA      | $9719104.93   | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06168                      | CUSIP: 3128M8FH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179788 | PA      | $168356.68    | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3174                      | CUSIP: 3138EKQ40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    844306 | PA      | $797748.41    | 0.01%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5244                      | CUSIP: 3140X8ZJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7856516 | PA      | $7320130.09   | 0.05%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1163                      | CUSIP: 3140X4JH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2323856 | PA      | $2192351.63   | 0.01%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848353                      | CUSIP: 31300LH65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7968 | PA      | $8196.90      | 0.00%             | 2040-09-01      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 908775                      | CUSIP: 31411HT83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2511 | PA      | $2504.20      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7523                      | CUSIP: 3132DVLC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24802826 | PA      | $21510394.86  | 0.13%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q13205                      | CUSIP: 3132HPR22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3149715 | PA      | $2879434.24   | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4488                      | CUSIP: 3140QB7A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3100349 | PA      | $2880152.18   | 0.02%             | 2034-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3781                      | CUSIP: 3132A4FW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1958768 | PA      | $1778935.42   | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3495                      | CUSIP: 31418C3D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1743332 | PA      | $1677292.55   | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS6686                      | CUSIP: 3132A7NB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29734 | PA      | $29602.64     | 0.00%             | 2023-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8042                      | CUSIP: 3132DV5B7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    238426 | PA      | $243138.86    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06893                      | CUSIP: 3128M87E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    360689 | PA      | $353073.34    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3247                      | CUSIP: 31418CTD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3039953 | PA      | $2888649.35   | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0393                      | CUSIP: 3138EGNK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    268836 | PA      | $269366.92    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2414                      | CUSIP: 36179QVF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    424061 | PA      | $396329.77    | 0.00%             | 2029-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15688                      | CUSIP: 3128MERH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64720 | PA      | $62846.64     | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4474                      | CUSIP: 31418D6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28764111 | PA      | $24662089.80  | 0.15%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03832                      | CUSIP: 31292LHH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64533 | PA      | $64761.31     | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1308                      | CUSIP: 31418AN20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294394 | PA      | $278119.43    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555967                      | CUSIP: 31385XTY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209137 | PA      | $218224.38    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1026                      | CUSIP: 3140X4D86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1804321 | PA      | $1689505.07   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4833                        | CUSIP: 36202FLN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1189737 | PA      | $1165790.66   | 0.01%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5412                      | CUSIP: 3140JAAN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    302985 | PA      | $303019.73    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8111                      | CUSIP: 3132D6AL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15984664 | PA      | $14381189.21  | 0.09%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 780651                      | CUSIP: 36225AWL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1245 | PA      | $1287.39      | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2386                      | CUSIP: 31418BUL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200964 | PA      | $182154.77    | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04123                      | CUSIP: 3128M54G2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7620 | PA      | $8162.38      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3150                      | CUSIP: 31418CQC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269615 | PA      | $263547.84    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 845355                      | CUSIP: 31408AE48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7094 | PA      | $7557.89      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH6783                      | CUSIP: 3138A8RD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2163698 | PA      | $2112250.43   | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735896                      | CUSIP: 31402RRR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43220 | PA      | $45278.33     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1251                      | CUSIP: 3140X4L95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1132755 | PA      | $1025503.43   | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7311                      | CUSIP: 36179WDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  60946027 | PA      | $51734925.15  | 0.32%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3148                      | CUSIP: 31418CQA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7819802 | PA      | $7298281.02   | 0.05%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11218                      | CUSIP: 3132HMK75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    324074 | PA      | $307535.58    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5711                      | CUSIP: 36179UKY7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1287797 | PA      | $1289435.07   | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932864                      | CUSIP: 31412RMM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    792781 | PA      | $774626.31    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1054                      | CUSIP: 3140XGE47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5443906 | PA      | $4489916.30   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR3892                      | CUSIP: 3138W1KE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    530062 | PA      | $479339.79    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2652                      | CUSIP: 3133KH5M4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1442213 | PA      | $1245209.94   | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08660                      | CUSIP: 3128MJWW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1742662 | PA      | $1687048.80   | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784297                      | CUSIP: 3622A2X23<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    468107 | PA      | $455223.35    | 0.00%             | 2046-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3683                      | CUSIP: 31418DCV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1325532 | PA      | $1245358.74   | 0.01%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5135                      | CUSIP: 36179TV44<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1794677 | PA      | $1650050.68   | 0.01%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4209                      | CUSIP: 31418DVB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  41490337 | PA      | $32263338.49  | 0.20%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4834                        | CUSIP: 36202FLP9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1004899 | PA      | $1017969.91   | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3982                      | CUSIP: 3140X7M89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3404539 | PA      | $3149394.55   | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2147                      | CUSIP: 36179QL41<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    563471 | PA      | $519471.55    | 0.00%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1157                      | CUSIP: 36179NJA7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3748906 | PA      | $3552215.14   | 0.02%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01443                      | CUSIP: 31292HS88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    262787 | PA      | $265794.50    | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3664                      | CUSIP: 36179SB97<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    130481 | PA      | $127862.13    | 0.00%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08479                      | CUSIP: 3128MJQ94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    879538 | PA      | $829283.77    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2372                      | CUSIP: 36179QT50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2074921 | PA      | $2033220.61   | 0.01%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3364                      | CUSIP: 3140J7W27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    796911 | PA      | $750708.82    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4578                        | CUSIP: 36202FCP9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    278284 | PA      | $290214.55    | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05849                      | CUSIP: 3128M7ZN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    542018 | PA      | $543087.35    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3742                      | CUSIP: 3138X3EQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2897799 | PA      | $2742259.08   | 0.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD8781                      | CUSIP: 36180MXJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    540506 | PA      | $488379.50    | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8077                      | CUSIP: 3138EQ6P2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    692408 | PA      | $675796.80    | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6475                      | CUSIP: 36179VFQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6321351 | PA      | $5946554.47   | 0.04%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08788                      | CUSIP: 3128MJ2W9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3562750 | PA      | $3321647.29   | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK7591                      | CUSIP: 3131XBNG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    664302 | PA      | $616232.10    | 0.00%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0521                      | CUSIP: 3132CWSJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1439542 | PA      | $1301858.75   | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61623                      | CUSIP: 31335BYU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2534425 | PA      | $2291070.77   | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5065                      | CUSIP: 3138MLTX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53443 | PA      | $48329.46     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05671                      | CUSIP: 3128M7T48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145125 | PA      | $149088.92    | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8237                      | CUSIP: 3132DWEJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19657350 | PA      | $18604887.65  | 0.12%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4979                        | CUSIP: 36202FQ82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    861659 | PA      | $898513.36    | 0.01%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8084                      | CUSIP: 3132D56V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6873896 | PA      | $6184600.68   | 0.04%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA8621                      | CUSIP: 31416SSK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     83958 | PA      | $84617.22     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4583                      | CUSIP: 3140X8CV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9691701 | PA      | $8124416.38   | 0.05%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4413                      | CUSIP: 31418D3X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29053686 | PA      | $23968111.55  | 0.15%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5136                      | CUSIP: 36179TV51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5621845 | PA      | $5291429.46   | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1035                      | CUSIP: 31418AEH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79508 | PA      | $74890.86     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8023                      | CUSIP: 3132DV4G7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10893131 | PA      | $9404509.57   | 0.06%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7411                      | CUSIP: 3140XBGV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11988775 | PA      | $9890911.63   | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737286                      | CUSIP: 3620ARCX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     70027 | PA      | $70974.46     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4371                      | CUSIP: 3138WD2D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    643470 | PA      | $607697.62    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07810                      | CUSIP: 3128MAAK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48242 | PA      | $50022.78     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8785                      | CUSIP: 3140XCXP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8498416 | PA      | $7288825.58   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8872                      | CUSIP: 3140XC2E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    838599 | PA      | $801786.26    | 0.01%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5014                      | CUSIP: 3140X8SC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2729125 | PA      | $2713915.75   | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6599                      | CUSIP: 36179VKL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16844989 | PA      | $15291156.32  | 0.10%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04246                      | CUSIP: 31292LWF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    236173 | PA      | $213538.43    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932557                      | CUSIP: 31412RB22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13038 | PA      | $12995.19     | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1012                      | CUSIP: 36179NDR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10116544 | PA      | $9732335.27   | 0.06%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08670                      | CUSIP: 3128MJW89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4686371 | PA      | $4243852.25   | 0.03%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA6290                      | CUSIP: 36178D7B1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    489701 | PA      | $445899.29    | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04913                      | CUSIP: 3128M6YJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    566157 | PA      | $576168.45    | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4800                        | CUSIP: 36202FKM7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    563937 | PA      | $552584.72    | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3736                      | CUSIP: 36179SEH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9171806 | PA      | $8662132.82   | 0.05%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256031                      | CUSIP: 31371MLL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44241 | PA      | $46247.55     | 0.00%             | 2025-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2516                      | CUSIP: 3140XHYN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1407951 | PA      | $1334086.22   | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16724                      | CUSIP: 3128MFVR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120946 | PA      | $112949.96    | 0.00%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0461                      | CUSIP: 36179MQN3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    966435 | PA      | $894062.94    | 0.01%             | 2042-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3073                      | CUSIP: 31418CMX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1792605 | PA      | $1755840.38   | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890565                      | CUSIP: 31410LMN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    794046 | PA      | $725320.45    | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4722                      | CUSIP: 3140X8G84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    604832 | PA      | $540219.97    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1778                      | CUSIP: 3132AD6P8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1521950 | PA      | $1482249.86   | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM2285                      | CUSIP: 3131XVRE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    368902 | PA      | $332668.08    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 310104                      | CUSIP: 31374CNV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    519651 | PA      | $542129.38    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8506                      | CUSIP: 3132D6NX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10720591 | PA      | $9669189.17   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784494                      | CUSIP: 3622A27F3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    850073 | PA      | $798859.79    | 0.01%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7741                      | CUSIP: 31417ES77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    510102 | PA      | $461251.10    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A94605                      | CUSIP: 312943DJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    460783 | PA      | $450226.29    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4570                      | CUSIP: 31418ECG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2131869 | PA      | $1817168.87   | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0783                      | CUSIP: 36179M2Q2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2214673 | PA      | $2130584.04   | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1043                      | CUSIP: 3140J5ER6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    306616 | PA      | $314498.44    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2601                      | CUSIP: 36179Q3J8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2149993 | PA      | $2036010.69   | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0794                      | CUSIP: 3132AC3B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1650419 | PA      | $1641392.02   | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8043                      | CUSIP: 3132DV5C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    440507 | PA      | $380244.65    | 0.00%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4261                      | CUSIP: 31418DWX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8137779 | PA      | $7321512.39   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2893                      | CUSIP: 3140X6GB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163695 | PA      | $157606.90    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3272                      | CUSIP: 3140X6T68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2651956 | PA      | $2458640.93   | 0.02%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1859                      | CUSIP: 3138AFB58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    438589 | PA      | $436270.23    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6045                      | CUSIP: 3138ENWF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    778340 | PA      | $759807.75    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08607                      | CUSIP: 3128MJU99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    471116 | PA      | $466557.14    | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95575                      | CUSIP: 312944FQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    785837 | PA      | $767077.64    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2817                      | CUSIP: 31418CDX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    662117 | PA      | $582418.31    | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888450                      | CUSIP: 31410GBT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    455077 | PA      | $474856.42    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4040                        | CUSIP: 36202EPZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     44731 | PA      | $46443.82     | 0.00%             | 2037-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6317                      | CUSIP: 31417DAT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1627568 | PA      | $1523122.59   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4679                        | CUSIP: 36202FFU5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    287223 | PA      | $299539.80    | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1086                      | CUSIP: 31418AF45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     66703 | PA      | $62422.59     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4128                      | CUSIP: 36179SSR9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    836506 | PA      | $819718.11    | 0.01%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783177                      | CUSIP: 36241LQ66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    587055 | PA      | $595688.15    | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4074                      | CUSIP: 31418DQ47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6145917 | PA      | $5529964.27   | 0.03%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2966                      | CUSIP: 3140QAJL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1263553 | PA      | $1307962.36   | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05623                      | CUSIP: 3128M7SL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6160 | PA      | $6254.96      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0851                      | CUSIP: 3138EG5M2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    441944 | PA      | $471005.06    | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08596                      | CUSIP: 3128MJUW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    981164 | PA      | $971696.92    | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8134                      | CUSIP: 3132DWBB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  71222368 | PA      | $58761473.56  | 0.37%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14781                      | CUSIP: 3128PUJ29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109319 | PA      | $105805.70    | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3310                      | CUSIP: 3140QAVC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2322800 | PA      | $2238928.32   | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08227                      | CUSIP: 3128MJHD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    284456 | PA      | $288610.49    | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2232                      | CUSIP: 3140QMPS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4889641 | PA      | $4396056.75   | 0.03%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5652                      | CUSIP: 36179UH54<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6193153 | PA      | $6201034.23   | 0.04%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2625                      | CUSIP: 3140XH4K0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1695132 | PA      | $1410911.00   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4678                        | CUSIP: 36202FFT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    331796 | PA      | $343592.08    | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6190                      | CUSIP: 3138WF2Y1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1231280 | PA      | $1165942.20   | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18572                      | CUSIP: 3128MMT60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2453718 | PA      | $2344201.13   | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4701                      | CUSIP: 31418EGK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24485802 | PA      | $23859232.06  | 0.15%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0115                      | CUSIP: 31417YDV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    521148 | PA      | $510141.28    | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9786                      | CUSIP: 3138WK2U8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    152467 | PA      | $145166.69    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3280                      | CUSIP: 3138EKUE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    298928 | PA      | $317303.76    | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738017                      | CUSIP: 3620AR4A6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    102198 | PA      | $97175.66     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4671                      | CUSIP: 3132A5FL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7221069 | PA      | $6511991.20   | 0.04%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3451                      | CUSIP: 3138WCZR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    354536 | PA      | $339202.46    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1008                      | CUSIP: 3140Q8DN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    805174 | PA      | $781756.56    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6431                      | CUSIP: 3138WGED2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    504080 | PA      | $474871.85    | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4469                        | CUSIP: 36202E6E4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    619606 | PA      | $646145.74    | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5892                      | CUSIP: 3138WFRN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1399556 | PA      | $1313706.67   | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7684                      | CUSIP: 3138EQRE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        33 | PA      | $32.28        | 0.00%             | 2023-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255004                      | CUSIP: 31371LGM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5955 | PA      | $6086.88      | 0.00%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8035                      | CUSIP: 3132D54U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5097830 | PA      | $4726845.29   | 0.03%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4618                        | CUSIP: 36202FDX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    408276 | PA      | $425795.65    | 0.00%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3365                      | CUSIP: 3140X6W31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1191809 | PA      | $1073490.19   | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08862                      | CUSIP: 3128MJ5Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2665809 | PA      | $2562244.56   | 0.02%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4513                      | CUSIP: 31418EAP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19366927 | PA      | $17169932.80  | 0.11%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5157                      | CUSIP: 3133KYWS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4365187 | PA      | $3823931.03   | 0.02%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2600                      | CUSIP: 36179Q3H2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    577777 | PA      | $533920.01    | 0.00%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4453                      | CUSIP: 36179S5N3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    594508 | PA      | $586359.50    | 0.00%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0616                      | CUSIP: 31417YVJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1462284 | PA      | $1413383.61   | 0.01%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782974                      | CUSIP: 36241LJT4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    234273 | PA      | $242990.62    | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9809                      | CUSIP: 3138ER3T5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1431798 | PA      | $1402254.56   | 0.01%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2643                      | CUSIP: 31418B5D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8437137 | PA      | $7941578.57   | 0.05%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60711                      | CUSIP: 31335AYG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    239839 | PA      | $240608.93    | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8132                      | CUSIP: 3132D6A91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11945847 | PA      | $10747090.59  | 0.07%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2769                      | CUSIP: 3140XJCF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2834488 | PA      | $2339396.65   | 0.01%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00284                      | CUSIP: 3132GDJ52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    431762 | PA      | $430918.71    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4961                      | CUSIP: 36179TQN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1758360 | PA      | $1616831.78   | 0.01%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5121                      | CUSIP: 3133KYVN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5067763 | PA      | $4344920.91   | 0.03%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4369                        | CUSIP: 36202E2A6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    469874 | PA      | $490082.61    | 0.00%             | 2039-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3521                      | CUSIP: 36179R4E6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11735677 | PA      | $11083674.74  | 0.07%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4516                      | CUSIP: 31418EAS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28918164 | PA      | $26015433.76  | 0.16%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18568                      | CUSIP: 3128MMT29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    552320 | PA      | $519848.47    | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5123                      | CUSIP: 3140X8VR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7196245 | PA      | $6739981.89   | 0.04%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0794                      | CUSIP: 3138LQ3C6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84227 | PA      | $79574.43     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08080                      | CUSIP: 3128MJCS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148157 | PA      | $158727.47    | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4060                      | CUSIP: 3140X7QN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4345023 | PA      | $4221274.92   | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3902                      | CUSIP: 31418DKQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12902500 | PA      | $11139140.72  | 0.07%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3321                      | CUSIP: 3140QAVP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2817797 | PA      | $2617772.84   | 0.02%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8711                      | CUSIP: 3138WJVD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    295220 | PA      | $275970.35    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6297                      | CUSIP: 3140X97K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1197618 | PA      | $1127844.93   | 0.01%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4176                      | CUSIP: 31418DUA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9980969 | PA      | $8493105.66   | 0.05%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP9844                      | CUSIP: 3138MD5E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16186 | PA      | $15145.83     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8257                      | CUSIP: 3132DWE66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13902985 | PA      | $13543823.15  | 0.08%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8348                      | CUSIP: 36179XHZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  23209415 | PA      | $23205692.47  | 0.15%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5044                      | CUSIP: 3140X8TA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4747455 | PA      | $3945625.36   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90768                      | CUSIP: 312938Z97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160985 | PA      | $166958.31    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3586                      | CUSIP: 3138A46Y6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    581122 | PA      | $567316.21    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2 12/22                   | CUSIP: 01F0204C0<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -3550000 | PA      | $-3191117.01  | -0.02%            | 2022-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5925                      | CUSIP: 3138WFSP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    552466 | PA      | $520469.86    | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2781                      | CUSIP: 31418CCT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1787375 | PA      | $1552650.45   | 0.01%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2520                      | CUSIP: 36179QYR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    584695 | PA      | $539057.89    | 0.00%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4737                      | CUSIP: 31418EHP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24156468 | PA      | $24055158.57  | 0.15%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3803                      | CUSIP: 31418DGM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247479 | PA      | $229791.64    | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3278                      | CUSIP: 3140X6UC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1842378 | PA      | $1719991.39   | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8510                      | CUSIP: 3132D6N30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4536389 | PA      | $4096617.72   | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08469                      | CUSIP: 3128MJQX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    474750 | PA      | $450559.36    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4043                      | CUSIP: 31418DP55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    419220 | PA      | $396042.01    | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7306                      | CUSIP: 3138EQDL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40420 | PA      | $40237.30     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4452                      | CUSIP: 36179S5M5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2729209 | PA      | $2670281.44   | 0.02%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC9096                      | CUSIP: 3140F5DA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5190144 | PA      | $4859748.74   | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1J1516                      | CUSIP: 3128NHVH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8685 | PA      | $8726.12      | 0.00%             | 2037-02-01      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3697                      | CUSIP: 3140X7DB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1468724 | PA      | $1459602.33   | 0.01%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC6009                      | CUSIP: 3140F1VB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25453 | PA      | $23838.48     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6933                      | CUSIP: 36179VV23<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    663065 | PA      | $623649.18    | 0.00%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07977                      | CUSIP: 3128MAFS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    514514 | PA      | $519972.81    | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5282                        | CUSIP: 36202F2P0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    527468 | PA      | $549978.03    | 0.00%             | 2042-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5138                      | CUSIP: 3133KYV71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12257105 | PA      | $10455245.90  | 0.07%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4424                        | CUSIP: 36202E4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    838508 | PA      | $874523.68    | 0.01%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15336                      | CUSIP: 3128MEEH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1761583 | PA      | $1648160.48   | 0.01%             | 2029-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3071                      | CUSIP: 31418CMV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2330885 | PA      | $2297637.38   | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7049                      | CUSIP: 3138EPZP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    648955 | PA      | $632448.00    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783278                      | CUSIP: 36241LUB0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     11742 | PA      | $12246.09     | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698474                      | CUSIP: 36296Q6K0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1129281 | PA      | $1121572.87   | 0.01%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4003                      | CUSIP: 36179SNU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5619437 | PA      | $5179811.96   | 0.03%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4368                        | CUSIP: 36202EZ93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    874167 | PA      | $885538.25    | 0.01%             | 2039-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG D96094                      | CUSIP: 3128E2XX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       251 | PA      | $232.39       | 0.00%             | 2023-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5111                      | CUSIP: 3133KYVC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9439806 | PA      | $8100759.31   | 0.05%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4408                      | CUSIP: 31418D3S9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4737594 | PA      | $4158498.48   | 0.03%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8932                      | CUSIP: 3140XC4S4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8086291 | PA      | $7895906.46   | 0.05%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4021                      | CUSIP: 31418DPF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7695657 | PA      | $7128950.42   | 0.04%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4410                      | CUSIP: 3138WD3U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205093 | PA      | $192527.07    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3217                      | CUSIP: 3140X6SF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4621679 | PA      | $4290591.36   | 0.03%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13273                      | CUSIP: 3128PST64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    596441 | PA      | $576289.12    | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5467                      | CUSIP: 36179UCC4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6168684 | PA      | $6176538.11   | 0.04%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2005                      | CUSIP: 3140J6GP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2642433 | PA      | $2550872.30   | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5144                        | CUSIP: 36202FWD4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    103102 | PA      | $97916.42     | 0.00%             | 2041-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4127                      | CUSIP: 3132A4SQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    916815 | PA      | $893507.44    | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13248                      | CUSIP: 3128MBZM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5168 | PA      | $5069.01      | 0.00%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5875                      | CUSIP: 36179UQ47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3824979 | PA      | $3600266.47   | 0.02%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4899                      | CUSIP: 36179TNQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8779095 | PA      | $8072034.25   | 0.05%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08830                      | CUSIP: 3128MJ4Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23689 | PA      | $22055.58     | 0.00%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888275                      | CUSIP: 31410F2G9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90869 | PA      | $94775.65     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8084                      | CUSIP: 3132DV6V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5058391 | PA      | $4521698.39   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745154                      | CUSIP: 31403CZT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    233264 | PA      | $241368.23    | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6070                      | CUSIP: 3138WFW85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    385252 | PA      | $373339.78    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q03310                      | CUSIP: 3132GJKX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    123216 | PA      | $120619.62    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8202                      | CUSIP: 36179XDF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26519958 | PA      | $26515698.84  | 0.17%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 785056                      | CUSIP: 3622AAQH0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    528045 | PA      | $525908.20    | 0.00%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60506                      | CUSIP: 31335AR34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2179267 | PA      | $2019539.68   | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2000                      | CUSIP: 3140J6GJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5630572 | PA      | $5259877.70   | 0.03%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY4200                      | CUSIP: 3138YHU24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    972545 | PA      | $881623.60    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B4681                      | CUSIP: 3128JQCT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       207 | PA      | $215.61       | 0.00%             | 2040-05-01      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 736520                      | CUSIP: 3620AQG56<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    474146 | PA      | $481125.85    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3937                      | CUSIP: 31418DLT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9032676 | PA      | $8073829.14   | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67712                      | CUSIP: 3132XCR98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5519320 | PA      | $5364745.83   | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4031                      | CUSIP: 31418DPR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574988 | PA      | $575685.40    | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782557                      | CUSIP: 36241KZW1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     31160 | PA      | $32002.74     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 720161                      | CUSIP: 3620A6B63<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    258062 | PA      | $258982.87    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 719232                      | CUSIP: 3620A5A90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2458393 | PA      | $2405686.05   | 0.02%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4170                      | CUSIP: 36179ST31<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    488408 | PA      | $466647.31    | 0.00%             | 2032-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4063                      | CUSIP: 31418DQR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    891203 | PA      | $875753.09    | 0.01%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1155                      | CUSIP: 3140X4H90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4867619 | PA      | $4570994.87   | 0.03%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0706                      | CUSIP: 31417YYC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101329 | PA      | $101511.87    | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0712                      | CUSIP: 3132ACYH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138761 | PA      | $133248.06    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5878                      | CUSIP: 3138ENQ85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2274171 | PA      | $2219457.37   | 0.01%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6219                      | CUSIP: 36179U4C3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13312857 | PA      | $12522880.25  | 0.08%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06995                      | CUSIP: 3128M9C83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    507162 | PA      | $542505.61    | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8206                      | CUSIP: 3132DWDK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  51044681 | PA      | $45213765.08  | 0.28%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD2446                      | CUSIP: 3140F9WG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    406208 | PA      | $366988.29    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7989                      | CUSIP: 36179W2W7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8692355 | PA      | $8063800.93   | 0.05%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8114                      | CUSIP: 3132DWAP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11219757 | PA      | $9656606.67   | 0.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08779                      | CUSIP: 3128MJ2M1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13971592 | PA      | $12942811.88  | 0.08%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6994                      | CUSIP: 36179VXX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        | 123648024 | PA      | $105730399.17 | 0.66%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255230                      | CUSIP: 31371LPP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19990 | PA      | $20503.65     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH1304                      | CUSIP: 3138A2NW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126388 | PA      | $125426.08    | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3936                      | CUSIP: 31417ALS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56479 | PA      | $53596.98     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1029                      | CUSIP: 31418AEB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1887000 | PA      | $1853471.50   | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8467                      | CUSIP: 3132A9MQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1974929 | PA      | $1839868.90   | 0.01%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0022                      | CUSIP: 3138W9AY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1812729 | PA      | $1707855.49   | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737413                      | CUSIP: 3620ARGW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      8178 | PA      | $8370.81      | 0.00%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7580                      | CUSIP: 3138WHM66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2340134 | PA      | $2114744.20   | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02866                      | CUSIP: 31294MFF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34140 | PA      | $34104.11     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8850                      | CUSIP: 3140XCZQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3349305 | PA      | $2887824.17   | 0.02%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3663                      | CUSIP: 36179SB89<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6946495 | PA      | $6560445.25   | 0.04%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01837                      | CUSIP: 3128LXBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1065995 | PA      | $1084851.44   | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723240                      | CUSIP: 3620A9PZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    185900 | PA      | $192821.54    | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3834                      | CUSIP: 31418DHL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105119 | PA      | $94161.61     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61257                      | CUSIP: 31335BME3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2378084 | PA      | $2149813.25   | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61260                      | CUSIP: 31335BMH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18178 | PA      | $18112.94     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AE7714                      | CUSIP: 36181BSB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    240378 | PA      | $214417.72    | 0.00%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9259                      | CUSIP: 3138ERJD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28008 | PA      | $27453.61     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61422                      | CUSIP: 31335BSK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2116060 | PA      | $2090912.45   | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1221                      | CUSIP: 3138EHLB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33437 | PA      | $34376.32     | 0.00%             | 2039-12-01      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254405                      | CUSIP: 31371KR29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9895 | PA      | $10548.20     | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3105                      | CUSIP: 36179RNW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4860517 | PA      | $4602977.88   | 0.03%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1132                      | CUSIP: 3132DNHH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6746178 | PA      | $6414572.09   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3619                      | CUSIP: 3140X7AV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    930463 | PA      | $915966.89    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0800                      | CUSIP: 3138LQ3J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1841914 | PA      | $1734807.02   | 0.01%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3233                      | CUSIP: 3138EKSX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     91506 | PA      | $93072.16     | 0.00%             | 2043-03-01      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00232                      | CUSIP: 3132GDHH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    408099 | PA      | $409530.25    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8784                      | CUSIP: 3138WJXN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5545164 | PA      | $4998261.45   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256711                      | CUSIP: 31371NDQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44407 | PA      | $45021.11     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95393                      | CUSIP: 3129437E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    240873 | PA      | $235358.03    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO8431                      | CUSIP: 3140K4LM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1975257 | PA      | $1831103.55   | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6730                      | CUSIP: 3138WGPQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    400533 | PA      | $375065.92    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2074                      | CUSIP: 3132AEJT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2577838 | PA      | $2317795.34   | 0.01%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1652                      | CUSIP: 31418AZS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1364898 | PA      | $1309835.95   | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2894                      | CUSIP: 36179RGB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    692363 | PA      | $701350.83    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725690                      | CUSIP: 31402DF70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    573142 | PA      | $609027.80    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735591                      | CUSIP: 31402RF87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    299148 | PA      | $312441.00    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2995                      | CUSIP: 31418CKH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2336481 | PA      | $2251562.32   | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08848                      | CUSIP: 3128MJ5J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4420544 | PA      | $4367876.86   | 0.03%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL4180                      | CUSIP: 3138ELUE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45175 | PA      | $43497.17     | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q45735                      | CUSIP: 3132WKLR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2758241 | PA      | $2489792.02   | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5018                        | CUSIP: 36202FSF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    291969 | PA      | $304390.92    | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08711                      | CUSIP: 3128MJYH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2474280 | PA      | $2314502.03   | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4179                      | CUSIP: 31418DUD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16597311 | PA      | $14932919.82  | 0.09%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA7256                      | CUSIP: 3133A2BZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3594362 | PA      | $3212454.16   | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7254                      | CUSIP: 36179WBX5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  52215657 | PA      | $44566543.63  | 0.28%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4418                      | CUSIP: 31418D4C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9630971 | PA      | $8664680.84   | 0.05%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2931                      | CUSIP: 31418CHH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    540521 | PA      | $513638.91    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q50589                      | CUSIP: 3132XSUP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    291649 | PA      | $271898.20    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3375                      | CUSIP: 36179RXC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3958431 | PA      | $3657944.91   | 0.02%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP7517                      | CUSIP: 3140KFK79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4512608 | PA      | $3884068.26   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8026                      | CUSIP: 3132D54K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3398368 | PA      | $3155901.85   | 0.02%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4101                      | CUSIP: 31418RRX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73432 | PA      | $73602.94     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1354                      | CUSIP: 3138EHQG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    362132 | PA      | $356909.31    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1980                      | CUSIP: 31418BFW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    526358 | PA      | $490359.41    | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1886                      | CUSIP: 3138AFCY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    704157 | PA      | $702784.00    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5096                      | CUSIP: 3133KYUV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4199206 | PA      | $3696085.21   | 0.02%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782628                      | CUSIP: 36241K4M7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    712876 | PA      | $689927.49    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9591                      | CUSIP: 3138ERUR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1873459 | PA      | $1790917.68   | 0.01%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1948                      | CUSIP: 3138EJEW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    966957 | PA      | $953498.41    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5137                      | CUSIP: 36179TV69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5210950 | PA      | $5071278.42   | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5431                      | CUSIP: 3140X9A96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    904569 | PA      | $945486.32    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6416                      | CUSIP: 3140QEDW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2465810 | PA      | $2215116.41   | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3737                      | CUSIP: 36179SEJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    487310 | PA      | $477534.59    | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82678                       | CUSIP: 36225E6Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2446 | PA      | $2508.27      | 0.00%             | 2040-11-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0286                      | CUSIP: 31419AJ81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7538 | PA      | $7540.55      | 0.00%             | 2025-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3912                      | CUSIP: 36179SKZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    948873 | PA      | $871796.01    | 0.01%             | 2031-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI3791                      | CUSIP: 3138AHF92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11102 | PA      | $11018.84     | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5990                      | CUSIP: 3140X9UQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11079353 | PA      | $9554883.59   | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA4670                      | CUSIP: 31346YFK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159377 | PA      | $160115.06    | 0.00%             | 2049-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97626                      | CUSIP: 312946PK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    485017 | PA      | $503476.28    | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4445                      | CUSIP: 31418D5F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21446961 | PA      | $17519651.62  | 0.11%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8194                      | CUSIP: 3132DWC76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15275406 | PA      | $13047149.01  | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4434                      | CUSIP: 31417A4U0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450381 | PA      | $429743.99    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8629                      | CUSIP: 3140XCST6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3596937 | PA      | $2796621.55   | 0.02%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU7032                      | CUSIP: 3138X6Y66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2273131 | PA      | $2227539.35   | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784114                      | CUSIP: 3622A2SB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3444225 | PA      | $3252779.79   | 0.02%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18677                      | CUSIP: 3128MMXF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3109712 | PA      | $2947443.99   | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9362                      | CUSIP: 3138MRML2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1555629 | PA      | $1469647.42   | 0.01%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3277                      | CUSIP: 31418CUB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3415232 | PA      | $3285836.94   | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256851                      | CUSIP: 31371NH40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12516 | PA      | $13711.17     | 0.00%             | 2037-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0025                      | CUSIP: 36179MA26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     29720 | PA      | $30996.41     | 0.00%             | 2042-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2186                      | CUSIP: 3140X5NC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1029169 | PA      | $912959.68    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6020                      | CUSIP: 3140QDVN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1217533 | PA      | $1087512.05   | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08641                      | CUSIP: 3128MJWB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1281454 | PA      | $1201667.29   | 0.01%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4261                      | CUSIP: 36179SWW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3108806 | PA      | $2858429.30   | 0.02%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4858                      | CUSIP: 3140X8MG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3003353 | PA      | $2977760.19   | 0.02%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7473                      | CUSIP: 31417EJT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    272927 | PA      | $246758.08    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1101                      | CUSIP: 3138WAGK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    881421 | PA      | $866996.36    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7534                      | CUSIP: 3132DVLP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18126730 | PA      | $15760930.34  | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4495                      | CUSIP: 3131XX7G0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3383797 | PA      | $3254686.12   | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ7680                      | CUSIP: 3138E0RA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1698709 | PA      | $1612168.04   | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7207                      | CUSIP: 3138EQAH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16515 | PA      | $16524.93     | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90938                      | CUSIP: 3128P7BF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8142 | PA      | $8016.93      | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01527                      | CUSIP: 31292HVU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69599 | PA      | $70394.71     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 733933                      | CUSIP: 3620AMLN0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    423409 | PA      | $420350.52    | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0088                      | CUSIP: 36179MCZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4981580 | PA      | $4720122.56   | 0.03%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3818                      | CUSIP: 31418DG48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1184 | PA      | $1189.15      | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08554                      | CUSIP: 3128MJTL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2971224 | PA      | $2770192.71   | 0.02%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3372                      | CUSIP: 31418CXA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2003043 | PA      | $1974324.16   | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08534                      | CUSIP: 3128MJSY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1751924 | PA      | $1592332.21   | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3926                      | CUSIP: 3140J8LG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    541376 | PA      | $512845.28    | 0.00%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1996                      | CUSIP: 36179QGD7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1147896 | PA      | $1124821.90   | 0.01%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995023                      | CUSIP: 31416BLC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1127077 | PA      | $1184437.43   | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0797                      | CUSIP: 3138W93F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52170 | PA      | $50751.50     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0030                      | CUSIP: 3138EGA87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57660 | PA      | $59149.35     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2224                      | CUSIP: 36179QPH8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4637773 | PA      | $4544541.13   | 0.03%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP3421                      | CUSIP: 3140KAYT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12771899 | PA      | $10536714.44  | 0.07%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO9925                      | CUSIP: 3138M2A30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148737 | PA      | $139221.01    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX2491                      | CUSIP: 3138Y3XV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    605354 | PA      | $574384.72    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3306                      | CUSIP: 31418CU85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4030651 | PA      | $3878063.86   | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6615                      | CUSIP: 3138EPK52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    140698 | PA      | $140634.08    | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI2128                      | CUSIP: 3138AFLJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11275 | PA      | $11704.61     | 0.00%             | 2041-05-01      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM2089                      | CUSIP: 3131XVKA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    298760 | PA      | $269410.74    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02482                      | CUSIP: 3128M4CT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5629 | PA      | $5981.85      | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7511                      | CUSIP: 3132DVKY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2882528 | PA      | $2669945.18   | 0.02%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18472                      | CUSIP: 3128MMQ22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2727054 | PA      | $2575972.39   | 0.02%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4143                      | CUSIP: 3140X7S91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2271697 | PA      | $2147841.12   | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3331                      | CUSIP: 31418CVZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1602881 | PA      | $1448081.27   | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14203                      | CUSIP: 3128MC3L7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143405 | PA      | $142318.78    | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8151                      | CUSIP: 3132DWBU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10816637 | PA      | $9277390.90   | 0.06%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8090                      | CUSIP: 3132DV7B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  35454488 | PA      | $29314260.36  | 0.18%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A13590                      | CUSIP: 31296M7B9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33022 | PA      | $32624.09     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3040                      | CUSIP: 31419DLW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1031453 | PA      | $1007856.60   | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08518                      | CUSIP: 3128MJSG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    889508 | PA      | $808513.79    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5 12/22                   | CUSIP: 21H0506C1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10760647 | PA      | $10750558.89  | 0.07%             | 2022-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2371                      | CUSIP: 36179QT43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    965269 | PA      | $914684.91    | 0.01%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91905                      | CUSIP: 3128P8DJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3340035 | PA      | $3077149.09   | 0.02%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7558                      | CUSIP: 3140XBMG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7967184 | PA      | $7385600.44   | 0.05%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1838                      | CUSIP: 3140XHBG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22165720 | PA      | $19708995.29  | 0.12%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q14875                      | CUSIP: 3132HRMY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    385908 | PA      | $348947.27    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8120                      | CUSIP: 3132D6AV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3133304 | PA      | $2898002.15   | 0.02%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5134                      | CUSIP: 3133KYV30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8653218 | PA      | $7068038.71   | 0.04%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4141                      | CUSIP: 3140QBS74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1064028 | PA      | $943613.00    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1585                      | CUSIP: 3138WAXP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82765 | PA      | $81751.96     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932135                      | CUSIP: 31412QSY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213539 | PA      | $220309.94    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3357                      | CUSIP: 31418CWT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1023211 | PA      | $984414.55    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5154                      | CUSIP: 3133KYWP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15384819 | PA      | $13476181.12  | 0.08%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735036                      | CUSIP: 31402QSZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    207100 | PA      | $216057.11    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2728                      | CUSIP: 3138WCA60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    112877 | PA      | $111665.15    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0753                      | CUSIP: 3140XFZT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5251126 | PA      | $4546280.60   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2488                      | CUSIP: 3140QMXS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3043744 | PA      | $2665467.79   | 0.02%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18626                      | CUSIP: 3128MMVU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3067626 | PA      | $2873670.48   | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0813                      | CUSIP: 31418M3X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194996 | PA      | $198828.75    | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2754                      | CUSIP: 36179RBX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8273619 | PA      | $7835205.26   | 0.05%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1490                      | CUSIP: 31418AUQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2035204 | PA      | $1864545.19   | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0541                      | CUSIP: 3132ACS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6474387 | PA      | $6261925.14   | 0.04%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03120                      | CUSIP: 3128M4YR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139073 | PA      | $148424.16    | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4287                      | CUSIP: 31418DXR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    821959 | PA      | $705382.81    | 0.00%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5670                      | CUSIP: 31417CJQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2162086 | PA      | $2022423.84   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8079                      | CUSIP: 3132D56Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3355335 | PA      | $3018957.03   | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6638                      | CUSIP: 3140XALU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    891758 | PA      | $849172.44    | 0.01%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6136                      | CUSIP: 3138WFZA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     68506 | PA      | $64313.53     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7988                      | CUSIP: 36179W2V9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17421187 | PA      | $15706644.19  | 0.10%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 848983                      | CUSIP: 31408EFY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8321 | PA      | $8778.77      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01740                      | CUSIP: 31283H4Z5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    536997 | PA      | $544279.38    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1155                      | CUSIP: 3132DNH89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5285080 | PA      | $4756136.30   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18577                      | CUSIP: 3128MMUB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2510191 | PA      | $2362607.65   | 0.01%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0291                      | CUSIP: 3140XFKD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1437583 | PA      | $1195567.93   | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5616                      | CUSIP: 3138ENG29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189434 | PA      | $197457.28    | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR8881                      | CUSIP: 3140L72P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1263808 | PA      | $1043269.37   | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1560                      | CUSIP: 3140Q8WW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    460059 | PA      | $455097.02    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745044                      | CUSIP: 31403CWD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84342 | PA      | $84220.88     | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3987                      | CUSIP: 31418DND0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2904731 | PA      | $2556463.03   | 0.02%             | 2040-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4587                      | CUSIP: 31418ECZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10349219 | PA      | $9065610.27   | 0.06%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08838                      | CUSIP: 3128MJ4Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    363154 | PA      | $363618.60    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5936                      | CUSIP: 3140X9S22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7038371 | PA      | $6373593.58   | 0.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18619                      | CUSIP: 3128MMVM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2554108 | PA      | $2392621.26   | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08699                      | CUSIP: 3128MJX54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1978472 | PA      | $1909910.03   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4418                      | CUSIP: 3133KK4B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    361104 | PA      | $310682.05    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1401                      | CUSIP: 31418ARX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1960414 | PA      | $1795949.59   | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 964874                      | CUSIP: 31414FMX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11865 | PA      | $12660.90     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01931                      | CUSIP: 3128LXEC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1619907 | PA      | $1612872.66   | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01449                      | CUSIP: 31283HTE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17330 | PA      | $17790.00     | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6293                      | CUSIP: 3140X97F6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7335160 | PA      | $6546198.11   | 0.04%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06877                      | CUSIP: 3128M86N9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139613 | PA      | $149498.99    | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04951                      | CUSIP: 3128M6ZQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150886 | PA      | $155706.88    | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AV8890                      | CUSIP: 36195K2X1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1354673 | PA      | $1325409.67   | 0.01%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5259                        | CUSIP: 36202FZY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    766511 | PA      | $751081.69    | 0.00%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07859                      | CUSIP: 3128MAB40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    349964 | PA      | $347405.31    | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1600                      | CUSIP: 3140X4X68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    434906 | PA      | $407230.30    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3783                      | CUSIP: 3140X7FZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4470748 | PA      | $4313328.47   | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01786                      | CUSIP: 31292H6X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19008 | PA      | $19253.20     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY8223                      | CUSIP: 3138YND53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23839 | PA      | $22460.31     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08443                      | CUSIP: 3128MJP53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    518689 | PA      | $520513.62    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40126                      | CUSIP: 3132FCD77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    549425 | PA      | $573203.78    | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2373                      | CUSIP: 36179QT68<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1652825 | PA      | $1656088.63   | 0.01%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848206                      | CUSIP: 31300LDK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4129 | PA      | $4228.63      | 0.00%             | 2039-12-01      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3034                      | CUSIP: 36179RLP2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3057617 | PA      | $2895511.83   | 0.02%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13585                      | CUSIP: 3128PS6W2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327189 | PA      | $316126.88    | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08451                      | CUSIP: 3128MJQD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    628441 | PA      | $630655.02    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995196                      | CUSIP: 31416BRR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    449929 | PA      | $483266.97    | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4770                        | CUSIP: 36202FJP2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    325910 | PA      | $319359.92    | 0.00%             | 2040-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01222                      | CUSIP: 31292HLB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1504 | PA      | $1528.65      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93759                      | CUSIP: 312942E84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90382 | PA      | $88313.71     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5114                        | CUSIP: 36202FVF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    448587 | PA      | $439561.44    | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2838                      | CUSIP: 3140QNEL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    883900 | PA      | $728711.56    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3101                      | CUSIP: 31418CNT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1560583 | PA      | $1525473.09   | 0.01%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61582                      | CUSIP: 31335BXK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    584451 | PA      | $564907.67    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY5643                      | CUSIP: 3138YKHV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1313522 | PA      | $1237338.30   | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8967                      | CUSIP: 3138ET6D3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    301945 | PA      | $292646.28    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4383                      | CUSIP: 31418D2R2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18422181 | PA      | $16574110.01  | 0.10%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0971                      | CUSIP: 31419BCH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193703 | PA      | $192238.17    | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3430                      | CUSIP: 3138A4Y41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277051 | PA      | $271823.40    | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18459                      | CUSIP: 3128MMQM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59227 | PA      | $55944.75     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3803                      | CUSIP: 36179SGL5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7010157 | PA      | $6620590.56   | 0.04%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2680                      | CUSIP: 36179Q6R7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    435486 | PA      | $441144.06    | 0.00%             | 2045-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5384                      | CUSIP: 3140X86W2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1244138 | PA      | $1231759.40   | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4126                      | CUSIP: 36179SSP3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12527239 | PA      | $11546948.32  | 0.07%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8042                      | CUSIP: 36179W5B0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10088409 | PA      | $8851236.25   | 0.06%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3936                      | CUSIP: 36179SLR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14179434 | PA      | $13070293.24  | 0.08%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05958                      | CUSIP: 3128M75T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2136030 | PA      | $2183069.49   | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4662                      | CUSIP: 3132A5FB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    520230 | PA      | $469146.25    | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738882                      | CUSIP: 3620AS2P3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    206422 | PA      | $201468.99    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2 12/22                   | CUSIP: 01F0204C0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2850000 | PA      | $2561882.67   | 0.02%             | 2022-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX5316                      | CUSIP: 3138Y64A9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    607170 | PA      | $603960.56    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4019                      | CUSIP: 31418DPD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  41849198 | PA      | $36017637.78  | 0.23%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD2342                      | CUSIP: 31418PS89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296420 | PA      | $307684.09    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7536                      | CUSIP: 3132DVLR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18830053 | PA      | $16328905.66  | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8162                      | CUSIP: 3132DWB77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4647492 | PA      | $4123856.86   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7310                      | CUSIP: 36179WDP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8552430 | PA      | $6965165.40   | 0.04%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60899                      | CUSIP: 31335A7L6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    291095 | PA      | $291675.37    | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04331                      | CUSIP: 3128M6EC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    444803 | PA      | $452671.93    | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8682                      | CUSIP: 3132A9UF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     85953 | PA      | $81524.02     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782998                      | CUSIP: 36241LKK1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    100426 | PA      | $104160.68    | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08168                      | CUSIP: 3128MJFJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    666951 | PA      | $711102.91    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1813                      | CUSIP: 3133L8AN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2352948 | PA      | $2063830.04   | 0.01%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05030                      | CUSIP: 3128M64P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82376 | PA      | $87928.02     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6306                      | CUSIP: 3138EPAG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    471703 | PA      | $470884.48    | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q54334                      | CUSIP: 3132XWY88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1745075 | PA      | $1624529.88   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BA0938                      | CUSIP: 3617ADBF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    196271 | PA      | $195353.25    | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5279                        | CUSIP: 36202F2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3919384 | PA      | $3721692.98   | 0.02%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3804                      | CUSIP: 36179SGM3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    414268 | PA      | $405953.48    | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723434                      | CUSIP: 3620A9V32<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     68447 | PA      | $70979.67     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4170                      | CUSIP: 3138WDT43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60415 | PA      | $57213.09     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5332                      | CUSIP: 36179T4R3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2732965 | PA      | $2792609.75   | 0.02%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2929                      | CUSIP: 31418CHF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2059188 | PA      | $1921667.03   | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0658                      | CUSIP: 3138EGWU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    611460 | PA      | $608134.03    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3702                      | CUSIP: 3140FPDG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7119346 | PA      | $6860352.43   | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ0534                      | CUSIP: 3138MFSY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    477393 | PA      | $436091.15    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08678                      | CUSIP: 3128MJXG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    258176 | PA      | $252495.18    | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5141                      | CUSIP: 3133KYWA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     86216 | PA      | $73539.07     | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2473                      | CUSIP: 31418BXB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1081939 | PA      | $1031093.37   | 0.01%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0511                      | CUSIP: 31417YR90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    226155 | PA      | $226526.15    | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1927                      | CUSIP: 3138EJD96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5051 | PA      | $5168.93      | 0.00%             | 2039-11-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8045                      | CUSIP: 3132DV5E1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2295594 | PA      | $2131451.59   | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0218                      | CUSIP: 31419AG43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1149173 | PA      | $1149670.52   | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786091                      | CUSIP: 3622ABUQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7919182 | PA      | $7458193.40   | 0.05%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4326                      | CUSIP: 31418DYY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  58059919 | PA      | $49656756.20  | 0.31%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01491                      | CUSIP: 31292HUQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176729 | PA      | $188381.84    | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5665                      | CUSIP: 31417CJK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60637 | PA      | $57550.77     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2569                      | CUSIP: 36179Q2A8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    530026 | PA      | $499491.29    | 0.00%             | 2030-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3121                      | CUSIP: 31418CPF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4091429 | PA      | $3942688.92   | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2496                      | CUSIP: 31418BX27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    897051 | PA      | $821653.44    | 0.01%             | 2036-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18725                      | CUSIP: 3128MMYX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124470 | PA      | $117630.65    | 0.00%             | 2034-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3775                      | CUSIP: 3140QPFR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1350163 | PA      | $1280773.63   | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5596                      | CUSIP: 36179UGD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    548598 | PA      | $549295.77    | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889745                      | CUSIP: 31410KP65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    303332 | PA      | $316430.26    | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01584                      | CUSIP: 31283HXM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    326064 | PA      | $331630.97    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7883                      | CUSIP: 36179WXL7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3108632 | PA      | $2884418.58   | 0.02%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q45094                      | CUSIP: 3132WJUU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    848474 | PA      | $765902.08    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18247                      | CUSIP: 3128MMHZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2921 | PA      | $2873.75      | 0.00%             | 2023-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255842                      | CUSIP: 31371MEP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17733 | PA      | $18231.27     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A37279                      | CUSIP: 31297TCQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10380 | PA      | $10681.30     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8016                      | CUSIP: 3132DV3Z6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17167779 | PA      | $15377535.04  | 0.10%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5085                      | CUSIP: 3133KYUJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28218122 | PA      | $24011502.64  | 0.15%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6818                      | CUSIP: 36179VSF8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3842526 | PA      | $3262047.39   | 0.02%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07925                      | CUSIP: 3128MAD63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1324573 | PA      | $1285236.68   | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7069                      | CUSIP: 31417D2B8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    439165 | PA      | $397075.70    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8056                      | CUSIP: 3132DV5R2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5135886 | PA      | $4590521.46   | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08836                      | CUSIP: 3128MJ4W7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1770404 | PA      | $1701712.62   | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3174                      | CUSIP: 36179RQ36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2010789 | PA      | $1970418.10   | 0.01%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1703                      | CUSIP: 3132AD3L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1542988 | PA      | $1495250.18   | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4111                      | CUSIP: 31418DR95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2408219 | PA      | $2109305.51   | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9990                      | CUSIP: 3138WLC43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    653321 | PA      | $639926.55    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08648                      | CUSIP: 3128MJWJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1937297 | PA      | $1754214.24   | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3246                      | CUSIP: 31418CTC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    753863 | PA      | $704752.49    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725238                      | CUSIP: 31402CV74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    234311 | PA      | $240185.11    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3855                      | CUSIP: 31418DH96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1085610 | PA      | $979270.97    | 0.01%             | 2034-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3695                      | CUSIP: 3140FPC98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1027256 | PA      | $958585.61    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8167                      | CUSIP: 3132DWCC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20265662 | PA      | $17362883.15  | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0697                      | CUSIP: 36179MX21<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    853761 | PA      | $749997.23    | 0.00%             | 2043-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5021                      | CUSIP: 36179TSJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    164341 | PA      | $163576.00    | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0037                      | CUSIP: 3132CWBE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    990497 | PA      | $935860.62    | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723526                      | CUSIP: 3620A9YX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     75233 | PA      | $74719.29     | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03695                      | CUSIP: 3128M5NL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    444150 | PA      | $455010.54    | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18309                      | CUSIP: 3128MMKX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4864 | PA      | $4878.96      | 0.00%             | 2024-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02342                      | CUSIP: 3128LXS76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89857 | PA      | $91860.86     | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5841                      | CUSIP: 3140X9P33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1398630 | PA      | $1372898.18   | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783473                      | CUSIP: 36241L2E5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    327993 | PA      | $311383.57    | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7174                      | CUSIP: 3140XA6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2694798 | PA      | $2669317.50   | 0.02%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1240                      | CUSIP: 31418ALW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181716 | PA      | $171681.40    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3939                      | CUSIP: 31418DLV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3096345 | PA      | $2868633.44   | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 720204                      | CUSIP: 3620A6DH7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     35290 | PA      | $35788.08     | 0.00%             | 2024-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2425                      | CUSIP: 31418BVT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1241212 | PA      | $1187021.79   | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4305                      | CUSIP: 31418DYB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  78669578 | PA      | $64903770.93  | 0.41%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0625                      | CUSIP: 31417YVT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    812555 | PA      | $799168.49    | 0.01%             | 2031-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1602                      | CUSIP: 36179NX78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    390382 | PA      | $395457.81    | 0.00%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8122                      | CUSIP: 3132DWAX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27790343 | PA      | $23918367.74  | 0.15%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA7681                      | CUSIP: 31416RRB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    475830 | PA      | $479557.25    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9437                      | CUSIP: 3138EEPX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    323943 | PA      | $303175.03    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5697                      | CUSIP: 3138WFKK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1491615 | PA      | $1400263.08   | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87701                      | CUSIP: 312934RW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    220776 | PA      | $222509.29    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2713                      | CUSIP: 3138WQAP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212907 | PA      | $213068.43    | 0.00%             | 2043-07-01      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91606                      | CUSIP: 3128P7YB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    796723 | PA      | $729926.02    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 366983                      | CUSIP: 36204DUG2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     27316 | PA      | $26615.48     | 0.00%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0324                      | CUSIP: 3140Q7LE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    404616 | PA      | $396324.27    | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03926                      | CUSIP: 3128M5VT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    387350 | PA      | $417444.47    | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889150                      | CUSIP: 31410GZP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77338 | PA      | $81601.48     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60081                      | CUSIP: 31335ACS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33506 | PA      | $32520.89     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890246                      | CUSIP: 31410LBP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223596 | PA      | $230157.92    | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05733                      | CUSIP: 3128M7V29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31935 | PA      | $33160.58     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7828                      | CUSIP: 36179WVV7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27189276 | PA      | $24647233.38  | 0.15%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2874                      | CUSIP: 3140X6FQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136442 | PA      | $123811.82    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4977                        | CUSIP: 36202FQ66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    648927 | PA      | $635870.30    | 0.00%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08271                      | CUSIP: 3128MJJR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    284504 | PA      | $312500.31    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8113                      | CUSIP: 3132DWAN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  89360678 | PA      | $73880486.15  | 0.46%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08515                      | CUSIP: 3128MJSD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181524 | PA      | $164127.44    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7533                      | CUSIP: 36179WLN6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  43901365 | PA      | $37262205.15  | 0.23%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08499                      | CUSIP: 3128MJRV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64511 | PA      | $58326.32     | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1683                      | CUSIP: 3140X42R6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    805111 | PA      | $760144.28    | 0.00%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0007                      | CUSIP: 31419AAH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158381 | PA      | $168149.22    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5194                      | CUSIP: 36179TXX8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    975386 | PA      | $978741.07    | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8078                      | CUSIP: 3132D56P2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18543717 | PA      | $16240766.92  | 0.10%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV3616                      | CUSIP: 3138XFAS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    412797 | PA      | $396318.23    | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7467                      | CUSIP: 3140XBJM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10065783 | PA      | $9054514.08   | 0.06%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4483                      | CUSIP: 31417A6V6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    242410 | PA      | $228326.26    | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13746                      | CUSIP: 3128MCL37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6458 | PA      | $6477.75      | 0.00%             | 2025-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08521                      | CUSIP: 3128MJSK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    427602 | PA      | $386627.39    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4469                      | CUSIP: 31418R6F3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       698 | PA      | $702.23       | 0.00%             | 2040-05-01      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08766                      | CUSIP: 3128MJZ86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    929641 | PA      | $866718.30    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08563                      | CUSIP: 3128MJTV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    488689 | PA      | $474543.13    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18628                      | CUSIP: 3128MMVW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1295426 | PA      | $1193171.13   | 0.01%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745398                      | CUSIP: 31403DDB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    616148 | PA      | $665903.65    | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3745                      | CUSIP: 31418DET5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3146134 | PA      | $2921440.70   | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BA2882                      | CUSIP: 3140E7FY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    762576 | PA      | $729262.39    | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4772                      | CUSIP: 3140X8JS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2888592 | PA      | $2883578.72   | 0.02%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03565                      | CUSIP: 31292K6A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    230617 | PA      | $225340.81    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3286                      | CUSIP: 3140J7UL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1001575 | PA      | $981041.75    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7409                      | CUSIP: 3140XBGT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11266399 | PA      | $9638789.77   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2641                      | CUSIP: 31418B5B8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    873890 | PA      | $789655.90    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08623                      | CUSIP: 3128MJVR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3063186 | PA      | $2872629.21   | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4585                      | CUSIP: 36179TCW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1315315 | PA      | $1209457.35   | 0.01%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2962                      | CUSIP: 36179RJF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2773452 | PA      | $2717770.13   | 0.02%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC5998                      | CUSIP: 3140F1UY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1138264 | PA      | $1028657.04   | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08750                      | CUSIP: 3128MJZQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4849313 | PA      | $4367062.33   | 0.03%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8063                      | CUSIP: 3132DV5Y7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1982911 | PA      | $1836804.62   | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08849                      | CUSIP: 3128MJ5K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    718254 | PA      | $720341.84    | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2828                      | CUSIP: 36179RD97<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    763475 | PA      | $764985.32    | 0.00%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE7731                      | CUSIP: 31419JSV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    433655 | PA      | $434665.53    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7545                      | CUSIP: 3138WHL34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    244448 | PA      | $228503.21    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90993                      | CUSIP: 3128P7C68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28317 | PA      | $27323.44     | 0.00%             | 2026-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0238                      | CUSIP: 3138EGHQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46332 | PA      | $45660.32     | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17969                      | CUSIP: 3128PX2A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209314 | PA      | $197141.60    | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH9055                      | CUSIP: 3138ABBZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1199036 | PA      | $1192699.77   | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1849                      | CUSIP: 3140X5BT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58182 | PA      | $56642.93     | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7931                      | CUSIP: 3133KPY44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3796072 | PA      | $3702021.67   | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16400                      | CUSIP: 3128PWDD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141506 | PA      | $136956.90    | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 428124                      | CUSIP: 36207CSM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     61974 | PA      | $64284.42     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3188                      | CUSIP: 31418CRJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3232426 | PA      | $3071542.01   | 0.02%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3873                      | CUSIP: 36179SJS7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19882951 | PA      | $18327092.17  | 0.11%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8665                      | CUSIP: 3132A9TW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42404 | PA      | $40219.18     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1208                      | CUSIP: 31418AKW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1744128 | PA      | $1577058.83   | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4089                      | CUSIP: 31417ARK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    107498 | PA      | $101812.45    | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87880                      | CUSIP: 312934XH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45360 | PA      | $45716.69     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08852                      | CUSIP: 3128MJ5N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1069669 | PA      | $1028177.60   | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4451                      | CUSIP: 36179S5L7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7401674 | PA      | $6909216.01   | 0.04%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI9873                      | CUSIP: 3138AP6K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    335501 | PA      | $319786.07    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8199                      | CUSIP: 36179XDC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10386715 | PA      | $9638431.14   | 0.06%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0361                      | CUSIP: 3140XFMK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11665625 | PA      | $10054496.27  | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08687                      | CUSIP: 3128MJXR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    740370 | PA      | $694319.92    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254846                      | CUSIP: 31371LBP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7193 | PA      | $7128.66      | 0.00%             | 2023-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18424                      | CUSIP: 3128MMPJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    267596 | PA      | $252017.20    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8896                      | CUSIP: 31417F3E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    226286 | PA      | $205852.74    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ5890                      | CUSIP: 3138AXRL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70350 | PA      | $68675.84     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z50018                      | CUSIP: 3132FEAT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19523 | PA      | $18893.29     | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2304                      | CUSIP: 36179QRZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1438213 | PA      | $1409311.44   | 0.01%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7666                      | CUSIP: 3138EQQU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171449 | PA      | $159195.88    | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1407                      | CUSIP: 3138ASR53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    820205 | PA      | $800738.03    | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2975                      | CUSIP: 3138LTJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    640621 | PA      | $614731.87    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BA4803                      | CUSIP: 3140E9KR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    724709 | PA      | $690699.30    | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4029                      | CUSIP: 3140QPPP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5343477 | PA      | $5203771.04   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1475                      | CUSIP: 31416WT93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    113572 | PA      | $113837.22    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5081                        | CUSIP: 36202FUE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    241781 | PA      | $236912.07    | 0.00%             | 2041-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3371                      | CUSIP: 3140X6W98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32732 | PA      | $32634.59     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6166                      | CUSIP: 31418TZ83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1478 | PA      | $1473.06      | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5063                      | CUSIP: 3138XUTV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    447758 | PA      | $435206.00    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK5021                      | CUSIP: 3131X8SJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70478 | PA      | $68417.82     | 0.00%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7135                      | CUSIP: 36179V4U1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  61176243 | PA      | $52176128.31  | 0.33%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A39735                      | CUSIP: 31297VY85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14878 | PA      | $15337.70     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7766                      | CUSIP: 36179WTX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  47367734 | PA      | $40197845.65  | 0.25%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3467                      | CUSIP: 3138WCZ97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    559017 | PA      | $543357.49    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1158                      | CUSIP: 36179NJB5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    241167 | PA      | $236313.88    | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18614                      | CUSIP: 3128MMVG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2348612 | PA      | $2200246.39   | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888566                      | CUSIP: 31410GFF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    396950 | PA      | $417170.22    | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4018                      | CUSIP: 31418DPC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20502532 | PA      | $16952762.92  | 0.11%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BX8557                      | CUSIP: 3617QDQJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    132091 | PA      | $113226.43    | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3692                      | CUSIP: 31418DC67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1063386 | PA      | $987406.79    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782623                      | CUSIP: 36241K4G0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    213915 | PA      | $207052.33    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4731                      | CUSIP: 31418EHH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4370894 | PA      | $4003988.23   | 0.03%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP3478                      | CUSIP: 3140KA2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6465874 | PA      | $5333616.82   | 0.03%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889633                      | CUSIP: 31410KLN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     71798 | PA      | $75450.99     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2015                      | CUSIP: 3138WPGZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294844 | PA      | $268244.04    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08758                      | CUSIP: 3128MJZY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    727996 | PA      | $700829.08    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4279                      | CUSIP: 3138X3XH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    693731 | PA      | $631148.23    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2860                      | CUSIP: 3138EKFA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    739380 | PA      | $675906.43    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ3905                      | CUSIP: 3140H5KT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    652408 | PA      | $608818.84    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A94604                      | CUSIP: 312943DH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176785 | PA      | $172782.80    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5138                      | CUSIP: 36179TV77<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3643038 | PA      | $3626090.87   | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1677                      | CUSIP: 3140X42K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1052209 | PA      | $1049083.37   | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738419                      | CUSIP: 3620ASK81<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    312188 | PA      | $318389.94    | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91431                      | CUSIP: 312939SU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29099 | PA      | $29938.95     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8066                      | CUSIP: 3132D56B3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2325839 | PA      | $2037063.35   | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08174                      | CUSIP: 3128MJFQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30148 | PA      | $31121.86     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4328                      | CUSIP: 31418DY22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14607723 | PA      | $12792783.59  | 0.08%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6819                      | CUSIP: 3138EPSH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77026 | PA      | $75370.63     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8745                      | CUSIP: 3138ETWF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    555386 | PA      | $554077.50    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2474                      | CUSIP: 31418BXC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    260969 | PA      | $249573.86    | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9429                      | CUSIP: 3140XDPP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1945024 | PA      | $1897721.05   | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR2462                      | CUSIP: 3138NYWY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    748990 | PA      | $681476.45    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7589                      | CUSIP: 36179WNE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  30134434 | PA      | $26512624.28  | 0.17%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9330                      | CUSIP: 3138MRLL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1834328 | PA      | $1716354.87   | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8960                      | CUSIP: 3138ET5W2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148912 | PA      | $147964.73    | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18713                      | CUSIP: 3128MMYK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1702663 | PA      | $1642036.91   | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2149                      | CUSIP: 31418BL79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    381038 | PA      | $365806.94    | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4977                      | CUSIP: 3140QCQ74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1421728 | PA      | $1271460.07   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C92031                      | CUSIP: 3128P8HG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    676743 | PA      | $665945.17    | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7937                      | CUSIP: 31417EZB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    127139 | PA      | $113802.02    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190370                      | CUSIP: 31368HMT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    216742 | PA      | $228365.87    | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08537                      | CUSIP: 3128MJS35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5418295 | PA      | $4924687.39   | 0.03%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6380                      | CUSIP: 3140QECS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    826935 | PA      | $825616.98    | 0.01%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91837                      | CUSIP: 3128P8BE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    477846 | PA      | $440266.82    | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1399                      | CUSIP: 3140XGRV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21994235 | PA      | $19543300.82  | 0.12%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1132                      | CUSIP: 31418AHJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    571703 | PA      | $516923.34    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1592                      | CUSIP: 31418NXW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100338 | PA      | $101071.10    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95085                      | CUSIP: 312943UJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    429113 | PA      | $419296.78    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60238                      | CUSIP: 31335AHP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9457277 | PA      | $8741439.03   | 0.05%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6619                      | CUSIP: 31417DK93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    201957 | PA      | $188985.68    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8642                      | CUSIP: 3132A9S73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12897 | PA      | $12232.47     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3802                      | CUSIP: 31418DGL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7827464 | PA      | $7011517.27   | 0.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4054                      | CUSIP: 3140J8QG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    875956 | PA      | $847796.72    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5260                        | CUSIP: 36202FZZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    412273 | PA      | $430839.82    | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7591                      | CUSIP: 36179WNG9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5151835 | PA      | $4817779.62   | 0.03%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8120                      | CUSIP: 3132DWAV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  34119470 | PA      | $26531177.33  | 0.17%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6137                      | CUSIP: 3138WFZB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    993845 | PA      | $932868.01    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN1628                      | CUSIP: 3140JHY23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62412 | PA      | $61727.28     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91840                      | CUSIP: 3128P8BH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2513374 | PA      | $2315585.18   | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4720                      | CUSIP: 3140X8G68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6367255 | PA      | $5702847.05   | 0.04%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5977                      | CUSIP: 3140JAUB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    552481 | PA      | $499182.94    | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 2B1862                      | CUSIP: 31326GB70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45551 | PA      | $46480.17     | 0.00%             | 2043-11-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3065                      | CUSIP: 3140J7MP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3074567 | PA      | $2866327.21   | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4210                      | CUSIP: 3140X7VC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    805131 | PA      | $789211.36    | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7826                      | CUSIP: 36179WVT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19656801 | PA      | $16692056.54  | 0.10%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 993076                      | CUSIP: 31415YFR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5123 | PA      | $5257.76      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5085                      | CUSIP: 3138EMUK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169639 | PA      | $165877.41    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08278                      | CUSIP: 3128MJJY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6644 | PA      | $6759.42      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4696                        | CUSIP: 36202FGD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    651642 | PA      | $660109.62    | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8199                      | CUSIP: 3132DWDC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4554404 | PA      | $3747458.14   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1500                      | CUSIP: 31416WU26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2678592 | PA      | $2617227.20   | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8008                      | CUSIP: 3132D53R1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6883440 | PA      | $6392843.09   | 0.04%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4794                      | CUSIP: 3140QCKG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1577162 | PA      | $1414910.11   | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08544                      | CUSIP: 3128MJTA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    368621 | PA      | $335040.12    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2703                      | CUSIP: 3138WCAD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    873373 | PA      | $834561.17    | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4944                      | CUSIP: 3140X8P68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1249741 | PA      | $1180559.09   | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3513                      | CUSIP: 3133KJ3W0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2572471 | PA      | $2222595.78   | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91843                      | CUSIP: 3128P8BL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414282 | PA      | $381709.07    | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8511                      | CUSIP: 3138WJN53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6512118 | PA      | $6106201.62   | 0.04%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01649                      | CUSIP: 31292HZN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125472 | PA      | $126906.92    | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995244                      | CUSIP: 31416BS90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24135 | PA      | $23841.30     | 0.00%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A47404                      | CUSIP: 3128K8GM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20666 | PA      | $21042.68     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6598                      | CUSIP: 36179VKK5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18972565 | PA      | $16746099.96  | 0.11%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4069                      | CUSIP: 36179SQW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2028517 | PA      | $1915813.68   | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6 12/20                   | CUSIP: 01F0606C4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11425000 | PA      | $11682062.50  | 0.07%             | 2022-12-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8557                      | CUSIP: 3132A9QJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156188 | PA      | $146860.90    | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3600                      | CUSIP: 36179R7M5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    621412 | PA      | $647809.19    | 0.00%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD8951                      | CUSIP: 3140FG5M7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    208269 | PA      | $188181.56    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08710                      | CUSIP: 3128MJYG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6060326 | PA      | $5470911.98   | 0.03%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8226                      | CUSIP: 3132DWD75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8895504 | PA      | $8153031.37   | 0.05%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7515                      | CUSIP: 3132DVK46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8853168 | PA      | $7971560.50   | 0.05%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6204                      | CUSIP: 3138WF3N4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105910 | PA      | $99403.50     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254982                      | CUSIP: 31371LFX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62536 | PA      | $64104.36     | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A37876                      | CUSIP: 31297TXD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8020 | PA      | $8167.35      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3794                      | CUSIP: 3138X3GC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    415500 | PA      | $392978.63    | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6409                      | CUSIP: 36179VDN7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9333727 | PA      | $8501207.14   | 0.05%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4927                      | CUSIP: 31418SPM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    130979 | PA      | $133547.85    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4723                      | CUSIP: 3132A5G82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    530664 | PA      | $510379.23    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2671                      | CUSIP: 31418B6H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1017490 | PA      | $952699.33    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J10361                      | CUSIP: 3128PPMJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       513 | PA      | $514.68       | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8678                      | CUSIP: 3138WJUC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     86854 | PA      | $81957.70     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3440                      | CUSIP: 3140X6ZE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    972516 | PA      | $855480.73    | 0.01%             | 2037-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0542                      | CUSIP: 3132ACS76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5308221 | PA      | $5137440.78   | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5594                      | CUSIP: 36179UGB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    408194 | PA      | $384213.45    | 0.00%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0699                      | CUSIP: 36179MX47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3002579 | PA      | $2845087.61   | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5280                        | CUSIP: 36202F2M7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3067591 | PA      | $3005848.41   | 0.02%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6515                      | CUSIP: 3138WGGZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    562449 | PA      | $545033.87    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7117                      | CUSIP: 3138EP4B7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    328042 | PA      | $318700.76    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7075                      | CUSIP: 3138EP2H6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166872 | PA      | $156279.38    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03479                      | CUSIP: 31292K2L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    131229 | PA      | $136219.70    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18434                      | CUSIP: 3128MMPU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    409784 | PA      | $385937.92    | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2907                      | CUSIP: 31418CGR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2478018 | PA      | $2387895.53   | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2911                      | CUSIP: 31418CGV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2005345 | PA      | $1764041.36   | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7731                      | CUSIP: 31417ESV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    382842 | PA      | $346245.07    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4290                      | CUSIP: 3138X3XU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    734629 | PA      | $714027.24    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67702                      | CUSIP: 3132XCRX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7528750 | PA      | $7240035.04   | 0.05%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3521                      | CUSIP: 31418C4F8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5736402 | PA      | $5518941.38   | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2302                      | CUSIP: 36179QRX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2610339 | PA      | $2392508.51   | 0.02%             | 2044-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AN3040                      | CUSIP: 36185SLV9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     75473 | PA      | $73358.51     | 0.00%             | 2045-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91417                      | CUSIP: 3128P7SE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1166994 | PA      | $1131131.38   | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01317                      | CUSIP: 31283HPA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3894 | PA      | $4162.27      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9392                      | CUSIP: 3140GYNJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2865596 | PA      | $2674796.44   | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01418                      | CUSIP: 31292HSF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    541891 | PA      | $580948.23    | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5520                      | CUSIP: 3140JAD21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5722752 | PA      | $5365741.34   | 0.03%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7790                      | CUSIP: 3133KPUP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3202191 | PA      | $3188759.22   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4442                      | CUSIP: 31418D5C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2115751 | PA      | $1903450.59   | 0.01%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3121                      | CUSIP: 3140XJPF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3729929 | PA      | $3652719.19   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02744                      | CUSIP: 3128M4LZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43832 | PA      | $45402.74     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4106                      | CUSIP: 31418DR46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    545011 | PA      | $477315.91    | 0.00%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4697                        | CUSIP: 36202FGE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    927208 | PA      | $966976.54    | 0.01%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726414                      | CUSIP: 3620ADAP7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     82752 | PA      | $83966.04     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6042                      | CUSIP: 36179UWB4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    774564 | PA      | $768171.51    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6397                      | CUSIP: 3138WGDB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    132680 | PA      | $124549.18    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7890                      | CUSIP: 3138WHXU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    391735 | PA      | $352664.01    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4963                      | CUSIP: 36179TQQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2551537 | PA      | $2496443.34   | 0.02%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 741372                      | CUSIP: 3620AVT51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     29801 | PA      | $30240.49     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD3986                      | CUSIP: 3140FBNC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1517462 | PA      | $1420363.59   | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 12/22                   | CUSIP: 01F0406C6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  31045000 | PA      | $29376331.25  | 0.18%             | 2022-12-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7649                      | CUSIP: 36179WQA9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5013890 | PA      | $4406528.05   | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4999                      | CUSIP: 3138WERV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     98431 | PA      | $92315.72     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5560                      | CUSIP: 3140X9FA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    107336 | PA      | $106034.07    | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6521                      | CUSIP: 3140XAG71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3979554 | PA      | $3610244.93   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6784                      | CUSIP: 3138EBRE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    801260 | PA      | $754702.74    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6819                      | CUSIP: 36179VSG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  43664141 | PA      | $38539092.95  | 0.24%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX2566                      | CUSIP: 3138Y3Z87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    822376 | PA      | $770401.59    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8007                      | CUSIP: 3132DV3Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169298 | PA      | $164917.21    | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY3407                      | CUSIP: 3138YGYD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19647 | PA      | $18447.16     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8221                      | CUSIP: 3132DWD26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10249296 | PA      | $9394435.77   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745418                      | CUSIP: 31403DDX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2137940 | PA      | $2246717.76   | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08558                      | CUSIP: 3128MJTQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1737105 | PA      | $1686824.75   | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03520                      | CUSIP: 31292K4D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    515990 | PA      | $504160.68    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5540                      | CUSIP: 3138LWEN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100915 | PA      | $91251.05     | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09015                      | CUSIP: 31292SAQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2560131 | PA      | $2314894.86   | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14924                      | CUSIP: 3128PUPH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       575 | PA      | $574.11       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5312                        | CUSIP: 36202F3V6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    184440 | PA      | $170642.20    | 0.00%             | 2042-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7549                      | CUSIP: 3132DVL60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7502920 | PA      | $6287031.68   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13187                      | CUSIP: 3128MBXQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $21.45        | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2970                      | CUSIP: 3138LTJQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1113894 | PA      | $1007261.35   | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5115                      | CUSIP: 3140J9VH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    361365 | PA      | $354157.53    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783718                      | CUSIP: 3622A2DX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    709502 | PA      | $679654.65    | 0.00%             | 2042-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03696                      | CUSIP: 3128M5NM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2063616 | PA      | $2128293.83   | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4026                      | CUSIP: 31418DPL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2949174 | PA      | $2817177.32   | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1064                      | CUSIP: 36179NFD5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    378878 | PA      | $353469.46    | 0.00%             | 2028-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4636                        | CUSIP: 36202FEH5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1929110 | PA      | $1997633.62   | 0.01%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1204                      | CUSIP: 31418AKS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    444980 | PA      | $416421.82    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4902                      | CUSIP: 36179TNT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    509176 | PA      | $506805.81    | 0.00%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3916                      | CUSIP: 3140QPK63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4877364 | PA      | $4753524.08   | 0.03%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95084                      | CUSIP: 312943UH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36547 | PA      | $35711.41     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02746                      | CUSIP: 31294MBP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    287676 | PA      | $277961.82    | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4511                      | CUSIP: 36179TAL9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6685971 | PA      | $6541565.25   | 0.04%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4214                      | CUSIP: 3133KKVF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4915166 | PA      | $4080057.32   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2 12/22                   | CUSIP: 21H0206C4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9250000 | PA      | $7848046.88   | 0.05%             | 2022-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08698                      | CUSIP: 3128MJX47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2975309 | PA      | $2783194.53   | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08635                      | CUSIP: 3128MJV56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1421494 | PA      | $1287211.40   | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18692                      | CUSIP: 3128MMXW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2337130 | PA      | $2253849.06   | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J36173                      | CUSIP: 31307S2E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    122924 | PA      | $114806.59    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3903                      | CUSIP: 3138WDKR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    288564 | PA      | $280526.52    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0752                      | CUSIP: 3138W9ZS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1020134 | PA      | $976218.86    | 0.01%             | 2028-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4713                        | CUSIP: 36202FGW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    570914 | PA      | $578337.51    | 0.00%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783217                      | CUSIP: 36241LSE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    237103 | PA      | $245918.71    | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01953                      | CUSIP: 3128LXE22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29165 | PA      | $29104.88     | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3979                      | CUSIP: 36179SM46<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    216556 | PA      | $204507.51    | 0.00%             | 2031-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2549                      | CUSIP: 3140X5ZP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1685680 | PA      | $1592917.77   | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7510                      | CUSIP: 3132DVKX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6998878 | PA      | $6264952.63   | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4415                      | CUSIP: 31418D3Z3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11904609 | PA      | $10564418.11  | 0.07%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3865                      | CUSIP: 31418DJK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1647384 | PA      | $1558129.80   | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5066                      | CUSIP: 3133KYTX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    873291 | PA      | $768656.85    | 0.00%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01840                      | CUSIP: 31292JBH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1459960 | PA      | $1478779.43   | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2406                      | CUSIP: 31329KU77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223359 | PA      | $205968.64    | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5806                      | CUSIP: 3140X9NY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7239277 | PA      | $6573835.92   | 0.04%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3774                      | CUSIP: 31418DFQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17844289 | PA      | $15983807.44  | 0.10%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4599                      | CUSIP: 31418EDD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  51586702 | PA      | $45690574.25  | 0.29%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0303                      | CUSIP: 3138W9KR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1717030 | PA      | $1562094.97   | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 12/22                   | CUSIP: 01F0306C7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18065000 | PA      | $15984703.25  | 0.10%             | 2022-12-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09025                      | CUSIP: 31294UA29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1336541 | PA      | $1262505.61   | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5022                      | CUSIP: 3133KYSK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    411628 | PA      | $371984.37    | 0.00%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735061                      | CUSIP: 31402QTS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195710 | PA      | $205064.75    | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5529                      | CUSIP: 36179UEA6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1213284 | PA      | $1203665.70   | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4346                      | CUSIP: 3140QPZL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6330584 | PA      | $6288182.43   | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3869                      | CUSIP: 3140X7JP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2846269 | PA      | $2693603.09   | 0.02%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3385                      | CUSIP: 31418CXP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6754187 | PA      | $6671640.59   | 0.04%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01391                      | CUSIP: 31283HRL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1622 | PA      | $1714.66      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3037                      | CUSIP: 31418CLT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1423040 | PA      | $1402771.38   | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2773                      | CUSIP: 31418CCK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3912204 | PA      | $3682363.62   | 0.02%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7590                      | CUSIP: 36179WNF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22941990 | PA      | $20801224.35  | 0.13%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0527                      | CUSIP: 3138EGSR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63054 | PA      | $64775.51     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07277                      | CUSIP: 3128M9M25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191598 | PA      | $196003.53    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4646                      | CUSIP: 3132A5ET8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1693736 | PA      | $1532186.64   | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04772                      | CUSIP: 3128M6T57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14730 | PA      | $14855.14     | 0.00%             | 2038-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995051                      | CUSIP: 31416BL89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    400076 | PA      | $425143.97    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67716                      | CUSIP: 3132XCSD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3836632 | PA      | $3819322.43   | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5651                      | CUSIP: 36179UH47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7374749 | PA      | $7176944.98   | 0.05%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ2953                      | CUSIP: 3138YUH79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    892101 | PA      | $853161.93    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6997                      | CUSIP: 3140XAX31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9694828 | PA      | $8141671.96   | 0.05%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH7507                      | CUSIP: 3138A9KV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    340272 | PA      | $330705.16    | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3107                        | CUSIP: 36202DNY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     26409 | PA      | $28123.74     | 0.00%             | 2031-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8483                      | CUSIP: 3138WJM96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3857762 | PA      | $3485498.68   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4323                      | CUSIP: 36179SYU5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    654227 | PA      | $633887.34    | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190399                      | CUSIP: 31368HNQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1914204 | PA      | $1970092.95   | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06766                      | CUSIP: 3128M8Z72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1152845 | PA      | $1192506.18   | 0.01%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL4338                      | CUSIP: 3138ELZC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    350358 | PA      | $340857.28    | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7474                      | CUSIP: 36179WJT6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4516079 | PA      | $4238782.38   | 0.03%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7556                      | CUSIP: 3132A8MD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7003104 | PA      | $6693849.08   | 0.04%             | 2031-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18312                      | CUSIP: 3128MMK28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101824 | PA      | $100723.39    | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3522                      | CUSIP: 36179R4F3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2961662 | PA      | $2902219.52   | 0.02%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18716                      | CUSIP: 3128MMYN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1319342 | PA      | $1272373.74   | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6613                      | CUSIP: 3138EPK37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8317237 | PA      | $7858027.69   | 0.05%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06493                      | CUSIP: 3128M8RN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29649 | PA      | $30665.75     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15027                      | CUSIP: 3128MDYY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49378 | PA      | $48662.87     | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7580                      | CUSIP: 3140XBM64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9368406 | PA      | $8735106.58   | 0.05%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18518                      | CUSIP: 3128MMSG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    306975 | PA      | $294430.59    | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5203                        | CUSIP: 36202FX84<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    937661 | PA      | $918798.41    | 0.01%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783418                      | CUSIP: 36241LYP5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    563829 | PA      | $574349.57    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0943                      | CUSIP: 3138A2BM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    829913 | PA      | $786649.79    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3961                      | CUSIP: 31418DMK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3579200 | PA      | $3315626.65   | 0.02%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q50109                      | CUSIP: 3132XSDP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    298762 | PA      | $278582.51    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6014                      | CUSIP: 3138WFVG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    371073 | PA      | $351659.28    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701857                      | CUSIP: 36296UWS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    182133 | PA      | $184808.29    | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4853                        | CUSIP: 36202FMA1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1199049 | PA      | $1196197.84   | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5258                        | CUSIP: 36202FZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2946772 | PA      | $2798152.19   | 0.02%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J21208                      | CUSIP: 31306YKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    121700 | PA      | $113496.33    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0073                      | CUSIP: 36179MCJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    133016 | PA      | $124587.55    | 0.00%             | 2027-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6763                      | CUSIP: 3138WGQR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    625530 | PA      | $585714.98    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS2789                      | CUSIP: 3132A3C24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    875898 | PA      | $897495.39    | 0.01%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60344                      | CUSIP: 31335ALZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3514892 | PA      | $3411554.50   | 0.02%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3860                      | CUSIP: 3138WDJE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    298003 | PA      | $277623.60    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8074                      | CUSIP: 3140XB6L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1453672 | PA      | $1302037.91   | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0874                      | CUSIP: 3132DM6K6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4221582 | PA      | $4123339.88   | 0.03%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5763                      | CUSIP: 36179UML3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    876975 | PA      | $853468.26    | 0.01%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0981                      | CUSIP: 31419BCT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13588659 | PA      | $12892351.99  | 0.08%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8001                      | CUSIP: 3132DV3J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3886364 | PA      | $3608552.01   | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0304                      | CUSIP: 3140EUKS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    249606 | PA      | $233718.89    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8460                      | CUSIP: 3140QGMJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4478321 | PA      | $3843078.65   | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4004                      | CUSIP: 36179SNV5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2525397 | PA      | $2385039.80   | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4384                      | CUSIP: 31418D2S0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4865173 | PA      | $4499601.18   | 0.03%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2816                      | CUSIP: 3138EKDW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35510 | PA      | $36558.91     | 0.00%             | 2042-10-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4883                        | CUSIP: 36202FM86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    494116 | PA      | $500545.81    | 0.00%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q52184                      | CUSIP: 3132XUNA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    675178 | PA      | $629641.98    | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR3915                      | CUSIP: 3138W1K55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149982 | PA      | $136436.40    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2910                      | CUSIP: 3140X6GU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1060195 | PA      | $1090420.35   | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1442                      | CUSIP: 3140EVS81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1486035 | PA      | $1391547.53   | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6423                      | CUSIP: 3140QED58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1444790 | PA      | $1298660.39   | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92241                      | CUSIP: 312940P29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90872 | PA      | $94554.76     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18320                      | CUSIP: 3128MMLA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    134019 | PA      | $132572.42    | 0.00%             | 2024-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01725                      | CUSIP: 31292H4J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189119 | PA      | $191283.10    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E04360                      | CUSIP: 31294NZZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30421 | PA      | $28248.40     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8267                      | CUSIP: 36179XFG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  43830736 | PA      | $41827000.49  | 0.26%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4233                      | CUSIP: 31418DV33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4532424 | PA      | $3989285.86   | 0.03%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2006                      | CUSIP: 3140J6GQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3156132 | PA      | $3037998.93   | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 893511                      | CUSIP: 31410PVC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11056 | PA      | $11786.05     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4577                      | CUSIP: 31418ECP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2927974 | PA      | $2408958.87   | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5055                      | CUSIP: 3138XUTM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    518797 | PA      | $481912.60    | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7534                      | CUSIP: 36179WLP1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26185508 | PA      | $23021978.76  | 0.14%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2656                      | CUSIP: 3140XH5S2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6500017 | PA      | $6339267.98   | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1083                      | CUSIP: 31418AFZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    649139 | PA      | $597480.18    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1675                      | CUSIP: 3140X42H8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1220401 | PA      | $1092853.68   | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08666                      | CUSIP: 3128MJW48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4695828 | PA      | $4252144.79   | 0.03%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745347                      | CUSIP: 31403DBQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157534 | PA      | $167355.41    | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3088                      | CUSIP: 31418CNE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4509967 | PA      | $4346015.06   | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2608                      | CUSIP: 3138EJ3S5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47573 | PA      | $44944.36     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5205                        | CUSIP: 36202FYA8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     39586 | PA      | $41281.46     | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5329                      | CUSIP: 36179T4N2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    147932 | PA      | $139234.81    | 0.00%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7521                      | CUSIP: 3132DVLA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8710642 | PA      | $7578924.03   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1171                      | CUSIP: 3140EVJR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165776 | PA      | $155224.48    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03551                      | CUSIP: 3128M5H45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    572509 | PA      | $615226.37    | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93784                      | CUSIP: 312942FZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205682 | PA      | $201388.77    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2901                      | CUSIP: 3140X6GK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8398354 | PA      | $8128039.96   | 0.05%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1680                      | CUSIP: 3132AD2M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1192052 | PA      | $1188913.15   | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 695208                      | CUSIP: 31400RKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35523 | PA      | $39164.96     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 845425                      | CUSIP: 31408AHA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3504 | PA      | $3490.25      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1159                      | CUSIP: 3140X4JD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4725731 | PA      | $4646254.42   | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1659                      | CUSIP: 3138X0ZZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1401799 | PA      | $1301685.42   | 0.01%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3413                      | CUSIP: 3140X6YK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3731010 | PA      | $3596136.62   | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7495                      | CUSIP: 3138WHKH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254377 | PA      | $238546.76    | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1614                      | CUSIP: 31416WYL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1244632 | PA      | $1179685.61   | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7051                      | CUSIP: 36179VZQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  49656721 | PA      | $42150928.73  | 0.26%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9171                      | CUSIP: 31417GFM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231651 | PA      | $215090.44    | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08728                      | CUSIP: 3128MJY20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    832412 | PA      | $803547.76    | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 724275                      | CUSIP: 3620AAT81<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    293610 | PA      | $305128.78    | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9209                      | CUSIP: 3140XDGT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2701994 | PA      | $2420371.21   | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889109                      | CUSIP: 31410GYE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $2.57         | 0.00%             | 2023-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6038                      | CUSIP: 36179UV74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5814207 | PA      | $5251640.67   | 0.03%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8020                      | CUSIP: 3132D54D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2281142 | PA      | $2118375.41   | 0.01%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97294                      | CUSIP: 312946C79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    584210 | PA      | $571866.79    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4547                      | CUSIP: 31418EBR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  33181957 | PA      | $27303388.26  | 0.17%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08726                      | CUSIP: 3128MJYY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1162028 | PA      | $1049010.89   | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09031                      | CUSIP: 31292SA83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1132292 | PA      | $1007036.92   | 0.01%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2548                      | CUSIP: 3140QMZN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1646846 | PA      | $1412418.13   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4049                      | CUSIP: 31418DQB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2691356 | PA      | $2493223.01   | 0.02%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9424                      | CUSIP: 3138ERPJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3091113 | PA      | $2909754.90   | 0.02%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13072                      | CUSIP: 3128MBT56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        67 | PA      | $65.07        | 0.00%             | 2023-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ5486                      | CUSIP: 3140KRCY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10686588 | PA      | $8836232.02   | 0.06%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2054                      | CUSIP: 3140QMH80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254608 | PA      | $211529.96    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7472                      | CUSIP: 36179WJR0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  43831921 | PA      | $38564402.11  | 0.24%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q61378                      | CUSIP: 3132VMQ81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20083 | PA      | $18634.87     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2136                      | CUSIP: 31418BLS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1026043 | PA      | $955987.39    | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH9708                      | CUSIP: 3138ABYE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     98215 | PA      | $97695.38     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2303                      | CUSIP: 36179QRY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3360823 | PA      | $3184603.10   | 0.02%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4468                      | CUSIP: 31418D6E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3283603 | PA      | $3017708.84   | 0.02%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5163                      | CUSIP: 3133KYWY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8773548 | PA      | $7888894.38   | 0.05%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254198                      | CUSIP: 31371KKK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3054 | PA      | $3094.64      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7532                      | CUSIP: 36179WLM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1208102 | PA      | $985351.90    | 0.01%             | 2051-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8204                      | CUSIP: 3132DWDH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8408472 | PA      | $6918557.63   | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723552                      | CUSIP: 3620A9ZR5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     17776 | PA      | $18046.24     | 0.00%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 779239                      | CUSIP: 36176XPY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    133333 | PA      | $124485.96    | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82907                       | CUSIP: 36225FGR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      7122 | PA      | $6880.00      | 0.00%             | 2041-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4826                      | CUSIP: 3140QQLG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3217583 | PA      | $3047697.08   | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3764                      | CUSIP: 31418DFE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5572808 | PA      | $5175401.91   | 0.03%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60194                      | CUSIP: 31335AGB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1619776 | PA      | $1494236.18   | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2976                      | CUSIP: 3138LTJW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1368172 | PA      | $1294167.43   | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03490                      | CUSIP: 31292K2X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    440574 | PA      | $441599.73    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3074                      | CUSIP: 31418CMY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    787366 | PA      | $766529.26    | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4625                      | CUSIP: 31418ED72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  44484291 | PA      | $40772931.42  | 0.26%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9774                      | CUSIP: 3140XD2G0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  38963253 | PA      | $33393693.30  | 0.21%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91714                      | CUSIP: 3128P73X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1491915 | PA      | $1366768.09   | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3563                      | CUSIP: 3133KJ5Y4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1446266 | PA      | $1206759.94   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9667                      | CUSIP: 3138ERW55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87283 | PA      | $82040.99     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7312                      | CUSIP: 36179WDR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  59577836 | PA      | $52496045.21  | 0.33%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4499                      | CUSIP: 3140X77M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2649610 | PA      | $2511177.79   | 0.02%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5330                      | CUSIP: 36179T4P7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12790897 | PA      | $12406706.73  | 0.08%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6045                      | CUSIP: 3140X9WF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    729026 | PA      | $662247.62    | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2482                      | CUSIP: 3138EJXL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52020 | PA      | $51801.46     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60641                      | CUSIP: 31335AWA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    273742 | PA      | $282920.45    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9980                      | CUSIP: 3138WLCS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59627 | PA      | $57991.15     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08117                      | CUSIP: 3128MJDX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214063 | PA      | $228192.94    | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0936                      | CUSIP: 3138A2BE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    941093 | PA      | $881171.00    | 0.01%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0040                      | CUSIP: 3138EGBJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26766 | PA      | $26570.95     | 0.00%             | 2041-03-01      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4721                      | CUSIP: 36179TG66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1258317 | PA      | $1252462.77   | 0.01%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3596                      | CUSIP: 36179R7H6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14525097 | PA      | $13388336.48  | 0.08%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1539                      | CUSIP: 3140X4V94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    527278 | PA      | $514186.92    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3998                      | CUSIP: 31418DNQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149859 | PA      | $147264.37    | 0.00%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7059                      | CUSIP: 31417DZZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    413544 | PA      | $357941.44    | 0.00%             | 2042-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01469                      | CUSIP: 31283HT21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1590 | PA      | $1705.38      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8099                      | CUSIP: 36179W7L6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10349491 | PA      | $9601430.68   | 0.06%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11220                      | CUSIP: 3132HMK91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    704689 | PA      | $664404.55    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08079                      | CUSIP: 3128MJCR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    127007 | PA      | $129333.49    | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783467                      | CUSIP: 36241LZ82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    169230 | PA      | $163368.72    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4099                      | CUSIP: 31418DRV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5805320 | PA      | $5382734.22   | 0.03%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8255                      | CUSIP: 3132DWE41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5886915 | PA      | $5392791.93   | 0.03%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08255                      | CUSIP: 3128MJH94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231816 | PA      | $240627.95    | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17233                      | CUSIP: 3128PXBA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    771051 | PA      | $730286.72    | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06883                      | CUSIP: 3128M86U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    313895 | PA      | $315622.60    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E04106                      | CUSIP: 31294NR35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89464 | PA      | $82604.33     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1138                      | CUSIP: 31418AHQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1168668 | PA      | $1147896.77   | 0.01%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91558                      | CUSIP: 3128P7WT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138842 | PA      | $134577.12    | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783535                      | CUSIP: 36241L4U7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    137693 | PA      | $133355.74    | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1586                      | CUSIP: 3138WAXQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    763022 | PA      | $753678.98    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82840                       | CUSIP: 36225FEN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       691 | PA      | $677.06       | 0.00%             | 2041-05-20      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6849                      | CUSIP: 31417DTF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167545 | PA      | $153059.48    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784353                      | CUSIP: 3622A2ZS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    827564 | PA      | $798948.19    | 0.01%             | 2046-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4637                        | CUSIP: 36202FEJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1051482 | PA      | $1096609.01   | 0.01%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8245                      | CUSIP: 3132DWES8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24516587 | PA      | $23871976.80  | 0.15%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL4404                      | CUSIP: 3138EL3N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165301 | PA      | $167173.25    | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0665                      | CUSIP: 31417YW37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165471 | PA      | $161529.02    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4378                      | CUSIP: 31418D2L5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  64238738 | PA      | $52994048.93  | 0.33%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4696                      | CUSIP: 3132A5GD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1208959 | PA      | $1047686.80   | 0.01%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3266                      | CUSIP: 3133KJTX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5908161 | PA      | $4875492.73   | 0.03%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4935                      | CUSIP: 36179TPU3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    614179 | PA      | $572496.52    | 0.00%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2373                      | CUSIP: 3140X5T78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    379536 | PA      | $382653.52    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QB4275                      | CUSIP: 3133AAXC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11278714 | PA      | $9323883.76   | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP9736                      | CUSIP: 3138MDZA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    855503 | PA      | $800607.06    | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4446                        | CUSIP: 36202E5F2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1098957 | PA      | $1113241.93   | 0.01%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 757030                      | CUSIP: 36230RY34<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    215235 | PA      | $210571.08    | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5816                      | CUSIP: 36179UN99<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    608871 | PA      | $573124.96    | 0.00%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QB2682                      | CUSIP: 3133A86T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    758892 | PA      | $653052.58    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555743                      | CUSIP: 31385XLY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223294 | PA      | $228888.31    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08835                      | CUSIP: 3128MJ4V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184463 | PA      | $171732.44    | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4397                        | CUSIP: 36202E3E7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    211687 | PA      | $214440.12    | 0.00%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6043                      | CUSIP: 3140X9WD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1426533 | PA      | $1331770.14   | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9394                      | CUSIP: 3138WKNL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    801640 | PA      | $785220.19    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0232                      | CUSIP: 3132DMHH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3102398 | PA      | $2783265.85   | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4133                      | CUSIP: 3140QPSX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4731659 | PA      | $4609302.84   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4515                      | CUSIP: 31418EAR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16927329 | PA      | $14823290.74  | 0.09%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6323                      | CUSIP: 3138WGAZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117189 | PA      | $110383.83    | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91858                      | CUSIP: 3128P8B34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    481819 | PA      | $443955.01    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8193                      | CUSIP: 3132DWC68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6634895 | PA      | $5459406.87   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4599                        | CUSIP: 36202FDC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    405802 | PA      | $423207.52    | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL5247                      | CUSIP: 36184BZL4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    545304 | PA      | $516190.07    | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ5688                      | CUSIP: 3138YXKA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    706883 | PA      | $676037.21    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4616                      | CUSIP: 3140X8DW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6557507 | PA      | $6111836.15   | 0.04%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8147                      | CUSIP: 3132DWBQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32492127 | PA      | $27870713.10  | 0.17%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2138                      | CUSIP: 31418BLU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    857899 | PA      | $816967.37    | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5776                      | CUSIP: 31419GM27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3354 | PA      | $3343.04      | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13166                      | CUSIP: 3128PSQT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1494 | PA      | $1489.11      | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08669                      | CUSIP: 3128MJW71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4220474 | PA      | $4086002.12   | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4536                      | CUSIP: 31418EBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5401415 | PA      | $4865390.44   | 0.03%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V80161                      | CUSIP: 3132L5FA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126004 | PA      | $118931.40    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18707                      | CUSIP: 3128MMYD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1132905 | PA      | $1092525.44   | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2320                      | CUSIP: 31418BSJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1054949 | PA      | $966327.21    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735484                      | CUSIP: 31402RCV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    497334 | PA      | $514881.93    | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5435                      | CUSIP: 3140X9BD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1378115 | PA      | $1375303.10   | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14221                      | CUSIP: 3128MC4E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    358827 | PA      | $356546.96    | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6864                      | CUSIP: 36179VTV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  36633245 | PA      | $31098496.22  | 0.20%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07961                      | CUSIP: 3128MAFA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2235482 | PA      | $2133424.13   | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3984                      | CUSIP: 31418DNA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1117660 | PA      | $1036358.08   | 0.01%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3215                      | CUSIP: 31418CSD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2821818 | PA      | $2724378.17   | 0.02%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9277                      | CUSIP: 3140GYJX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2161060 | PA      | $2013944.20   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890230                      | CUSIP: 31410LA77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    113252 | PA      | $115474.04    | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2222                      | CUSIP: 36179QPF2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    321765 | PA      | $296638.28    | 0.00%             | 2044-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4419                      | CUSIP: 31418D4D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2004769 | PA      | $1854347.12   | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9663                      | CUSIP: 31417GWZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    879711 | PA      | $785357.57    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781908                      | CUSIP: 36241KDM7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     62613 | PA      | $62713.19     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0649                      | CUSIP: 31418MWK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72635 | PA      | $76331.59     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD8529                      | CUSIP: 31418WPP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2179479 | PA      | $2184574.67   | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8246                      | CUSIP: 3138WJEU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1702853 | PA      | $1596632.21   | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V81296                      | CUSIP: 3132L6NM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     91005 | PA      | $86852.32     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2743                      | CUSIP: 3140X6BM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4722392 | PA      | $4479408.69   | 0.03%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4123                      | CUSIP: 31418DSM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3076493 | PA      | $2768118.39   | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07921                      | CUSIP: 3128MAD22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2321266 | PA      | $2202229.35   | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60564                      | CUSIP: 31335ATV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    371809 | PA      | $378418.68    | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3778                      | CUSIP: 36179SFT9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     70571 | PA      | $66645.01     | 0.00%             | 2031-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2782                      | CUSIP: 3138EKCU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    406653 | PA      | $409626.78    | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 711076                      | CUSIP: 36297F6M9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     23831 | PA      | $24181.39     | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18622                      | CUSIP: 3128MMVQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10474598 | PA      | $9812513.47   | 0.06%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08062                      | CUSIP: 3128MJB82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72827 | PA      | $74155.02     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08776                      | CUSIP: 3128MJ2J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    620990 | PA      | $615018.95    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1028                      | CUSIP: 31418AEA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270919 | PA      | $263501.31    | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08800                      | CUSIP: 3128MJ3J7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2899694 | PA      | $2699640.06   | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61006                      | CUSIP: 31335BDK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    333341 | PA      | $323011.06    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7419                      | CUSIP: 36179WG44<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4353746 | PA      | $3927466.87   | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8270                      | CUSIP: 3138WJFL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    942321 | PA      | $818453.01    | 0.01%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4492                      | CUSIP: 31418D7E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  57163253 | PA      | $47155539.48  | 0.30%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0160                      | CUSIP: 3138EGFA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4238639 | PA      | $4235229.57   | 0.03%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3456                      | CUSIP: 36179RZV4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    228260 | PA      | $228713.22    | 0.00%             | 2046-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08477                      | CUSIP: 3128MJQ78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1196075 | PA      | $1127707.30   | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95960                      | CUSIP: 312944TR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162346 | PA      | $158635.21    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97052                      | CUSIP: 312945ZR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145126 | PA      | $150624.91    | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI4815                      | CUSIP: 3138AJK50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    301160 | PA      | $299568.83    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 785098                      | CUSIP: 3622AART3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9044937 | PA      | $8475623.57   | 0.05%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6065                      | CUSIP: 3138WFW36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204799 | PA      | $192240.48    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3154                      | CUSIP: 31418CQG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    818192 | PA      | $764955.08    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745355                      | CUSIP: 31403DBY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    782018 | PA      | $802137.36    | 0.01%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV0634                      | CUSIP: 3138XBV43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    524794 | PA      | $503821.84    | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2281                      | CUSIP: 3138EJRB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     66511 | PA      | $63126.53     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A15852                      | CUSIP: 31296QQD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14583 | PA      | $14714.09     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2677                      | CUSIP: 36179Q6N6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1467276 | PA      | $1355916.24   | 0.01%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14999                      | CUSIP: 3128MDX40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4960 | PA      | $4628.81      | 0.00%             | 2023-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09004                      | CUSIP: 31292SAD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2467572 | PA      | $2326541.60   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6181                      | CUSIP: 3138WF2P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    598687 | PA      | $542649.41    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03478                      | CUSIP: 31292K2K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    446081 | PA      | $447124.78    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH8953                      | CUSIP: 3138AA5P2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16232 | PA      | $16657.31     | 0.00%             | 2041-04-01      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5091                      | CUSIP: 3133KYUQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2566409 | PA      | $2258746.71   | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 942980                      | CUSIP: 31413ECR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1758 | PA      | $1800.93      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0754                      | CUSIP: 3140XFZU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2884048 | PA      | $2599376.28   | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4732                      | CUSIP: 31418EHJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9237684 | PA      | $8743111.33   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9736                      | CUSIP: 3138WKZA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1067332 | PA      | $1061291.05   | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF0481                      | CUSIP: 3133BMRA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5580045 | PA      | $5634751.54   | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2 12/22                   | CUSIP: 01F0206C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28100000 | PA      | $23116639.22  | 0.14%             | 2022-12-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW4182                      | CUSIP: 3138XTUG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171739 | PA      | $160059.67    | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783449                      | CUSIP: 36241LZN9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14742 | PA      | $15298.88     | 0.00%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1275                      | CUSIP: 31418AMZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3116390 | PA      | $2868369.74   | 0.02%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725866                      | CUSIP: 31402DMP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108051 | PA      | $107896.48    | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6153                      | CUSIP: 3140X9ZT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3663298 | PA      | $3275363.27   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3245                      | CUSIP: 36179RTA7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1072585 | PA      | $1051053.42   | 0.01%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2523                      | CUSIP: 31418BYV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4851684 | PA      | $4566907.37   | 0.03%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3448                      | CUSIP: 3140X6ZN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    762742 | PA      | $755761.82    | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5257                      | CUSIP: 3133KLZW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8166665 | PA      | $6735760.11   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J39295                      | CUSIP: 31307WKG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104187 | PA      | $100476.88    | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91768                      | CUSIP: 3128P76D0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1059925 | PA      | $1029771.86   | 0.01%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX1644                      | CUSIP: 3138Y2ZJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179713 | PA      | $167428.45    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV7157                      | CUSIP: 3138XJ5T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165853 | PA      | $158512.26    | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2696                      | CUSIP: 3138EJ7J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25572 | PA      | $26521.47     | 0.00%             | 2042-02-01      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 3.5 12/22                 | CUSIP: 21H0326C9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15425000 | PA      | $14306687.50  | 0.09%             | 2022-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0392                      | CUSIP: 31419ANJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    567987 | PA      | $585256.30    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08793                      | CUSIP: 3128MJ3B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4863448 | PA      | $4682167.42   | 0.03%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745342                      | CUSIP: 31403DBK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    571781 | PA      | $605958.53    | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4617                        | CUSIP: 36202FDW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4130054 | PA      | $4183780.53   | 0.03%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH2671                      | CUSIP: 3140GQ6H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1031644 | PA      | $962483.75    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257043                      | CUSIP: 31371NP41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    632975 | PA      | $675425.40    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 545993                      | CUSIP: 31385JRN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    353768 | PA      | $377135.29    | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08323                      | CUSIP: 3128MJLD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    335537 | PA      | $340677.18    | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2895                      | CUSIP: 31418CGD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8031841 | PA      | $7257125.14   | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18514                      | CUSIP: 3128MMSC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1416515 | PA      | $1358650.27   | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01453                      | CUSIP: 31283HTJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11215 | PA      | $12022.92     | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995245                      | CUSIP: 31416BTA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1303341 | PA      | $1323639.91   | 0.01%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7908                      | CUSIP: 3138WHYE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2267836 | PA      | $2048995.27   | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00680                      | CUSIP: 31292GXH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7695 | PA      | $7683.20      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ2763                      | CUSIP: 3140H4B94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1136503 | PA      | $1124014.55   | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1171                      | CUSIP: 3140XGJR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23924994 | PA      | $21216858.94  | 0.13%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4521                      | CUSIP: 31418EAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1273559 | PA      | $1118182.28   | 0.01%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD9110                      | CUSIP: 36180NDP7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    493916 | PA      | $438829.00    | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6283                      | CUSIP: 36179U6U1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21707412 | PA      | $19771937.63  | 0.12%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5931                      | CUSIP: 36179USU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6575250 | PA      | $6349809.19   | 0.04%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08659                      | CUSIP: 3128MJWV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    925594 | PA      | $868007.30    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2908                      | CUSIP: 3140X6GS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1147236 | PA      | $1174398.73   | 0.01%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V83156                      | CUSIP: 3132L8QH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    490600 | PA      | $480935.99    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784703                      | CUSIP: 3622AADG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1693214 | PA      | $1612727.76   | 0.01%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5605                      | CUSIP: 3140X9GP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12064656 | PA      | $10735840.30  | 0.07%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08827                      | CUSIP: 3128MJ4M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2442123 | PA      | $2412947.85   | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR8561                      | CUSIP: 3138W6QP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    869279 | PA      | $823298.92    | 0.01%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18669                      | CUSIP: 3128MMW74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2911052 | PA      | $2702679.23   | 0.02%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737269                      | CUSIP: 3620ARCE9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     88140 | PA      | $86255.28     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV2326                      | CUSIP: 3138XDSQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    607900 | PA      | $586537.58    | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4978                        | CUSIP: 36202FQ74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3006796 | PA      | $3045931.10   | 0.02%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3389                      | CUSIP: 31418CXT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2352021 | PA      | $2290978.24   | 0.01%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4173                      | CUSIP: 3138WDT76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87027 | PA      | $82417.15     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC9083                      | CUSIP: 3140F5CV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5915215 | PA      | $5344449.53   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3907                      | CUSIP: 3138WDKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2643462 | PA      | $2569352.19   | 0.02%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1799                      | CUSIP: 3132AD7L6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    456816 | PA      | $439789.19    | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745275                      | CUSIP: 31403C6L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1569817 | PA      | $1614073.60   | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18660                      | CUSIP: 3128MMWW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    560872 | PA      | $543948.14    | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4900                      | CUSIP: 36179TNR2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17581586 | PA      | $16577858.34  | 0.10%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW2025                      | CUSIP: 3140MTHB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    940924 | PA      | $870936.70    | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8137                      | CUSIP: 3132D6BE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11555915 | PA      | $10395690.78  | 0.07%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08010                      | CUSIP: 3128MJAL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120260 | PA      | $121811.33    | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06021                      | CUSIP: 3128M8AW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254249 | PA      | $258649.39    | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7586                      | CUSIP: 3138WHNC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    426240 | PA      | $385171.97    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01605                      | CUSIP: 31292HYA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9189 | PA      | $9175.43      | 0.00%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA7720                      | CUSIP: 31416RSJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    381828 | PA      | $370265.57    | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2125                      | CUSIP: 31418BLF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    290007 | PA      | $270167.37    | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4364                      | CUSIP: 31418DZ62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17643814 | PA      | $15141220.72  | 0.09%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725423                      | CUSIP: 31402C4G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1071143 | PA      | $1117701.07   | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4073                      | CUSIP: 3140QBQ35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35314 | PA      | $31623.93     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08036                      | CUSIP: 3128MJBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    494818 | PA      | $530072.60    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD1699                      | CUSIP: 36180C3G2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    234361 | PA      | $212998.92    | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9221                      | CUSIP: 3140QHG74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    793214 | PA      | $658600.32    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1205                      | CUSIP: 3132DNKS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14738238 | PA      | $13094736.02  | 0.08%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08587                      | CUSIP: 3128MJUM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105488 | PA      | $104469.56    | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08761                      | CUSIP: 3128MJZ37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1897238 | PA      | $1768878.34   | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD8536                      | CUSIP: 31418WPW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    233894 | PA      | $242759.07    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8011                      | CUSIP: 3132DV3U7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4365224 | PA      | $4053305.09   | 0.03%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5270                      | CUSIP: 3133KL2B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2593174 | PA      | $2313562.35   | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97620                      | CUSIP: 312946PD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    847547 | PA      | $850531.16    | 0.01%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J10549                      | CUSIP: 3128PPTE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2654 | PA      | $2662.66      | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2.5 12/22                 | CUSIP: 21H0226C0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15725000 | PA      | $13779031.25  | 0.09%             | 2022-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14198                      | CUSIP: 3128PTUX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    250862 | PA      | $242770.66    | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08341                      | CUSIP: 3128MJLX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115679 | PA      | $117451.20    | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6649                      | CUSIP: 31417DL76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    154127 | PA      | $145604.81    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698392                      | CUSIP: 36296Q2Z1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    238866 | PA      | $233280.65    | 0.00%             | 2039-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782818                      | CUSIP: 36241LDX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    316768 | PA      | $321422.26    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3927                      | CUSIP: 3140X7LH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2995332 | PA      | $2720945.73   | 0.02%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3147                      | CUSIP: 31418CP99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2232906 | PA      | $2012832.03   | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5037                      | CUSIP: 3133KYS26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1566106 | PA      | $1378473.88   | 0.01%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0548                      | CUSIP: 31419ATE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51923 | PA      | $52044.42     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4256                      | CUSIP: 31418DWS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22728979 | PA      | $19497932.23  | 0.12%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91912                      | CUSIP: 3128P8DR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4854880 | PA      | $4472618.20   | 0.03%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9419                      | CUSIP: 3138EEPD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120196 | PA      | $116477.97    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2870                      | CUSIP: 3140X6FL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15672006 | PA      | $14106071.83  | 0.09%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3358                      | CUSIP: 31418CWU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1123628 | PA      | $1111289.33   | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5199                        | CUSIP: 36202FX43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    114678 | PA      | $112793.22    | 0.00%             | 2026-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2259                      | CUSIP: 3140X5QM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    554579 | PA      | $541247.67    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06193                      | CUSIP: 3128M8GA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21394 | PA      | $21764.64     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698386                      | CUSIP: 36296Q2T5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     81888 | PA      | $81328.60     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5468                      | CUSIP: 31417CCE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    480327 | PA      | $449570.17    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7854                      | CUSIP: 3132A8WP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149340 | PA      | $145232.05    | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07661                      | CUSIP: 3128M9Z21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    355125 | PA      | $321719.52    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1513                      | CUSIP: 3140XGVF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1922752 | PA      | $1641097.21   | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0939                      | CUSIP: 3138EHBH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177068 | PA      | $178454.11    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7648                      | CUSIP: 36179WP93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29123015 | PA      | $24717366.78  | 0.16%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14785                      | CUSIP: 3128PUJ60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    309562 | PA      | $309234.07    | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6202                      | CUSIP: 3138WF3L8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    775038 | PA      | $727512.51    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9381                      | CUSIP: 3132AAM68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    562538 | PA      | $554736.11    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX9585                      | CUSIP: 3138YBUK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    384054 | PA      | $360638.49    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5266                      | CUSIP: 36179TZ73<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1846215 | PA      | $1852562.79   | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2281                      | CUSIP: 3140QMRB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2033785 | PA      | $1685085.50   | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ7821                      | CUSIP: 3140E0VP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    372567 | PA      | $349707.89    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3416                      | CUSIP: 31418CYN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4401428 | PA      | $4357136.03   | 0.03%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4675                      | CUSIP: 3132A5FQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1544900 | PA      | $1339119.11   | 0.01%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU6739                      | CUSIP: 3138X6PZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    381581 | PA      | $359549.46    | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60460                      | CUSIP: 31335AQM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120703 | PA      | $124703.42    | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08583                      | CUSIP: 3128MJUH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246094 | PA      | $243724.81    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05149                      | CUSIP: 3128M7BS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2871 | PA      | $2840.37      | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8093                      | CUSIP: 3132D57E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10690224 | PA      | $9617638.69   | 0.06%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4531                      | CUSIP: 3140X8A98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    822098 | PA      | $735744.30    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4133                      | CUSIP: 3138LUSX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    604456 | PA      | $580000.56    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5468                      | CUSIP: 36179UCD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1025103 | PA      | $1047470.15   | 0.01%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8324                      | CUSIP: 3140XCHA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4684697 | PA      | $4334933.31   | 0.03%             | 2036-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4356                      | CUSIP: 31418DZW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  67679708 | PA      | $58048303.45  | 0.36%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4706                      | CUSIP: 3132A5GP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1476594 | PA      | $1328419.59   | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA5897                      | CUSIP: 36178DRS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    625939 | PA      | $564363.30    | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5202                        | CUSIP: 36202FX76<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1447789 | PA      | $1374802.87   | 0.01%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4197                      | CUSIP: 3140J8UX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    497329 | PA      | $452553.92    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC4764                      | CUSIP: 3140F0JJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    522810 | PA      | $472411.71    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3599                      | CUSIP: 36179R7L7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    423706 | PA      | $424541.35    | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16933                      | CUSIP: 3128PWV21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    672066 | PA      | $636522.84    | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737271                      | CUSIP: 3620ARCG4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     43272 | PA      | $43641.17     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1580                      | CUSIP: 3140XGXJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5845370 | PA      | $5809946.47   | 0.04%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7479                      | CUSIP: 3140XBJZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1753821 | PA      | $1727001.42   | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4540                        | CUSIP: 36202FBH8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     99000 | PA      | $100285.75    | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3775                      | CUSIP: 31418DFR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1408959 | PA      | $1308284.60   | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08002                      | CUSIP: 3128MJAC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    649100 | PA      | $657492.87    | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3812                      | CUSIP: 3140X7GW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1837673 | PA      | $1729203.89   | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5423                      | CUSIP: 3140QDAZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1423584 | PA      | $1274218.59   | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5528                      | CUSIP: 36179UD90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3737326 | PA      | $3625027.69   | 0.02%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4439                      | CUSIP: 3140X74Z9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14916440 | PA      | $13479891.24  | 0.08%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6031                      | CUSIP: 3138ENVZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1784175 | PA      | $1746109.40   | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7501                      | CUSIP: 3132DVKN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9190887 | PA      | $8886640.99   | 0.06%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1224                      | CUSIP: 36179NLD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2542902 | PA      | $2409517.53   | 0.02%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67705                      | CUSIP: 3132XCR23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14853525 | PA      | $14419779.48  | 0.09%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3664                      | CUSIP: 3140X7CA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17577613 | PA      | $16892702.94  | 0.11%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3392                      | CUSIP: 3138WCXW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    331483 | PA      | $314151.26    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9828                      | CUSIP: 3132AA4M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3581727 | PA      | $3212979.63   | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0355                      | CUSIP: 3132CWMC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    990405 | PA      | $957623.28    | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18605                      | CUSIP: 3128MMU76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1613441 | PA      | $1536339.35   | 0.01%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3743                      | CUSIP: 3140J8ER0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1162174 | PA      | $1126119.16   | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9405                      | CUSIP: 3138ERNX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1384625 | PA      | $1312385.40   | 0.01%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 357705                      | CUSIP: 31376KKS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169792 | PA      | $177608.03    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08752                      | CUSIP: 3128MJZS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2482114 | PA      | $2389558.75   | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7227                      | CUSIP: 3140XBA59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1612571 | PA      | $1554705.44   | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8502                      | CUSIP: 3132D6NT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3752463 | PA      | $3403839.46   | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7505                      | CUSIP: 3138EQKT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    813700 | PA      | $795354.11    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15208                      | CUSIP: 3128MEAH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    324694 | PA      | $308230.57    | 0.00%             | 2029-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7620                      | CUSIP: 3138EQPE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1003060 | PA      | $916182.99    | 0.01%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1290                      | CUSIP: 3132DNNF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4796820 | PA      | $4662934.12   | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91395                      | CUSIP: 312939RQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16766 | PA      | $17404.05     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7137                      | CUSIP: 36179V4W7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4733692 | PA      | $4283531.73   | 0.03%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 724273                      | CUSIP: 3620AAT65<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    109309 | PA      | $114360.59    | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5137                      | CUSIP: 3133KYV63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1478975 | PA      | $1184786.01   | 0.01%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1237                      | CUSIP: 31418ALT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    555975 | PA      | $511740.09    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4045                      | CUSIP: 31418DP71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  36069453 | PA      | $30691612.98  | 0.19%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM8782                      | CUSIP: 3131Y3XK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    436639 | PA      | $427640.23    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS0873                      | CUSIP: 3132A06J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39004 | PA      | $39663.12     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2007                      | CUSIP: 3140J6GR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1365467 | PA      | $1313730.70   | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254981                      | CUSIP: 31371LFW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2659 | PA      | $2875.15      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ1502                      | CUSIP: 3138YSU46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3865 | PA      | $3695.24      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4413                      | CUSIP: 3140J83X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2849534 | PA      | $2790933.44   | 0.02%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737424                      | CUSIP: 3620ARG96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    159203 | PA      | $152364.70    | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8106                      | CUSIP: 3132D6AF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15838970 | PA      | $13871565.52  | 0.09%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5166                      | CUSIP: 3140X8W45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7473887 | PA      | $6693976.14   | 0.04%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01848                      | CUSIP: 31292JBR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    258724 | PA      | $270834.04    | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785016                      | CUSIP: 3622AAN91<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1345598 | PA      | $1302516.86   | 0.01%             | 2034-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5300                        | CUSIP: 36202F3H7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    293072 | PA      | $274487.72    | 0.00%             | 2027-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4129                      | CUSIP: 3140QPST5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3720545 | PA      | $3639543.43   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3849                      | CUSIP: 36179SH26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    388678 | PA      | $357107.61    | 0.00%             | 2031-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT1896                      | CUSIP: 3138WPDA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21193 | PA      | $21098.73     | 0.00%             | 2041-12-01      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725773                      | CUSIP: 31402DJS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25293 | PA      | $26387.19     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783406                      | CUSIP: 36241LYB6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     61057 | PA      | $63376.45     | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782979                      | CUSIP: 36241LJY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     81438 | PA      | $84449.21     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3049                      | CUSIP: 31419DL74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54381 | PA      | $54507.70     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 745230                      | CUSIP: 3620C04P0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    165951 | PA      | $157813.87    | 0.00%             | 2040-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1476                      | CUSIP: 3140XGUA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6932056 | PA      | $6139469.30   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 955770                      | CUSIP: 31413UJP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59564 | PA      | $63551.19     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1368                      | CUSIP: 3140Q8QW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1718739 | PA      | $1663528.84   | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3181                      | CUSIP: 31418CRB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    929398 | PA      | $897366.34    | 0.01%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4778                      | CUSIP: 36179TJX4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5028123 | PA      | $4741176.25   | 0.03%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8424                      | CUSIP: 3140XCLE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2559455 | PA      | $2644300.75   | 0.02%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0062                      | CUSIP: 3140Q7B89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    210611 | PA      | $202335.05    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82980                       | CUSIP: 36225FJ26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      5967 | PA      | $5880.32      | 0.00%             | 2041-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5890                      | CUSIP: 3140X9RL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5259690 | PA      | $4946206.84   | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5574                      | CUSIP: 3138A7FQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1058143 | PA      | $1033676.52   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6528                      | CUSIP: 3138WGHE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    696502 | PA      | $674964.86    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ7689                      | CUSIP: 3138E0RK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2175655 | PA      | $2123904.53   | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1416                      | CUSIP: 3138ASSE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1099601 | PA      | $1093788.71   | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6328                      | CUSIP: 3138WGA61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8519725 | PA      | $7997198.73   | 0.05%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06566                      | CUSIP: 3128M8TX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115106 | PA      | $122972.83    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8141                      | CUSIP: 3132DWBJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9179175 | PA      | $7873578.03   | 0.05%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0777                      | CUSIP: 3140XF2K6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17677197 | PA      | $15972417.32  | 0.10%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1578                      | CUSIP: 3140X4XG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2991207 | PA      | $2887550.92   | 0.02%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97217                      | CUSIP: 312946AS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    924134 | PA      | $927356.31    | 0.01%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18475                      | CUSIP: 3128MMQ55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1105007 | PA      | $1043798.18   | 0.01%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08767                      | CUSIP: 3128MJZ94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2363306 | PA      | $2275163.38   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK5282                      | CUSIP: 3140HJ2Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    114440 | PA      | $110092.61    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1448                      | CUSIP: 36179NTD0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    593466 | PA      | $562327.14    | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8341                      | CUSIP: 3140XCHT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5892864 | PA      | $5621474.99   | 0.04%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8000                      | CUSIP: 3132D53H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1089548 | PA      | $1030672.87   | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5816                      | CUSIP: 3138WFPA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    347789 | PA      | $326147.45    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0392                      | CUSIP: 36179MNH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3843321 | PA      | $3641568.26   | 0.02%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723234                      | CUSIP: 3620A9PT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    304529 | PA      | $309012.43    | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5332                        | CUSIP: 36202F4R4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    971444 | PA      | $951896.71    | 0.01%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4718                      | CUSIP: 36179TG33<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7520350 | PA      | $6915326.14   | 0.04%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2967                      | CUSIP: 3140X6JM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1598509 | PA      | $1446627.95   | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18691                      | CUSIP: 3128MMXV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    785411 | PA      | $744413.21    | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18601                      | CUSIP: 3128MMU35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1105665 | PA      | $1052769.02   | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8200                      | CUSIP: 3132DWDD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    739481 | PA      | $631608.43    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1149                      | CUSIP: 31416WH39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231339 | PA      | $240139.58    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8057                      | CUSIP: 3132D55S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2097032 | PA      | $1886823.92   | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5594                      | CUSIP: 3140X9GC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160377 | PA      | $150116.96    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8288                      | CUSIP: 3140XCF60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2026478 | PA      | $1898940.94   | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7842                      | CUSIP: 3140XBWC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    486468 | PA      | $456119.32    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4901                      | CUSIP: 36179TNS0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2763626 | PA      | $2703975.63   | 0.02%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0789                      | CUSIP: 3132AC2W9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1561422 | PA      | $1507738.14   | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7279                      | CUSIP: 3132A8CQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2236283 | PA      | $2111038.42   | 0.01%             | 2029-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13082                      | CUSIP: 3128MBUF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $146.20       | 0.00%             | 2023-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8030                      | CUSIP: 3140XB4Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3871694 | PA      | $3640952.55   | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3439                      | CUSIP: 31418CZD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    786454 | PA      | $775192.90    | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4496                      | CUSIP: 31418D7J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15754462 | PA      | $13796066.02  | 0.09%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q26692                      | CUSIP: 3132M7C55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172016 | PA      | $162903.56    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05889                      | CUSIP: 3128M72W5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11578 | PA      | $12018.83     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1593                      | CUSIP: 31418NXX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    530665 | PA      | $531900.97    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4587                      | CUSIP: 36179TCY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3605930 | PA      | $3528087.72   | 0.02%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 748486                      | CUSIP: 3620C4RF9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    485160 | PA      | $474767.15    | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH7009                      | CUSIP: 3138A8YF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55983 | PA      | $55686.89     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6746                      | CUSIP: 3138WGP81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    934792 | PA      | $890935.18    | 0.01%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0859                      | CUSIP: 3140Q75V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    860040 | PA      | $809632.74    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0969                      | CUSIP: 3138A2CF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    600992 | PA      | $600398.04    | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888268                      | CUSIP: 31410FZ99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    429584 | PA      | $457029.01    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2145                      | CUSIP: 31418BL38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2051086 | PA      | $1942250.51   | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2753                      | CUSIP: 36179RBW8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2781857 | PA      | $2570651.43   | 0.02%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0197                      | CUSIP: 3140XFGF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13745459 | PA      | $10689613.69  | 0.07%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4881                        | CUSIP: 36202FM60<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    390713 | PA      | $363229.43    | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0155                      | CUSIP: 36179ME48<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    837367 | PA      | $820513.79    | 0.01%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00876                      | CUSIP: 3132GD6M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    793568 | PA      | $796365.58    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6285                      | CUSIP: 3140X96X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1281061 | PA      | $1112670.01   | 0.01%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7743                      | CUSIP: 3140XBS92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1396735 | PA      | $1338508.90   | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1725                      | CUSIP: 3132DN4J9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2346572 | PA      | $2221618.53   | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QD4857                      | CUSIP: 3133B2ME6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    297196 | PA      | $245241.26    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q51461                      | CUSIP: 3132XTTT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3054905 | PA      | $2848069.18   | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08497                      | CUSIP: 3128MJRT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    374695 | PA      | $338810.94    | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8108                      | CUSIP: 3132D6AH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    826452 | PA      | $764392.02    | 0.00%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4771                        | CUSIP: 36202FJQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1174480 | PA      | $1189743.09   | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91908                      | CUSIP: 3128P8DM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1086030 | PA      | $1000590.49   | 0.01%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3209                      | CUSIP: 31418CR71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    381374 | PA      | $343782.21    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5100                      | CUSIP: 3133KYUZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8998472 | PA      | $7722511.26   | 0.05%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8189                      | CUSIP: 3132DWC27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  71593601 | PA      | $61399316.67  | 0.39%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90918                      | CUSIP: 3128P7AT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7690 | PA      | $7571.89      | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737941                      | CUSIP: 3620ARZE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    153257 | PA      | $144294.73    | 0.00%             | 2026-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3575                      | CUSIP: 3133KJ6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4300103 | PA      | $3547533.56   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723344                      | CUSIP: 3620A9S93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    429723 | PA      | $419661.17    | 0.00%             | 2039-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5453                      | CUSIP: 3140X9BX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    286117 | PA      | $243453.76    | 0.00%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5050                      | CUSIP: 3140X8TG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1328250 | PA      | $1244171.50   | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7040                      | CUSIP: 31417DZE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175055 | PA      | $165365.10    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q04651                      | CUSIP: 3132GKZQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246214 | PA      | $242142.20    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01374                      | CUSIP: 31292HQ31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5707 | PA      | $6179.24      | 0.00%             | 2032-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96312                      | CUSIP: 312945AM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    718795 | PA      | $702364.54    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6217                      | CUSIP: 36179U4A7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8649210 | PA      | $7648251.71   | 0.05%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07025                      | CUSIP: 3128M9D66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    301823 | PA      | $303443.38    | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6012                      | CUSIP: 31417CVE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    267535 | PA      | $241867.14    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6152                      | CUSIP: 3140X9ZS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1120531 | PA      | $998927.10    | 0.01%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7340                      | CUSIP: 36179WEM6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4369456 | PA      | $4033095.27   | 0.03%             | 2036-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B7911                      | CUSIP: 3128UGFB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5219 | PA      | $5320.27      | 0.00%             | 2040-12-01      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8233                      | CUSIP: 3132DWEE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16303633 | PA      | $16237697.44  | 0.10%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 605098                      | CUSIP: 36200NGF2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14794 | PA      | $15345.20     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08519                      | CUSIP: 3128MJSH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264405 | PA      | $235137.04    | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5281                        | CUSIP: 36202F2N5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    100388 | PA      | $103822.43    | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4160                      | CUSIP: 31418DTS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6815219 | PA      | $6091801.82   | 0.04%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08672                      | CUSIP: 3128MJXA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1155320 | PA      | $1118466.47   | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4121                      | CUSIP: 31418DSK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12779555 | PA      | $11423519.20  | 0.07%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3.5 12/22                 | CUSIP: 01F0326C3<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -3240000 | PA      | $-2967637.50  | -0.02%            | 2022-12-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1706                      | CUSIP: 3132DN3P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3090841 | PA      | $3089414.79   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5290                      | CUSIP: 3140X82Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7923403 | PA      | $7029107.59   | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8772                      | CUSIP: 3138ETXA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    297222 | PA      | $268154.42    | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8277                      | CUSIP: 3132DWFS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5457272 | PA      | $5524542.70   | 0.03%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q02113                      | CUSIP: 3132GFK22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10820 | PA      | $10591.15     | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

**Name of Applicant:** VANGUARD SCOTTSDALE FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer