# EDGAR Filing Document

**Accession Number:** 0001066602
**File Stem:** 0001752724-23-038639
**Filing Date:** 2023-2
**Character Count:** 428113
**Document Hash:** 4ab48d3d4124141501d29e12c175b621
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-038639.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-038639

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Voya FUNDS TRUST
- **CENTRAL INDEX KEY:** 0001066602
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08895
- **FILM NUMBER:** 23664683

**BUSINESS ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258
- **BUSINESS PHONE:** 800-992-0180

**MAIL ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING FUNDS TRUST
- **DATE OF NAME CHANGE:** 20020205

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PILGRIM FUNDS TRUST
- **DATE OF NAME CHANGE:** 20010312

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING FUNDS TRUST
- **DATE OF NAME CHANGE:** 19980721

## Series and Classes Contracts Data

### Voya GNMA Income Fund (Series ID: S000008394)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000023002 | Class A      | LEXNX           |
| C000023004 | Class C      | LEGNX           |
| C000023005 | Class I      | LEINX           |
| C000057275 | Class W      | IGMWX           |
| C000122009 | Class R6     | VGMBX           |
| C000219637 | Class P      | VGMPX           |

## Nport-Ex

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: 54.0%** | **COLLATERALIZED MORTGAGE OBLIGATIONS: 54.0%** | **COLLATERALIZED MORTGAGE OBLIGATIONS: 54.0%** |  |
| 1949927 | Fannie Mae 2004-28 PZ, 6.000%, 05/25/2034 | $&nbsp;&nbsp;&nbsp;&nbsp;2033320 | 0.2 |
| 1885839 | Fannie Mae 2004-88 ZC, 6.500%, 12/25/2034 | 2005173 | 0.2 |
| 5221642 | Fannie Mae 2005-17 B, 6.500%, (US0001M + 6.500%), 03/25/2035 | 5624497 | 0.5 |
| 1377536 | Fannie Mae 2005-43 PZ, 6.000%, 05/25/2035 | 1437837 | 0.1 |
| 627349 | Fannie Mae 2007-60 ZB, 4.750%, 05/25/2037 | 615289 | 0.1 |
| 42894<sup>(1)</sup> | Fannie Mae 2010-150 PS, 2.211%, (-1.000\*US0001M + 6.600%), 12/25/2039 | 102 | 0.0 |
| 2624101<sup>(1)</sup> | Fannie Mae 2010-95 SB, 2.211%, (-1.000\*US0001M + 6.600%), 09/25/2040 | 175559 | 0.0 |
| 6227176 | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | 6093590 | 0.5 |
| 4755521<sup>(1)</sup> | Fannie Mae 2012-148 HI, 3.500%, 05/25/2042 | 543668 | 0.0 |
| 9910388<sup>(1)</sup> | Fannie Mae 2012-148 IM, 3.000%, 01/25/2028 | 476674 | 0.0 |
| 149211<sup>(2)</sup> | Fannie Mae REMIC Trust 2002-W1 3A, 3.421%, 04/25/2042 | 138767 | 0.0 |
| 730233<sup>(2)</sup> | Fannie Mae REMIC Trust 2002-W6 3A, 4.013%, 01/25/2042 | 685335 | 0.1 |
| 791717 | Fannie Mae REMIC Trust 2003-16 CX, 6.500%, 03/25/2033 | 822364 | 0.1 |
| 1927703 | Fannie Mae REMIC Trust 2003-34 LN, 5.000%, 05/25/2033 | 1874180 | 0.2 |
| 82940 | Fannie Mae REMIC Trust 2004-61 SH, 6.442%, (-3.998\*US0001M + 23.988%), 11/25/2032 | 86610 | 0.0 |
| 2297206<sup>(2)</sup> | Fannie Mae REMIC Trust 2004-W11 2A, 3.711%, 03/25/2043 | 2159344 | 0.2 |
| 2053556 | Fannie Mae REMIC Trust 2004-W3 A8, 5.500%, 05/25/2034 | 2043933 | 0.2 |
| 284240<sup>(1)</sup> | Fannie Mae REMIC Trust 2005-17 ES, 2.361%, (-1.000\*US0001M + 6.750%), 03/25/2035 | 8537 | 0.0 |
| 265068 | Fannie Mae REMIC Trust 2005-59 NQ, 5.903%, (-2.500\*US0001M + 16.875%), 05/25/2035 | 267233 | 0.0 |
| 416369 | Fannie Mae REMIC Trust 2005-88 ZC, 5.000%, 10/25/2035 | 413843 | 0.0 |
| 84359 | Fannie Mae REMIC Trust 2006-115 ES, 9.005%, (-4.000\*US0001M + 26.560%), 12/25/2036 | 96676 | 0.0 |
| 586362<sup>(1)</sup> | Fannie Mae REMIC Trust 2006-36 SP, 2.311%, (-1.000\*US0001M + 6.700%), 05/25/2036 | 35434 | 0.0 |
| 2253795<sup>(1)</sup> | Fannie Mae REMIC Trust 2006-79 SH, 2.061%, (-1.000\*US0001M + 6.450%), 08/25/2036 | 209092 | 0.0 |
| 127195<sup>(2)</sup> | Fannie Mae REMIC Trust 2009-12 LK, 13.220%, 03/25/2039 | 141016 | 0.0 |
| 1861549 | Fannie Mae REMIC Trust 2009-66 XA, 5.500%, 12/25/2035 | 1910731 | 0.2 |
| 4562276 | Fannie Mae REMIC Trust 2010-2 LC, 5.000%, 02/25/2040 | 4556338 | 0.4 |
| 1183917 | Fannie Mae REMIC Trust 2011-30 ZA, 5.000%, 04/25/2041 | 1163568 | 0.1 |
| 3211226<sup>(1)</sup> | Fannie Mae REMIC Trust 2012-128 VS, 1.861%, (-1.000\*US0001M + 6.250%), 06/25/2042 | 164226 | 0.0 |
| 1673387<sup>(1)</sup> | Fannie Mae REMIC Trust 2012-142 BI, 3.000%, 11/25/2027 | 60545 | 0.0 |
| 1625805<sup>(1)</sup> | Fannie Mae REMIC Trust 2012-154 PI, 4.000%, 05/25/2042 | 211244 | 0.0 |
| 1333332<sup>(1)</sup> | Fannie Mae REMIC Trust 2012-68 SD, 2.311%, (-1.000\*US0001M + 6.700%), 06/25/2032 | 84500 | 0.0 |
| 3457000 | Fannie Mae REMIC Trust 2012-97 PC, 3.500%, 09/25/2042 | 2971038 | 0.2 |
| 552663<sup>(1)</sup> | Fannie Mae REMIC Trust 2013-13 PI, 3.500%, 04/25/2042 | 46054 | 0.0 |
| 1309422<sup>(1)</sup> | Fannie Mae REMIC Trust 2013-54 ID, 3.000%, 01/25/2033 | 91031 | 0.0 |
| 354624 | Fannie Mae REMICS 2005-122 SE, 7.740%, (-3.500\*US0001M + 23.100%), 11/25/2035 | 364071 | 0.0 |
| 2342932<sup>(1)</sup> | Fannie Mae REMICS 2005-17 SA, 2.311%, (-1.000\*US0001M + 6.700%), 03/25/2035 | 217983 | 0.0 |
| 324419 | Fannie Mae REMICS 2005-75 GS, 7.084%, (-3.000\*US0001M + 20.250%), 08/25/2035 | 359351 | 0.0 |
| 2910<sup>(3)</sup> | Fannie Mae REMICS 2006-44 P, 0.000%, 12/25/2033 | 2381 | 0.0 |
| 4836311<sup>(1)</sup> | Fannie Mae REMICS 2006-8 HL, 2.311%, (-1.000\*US0001M + 6.700%), 03/25/2036 | 421269 | 0.0 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 580446 | Fannie Mae REMICS 2007-1 NR, 14.146%, (-7.600\*US0001M + 47.500%), 02/25/2037 | $922699 | 0.1 |
| 6331384<sup>(1)</sup> | Fannie Mae REMICS 2010-147 LS, 2.061%, (-1.000\*US0001M + 6.450%), 01/25/2041 | 710517 | 0.1 |
| 1014519 | Fannie Mae REMICS 2010-26 F, 5.159%, (US0001M + 0.770%), 11/25/2036 | 1013415 | 0.1 |
| 984011 | Fannie Mae REMICS 2010-39 FN, 5.219%, (US0001M + 0.830%), 05/25/2040 | 981589 | 0.1 |
| 746329 | Fannie Mae REMICS 2010-80 PZ, 5.000%, 07/25/2040 | 745153 | 0.1 |
| 1000000 | Fannie Mae REMICS 2010-87 PL, 4.000%, 06/25/2040 | 955221 | 0.1 |
| 1082945 | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | 1077829 | 0.1 |
| 750000 | Fannie Mae REMICS 2011-105 MB, 4.000%, 10/25/2041 | 670050 | 0.1 |
| 2007175<sup>(1)</sup> | Fannie Mae REMICS 2012-137 EI, 3.000%, 12/25/2027 | 86092 | 0.0 |
| 1962223 | Fannie Mae REMICS 2012-148 KH, 3.000%, 03/25/2042 | 1834393 | 0.2 |
| 4513688 | Fannie Mae REMICS 2012-17 QZ, 4.000%, 03/25/2042 | 4293191 | 0.4 |
| 2659541 | Fannie Mae REMICS 2012-27 EZ, 4.250%, 03/25/2042 | 2530163 | 0.2 |
| 2500000 | Fannie Mae REMICS 2012-40 MY, 3.500%, 04/25/2042 | 2230733 | 0.2 |
| 769495 | Fannie Mae REMICS 2013-125 AZ, 4.000%, 11/25/2039 | 653667 | 0.1 |
| 1287380<sup>(3)</sup> | Fannie Mae REMICS 2013-135 PO, 0.000%, 01/25/2044 | 955619 | 0.1 |
| 2430015<sup>(1)</sup> | Fannie Mae REMICS 2013-25 BI, 3.000%, 03/25/2033 | 183682 | 0.0 |
| 1332612 | Fannie Mae REMICS 2013-55 VZ, 3.000%, 06/25/2043 | 1192629 | 0.1 |
| 1848626<sup>(1)</sup> | Fannie Mae REMICS 2013-62 AI, 3.000%, 06/25/2033 | 164166 | 0.0 |
| 1401927 | Fannie Mae REMICS 2015-22 DY, 3.000%, 04/25/2045 | 1077810 | 0.1 |
| 1332475 | Fannie Mae REMICS 2015-26 UZ, 3.000%, 05/25/2045 | 1017334 | 0.1 |
| 711932 | Fannie Mae REMICS 2015-68 JW, 3.500%, 09/25/2030 | 661046 | 0.1 |
| 2630000 | Fannie Mae REMICS 2016-103 PB, 3.000%, 01/25/2047 | 2229797 | 0.2 |
| 4711631<sup>(1)</sup> | Fannie Mae REMICS 2016-4 DS, 1.711%, (-1.000\*US0001M + 6.100%), 02/25/2046 | 518851 | 0.0 |
| 4283554 | Fannie Mae REMICS 2016-64 LD, 3.500%, 09/25/2046 | 3815203 | 0.3 |
| 5408345 | Fannie Mae REMICS 2017-22 DZ, 4.000%, 04/25/2047 | 4986846 | 0.4 |
| 7510000 | Fannie Mae REMICS 2018-16 TV, 3.000%, 05/25/2041 | 6611151 | 0.5 |
| 443764 | Fannie Mae REMICS 2018-25 AL, 3.500%, 04/25/2048 | 385872 | 0.0 |
| 540382 | Fannie Mae REMICS 2018-37 DZ, 4.000%, 06/25/2048 | 499869 | 0.0 |
| 6644326<sup>(1)</sup> | Fannie Mae REMICS 2019-49 IG, 3.000%, 03/25/2033 | 500959 | 0.0 |
| 1654891 | Fannie Mae REMICS 2019-6 GZ, 4.000%, 03/25/2059 | 1456314 | 0.1 |
| 4369913<sup>(1)</sup> | Fannie Mae REMICS 2020-44 TI, 5.500%, 12/25/2035 | 702028 | 0.1 |
| 2774872 | Fannie Mae Series 2016-51 S, 1.531%, (-1.000\*US0001M + 5.920%), 10/25/2043 | 2437778 | 0.2 |
| 1403418<sup>(2)</sup> | Fannie Mae Trust 2004-W2 3A, 3.355%, 02/25/2044 | 1346420 | 0.1 |
| 1176862<sup>(2)</sup> | Fannie Mae Trust 2004-W2 4A, 3.491%, 02/25/2044 | 1134477 | 0.1 |
| 2343010 | Freddie Mac 3770 GA, 4.500%, 10/15/2040 | 2295695 | 0.2 |
| 1640961 | Freddie Mac REMIC Trust 2005-S001 2A2, 4.539%, (US0001M + 0.150%), 09/25/2045 | 1529371 | 0.1 |
| 300857 | Freddie Mac REMIC Trust 2653 SC, 4.740%, (-0.500\*US0001M + 6.800%), 07/15/2033 | 291643 | 0.0 |
| 662752 | Freddie Mac REMIC Trust 2767 ZW, 6.000%, 03/15/2034 | 687187 | 0.1 |
| 72022 | Freddie Mac REMIC Trust 3012 ST, 6.416%, (-3.600\*US0001M + 21.960%), 04/15/2035 | 72770 | 0.0 |
| 210863 | Freddie Mac REMIC Trust 3065 DC, 6.906%, (-3.000\*US0001M + 19.860%), 03/15/2035 | 213078 | 0.0 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 290352 | Freddie Mac REMIC Trust 3158 NE, 5.500%, 05/15/2036 | $296508 | 0.0 |
| 2708332<sup>(1)</sup> | Freddie Mac REMIC Trust 3181 TA, 0.500%, (-0.794\*US0001M + 5.635%), 07/15/2036 | 48215 | 0.0 |
| 182648<sup>(1)</sup> | Freddie Mac REMIC Trust 3507 IA, 5.500%, 09/15/2035 | 22696 | 0.0 |
| 252355 | Freddie Mac REMIC Trust 3864 NT, 5.500%, (-9.167\*US0001M + 60.500%), 03/15/2039 | 247069 | 0.0 |
| 1187738 | Freddie Mac REMIC Trust 3888 ZG, 4.000%, 07/15/2041 | 1118166 | 0.1 |
| 6716141<sup>(1)</sup> | Freddie Mac REMIC Trust 4176 IA, 2.500%, 03/15/2028 | 288483 | 0.0 |
| 120734<sup>(3)</sup> | Freddie Mac REMICS 2974 KO, 0.000%, 05/15/2035 | 95351 | 0.0 |
| 3747788 | Freddie Mac REMICS 3196 ZK, 6.500%, 04/15/2032 | 4040738 | 0.3 |
| 1111911 | Freddie Mac REMICS 3658 CZ, 5.000%, 04/15/2040 | 1114232 | 0.1 |
| 4459224<sup>(1)</sup> | Freddie Mac REMICS 3960 SG, 1.682%, (-1.000\*US0001M + 6.000%), 11/15/2041 | 419534 | 0.0 |
| 5075000 | Freddie Mac REMICS 4059 DY, 3.500%, 06/15/2042 | 4727830 | 0.4 |
| 1342836 | Freddie Mac REMICS 4097 ZA, 3.500%, 08/15/2042 | 1243894 | 0.1 |
| 4058181 | Freddie Mac REMICS 4136 ZG, 3.000%, 11/15/2042 | 3611656 | 0.3 |
| 9557150 | Freddie Mac REMICS 4159 LZ, 3.500%, 01/15/2043 | 8758408 | 0.7 |
| 1871677 | Freddie Mac REMICS 4249 CS, 1.560%, (-0.750\*US0001M + 4.650%), 09/15/2043 | 1352357 | 0.1 |
| 2856693 | Freddie Mac REMICS 4274 US, 1.532%, (-1.000\*US0001M + 5.850%), 10/15/2035 | 2297825 | 0.2 |
| 10522990 | Freddie Mac REMICS 4367 MZ, 4.000%, 07/15/2044 | 9992859 | 0.8 |
| 2646901 | Freddie Mac REMICS 4372 Z, 3.000%, 08/15/2044 | 2331598 | 0.2 |
| 7933477<sup>(1)</sup> | Freddie Mac REMICS 4438 AS, 1.882%, (-1.000\*US0001M + 6.200%), 02/15/2045 | 720362 | 0.1 |
| 6118871 | Freddie Mac REMICS 4480 ZX, 4.000%, 11/15/2044 | 5813119 | 0.5 |
| 4103433 | Freddie Mac REMICS 4631 CZ, 3.500%, 11/15/2046 | 3774960 | 0.3 |
| 2545377 | Freddie Mac REMICS 4818 GZ, 4.000%, 08/15/2048 | 2395534 | 0.2 |
| 2597868 | Freddie Mac REMICS 5000 DC, 2.500%, 03/25/2040 | 2215805 | 0.2 |
| 1437014 | Freddie Mac Series 4040 UZ, 5.000%, 05/15/2042 | 1415772 | 0.1 |
| 1019106<sup>(2)</sup> | Freddie Mac Structured Pass-Through Certificates T-54 2A, 3.745%, 07/25/2033 | 949416 | 0.1 |
| 547096<sup>(2)</sup> | Freddie Mac Structured Pass-Through Certificates T-54 4A, 3.777%, 02/25/2043 | 500801 | 0.0 |
| 5364895 | Freddie Mac Whole Loan Securities Trust 2017-SC02 1A2, 3.000%, 05/25/2047 | 4898450 | 0.4 |
| 12794<sup>(1)</sup> | Freddie Mac-Ginnie Mae Series 21 SA, 3.611%, (-1.000\*US0001M + 8.000%), 10/25/2023 | 132 | 0.0 |
| 666604 | Ginnie Mae 2004-65 ZG, 5.500%, 07/20/2034 | 676642 | 0.1 |
| 6212737 | Ginnie Mae 2009-110 ZA, 5.500%, 11/16/2039 | 6334688 | 0.5 |
| 863966 | Ginnie Mae 2009-32 QZ, 5.500%, 05/16/2039 | 882194 | 0.1 |
| 696796 | Ginnie Mae 2009-32 YZ, 7.000%, 05/16/2039 | 749445 | 0.1 |
| 4361319 | Ginnie Mae 2009-50 MZ, 6.000%, 07/16/2039 | 4497481 | 0.4 |
| 342432 | Ginnie Mae 2009-54 HZ, 5.000%, 07/20/2039 | 342654 | 0.0 |
| 1195865 | Ginnie Mae 2009-79 PZ, 6.000%, 09/20/2039 | 1293966 | 0.1 |
| 632995 | Ginnie Mae 2009-H01 FA, 5.503%, (US0001M + 1.150%), 11/20/2059 | 632789 | 0.1 |
| 2000000 | Ginnie Mae 2010-116 PB, 5.000%, 06/16/2040 | 2021869 | 0.2 |
| 2429136 | Ginnie Mae 2010-125 BZ, 4.500%, 09/16/2040 | 2406246 | 0.2 |
| 2256954<sup>(3)</sup> | Ginnie Mae 2011-70 PO, 0.000%, 05/16/2041 | 1705701 | 0.1 |
| 1883202<sup>(1)</sup> | Ginnie Mae 2014-107 XS, 1.274%, (-1.000\*US0001M + 5.600%), 07/16/2044 | 137469 | 0.0 |
| 1850316 | Ginnie Mae 2014-149 KL, 4.000%, 10/16/2044 | 1698055 | 0.1 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 931331<sup>(1)</sup> | Ginnie Mae 2014-96 SQ, 1.274%, (-1.000\*US0001M + 5.600%), 07/16/2044 | $68846 | 0.0 |
| 130000 | Ginnie Mae 2015-123 GY, 3.000%, 09/20/2045 | 103651 | 0.0 |
| 5278470 | Ginnie Mae 2015-H13 FG, 4.242%, (US0001M + 0.400%), 04/20/2065 | 5235387 | 0.4 |
| 12975727<sup>(1)</sup> | Ginnie Mae 2016-120 IM, 3.500%, 07/20/2046 | 1549068 | 0.1 |
| 362232<sup>(1)</sup> | Ginnie Mae 2016-84 IO, 5.000%, 12/20/2040 | 10830 | 0.0 |
| 10762348 | Ginnie Mae 2016-H20 FB, 4.392%, (US0001M + 0.550%), 09/20/2066 | 10676295 | 0.9 |
| 1000000 | Ginnie Mae 2017-117 BE, 2.500%, 08/20/2047 | 826745 | 0.1 |
| 1000000 | Ginnie Mae 2017-117 NG, 2.500%, 08/20/2047 | 809004 | 0.1 |
| 750000 | Ginnie Mae 2017-163 YA, 2.500%, 11/20/2047 | 603875 | 0.1 |
| 10000000 | Ginnie Mae 2017-180 QB, 2.500%, 12/20/2047 | 8457018 | 0.7 |
| 4689202 | Ginnie Mae 2018-64 ZH, 2.500%, 05/16/2045 | 3981553 | 0.3 |
| 777647<sup>(1)</sup> | Ginnie Mae 2018-78 IC, 4.000%, 02/20/2047 | 108485 | 0.0 |
| 1000000 | Ginnie Mae 2018-91 JN, 3.000%, 07/20/2048 | 860888 | 0.1 |
| 109899 | Ginnie Mae 2019-71 EN, 4.000%, 06/20/2049 | 94891 | 0.0 |
| 6499117<sup>(1)</sup> | Ginnie Mae 2021-74 KI, 3.000%, 04/20/2051 | 968723 | 0.1 |
| 2346452 | Ginnie Mae 2022-47 EB, 3.000%, 03/20/2037 | 1992939 | 0.2 |
| 284167 | Ginnie Mae Series 2002-92 EA, 4.500%, 02/20/2029 | 283494 | 0.0 |
| 69191 | Ginnie Mae Series 2004-16 AE, 5.500%, 02/20/2034 | 70036 | 0.0 |
| 649353 | Ginnie Mae Series 2004-17 MZ, 5.500%, 03/16/2034 | 652715 | 0.1 |
| 447220 | Ginnie Mae Series 2004-28 CZ, 5.500%, 04/20/2034 | 454194 | 0.0 |
| 228710<sup>(3)</sup> | Ginnie Mae Series 2004-37 OA, 0.000%, 04/17/2034 | 189688 | 0.0 |
| 1648333 | Ginnie Mae Series 2004-81 Z, 5.000%, 10/20/2034 | 1649767 | 0.1 |
| 686253<sup>(1)</sup> | Ginnie Mae Series 2004-98 SA, 2.347%, (-1.000\*US0001M + 6.700%), 11/20/2034 | 71951 | 0.0 |
| 570690 | Ginnie Mae Series 2005-21 Z, 5.000%, 03/20/2035 | 574013 | 0.1 |
| 125077<sup>(1)</sup> | Ginnie Mae Series 2005-25 SI, 6.000%, (-6.000\*US0001M + 43.200%), 01/20/2034 | 15391 | 0.0 |
| 422788<sup>(1)</sup> | Ginnie Mae Series 2005-7 AH, 2.444%, (-1.000\*US0001M + 6.770%), 02/16/2035 | 33667 | 0.0 |
| 505451<sup>(1)</sup> | Ginnie Mae Series 2005-73 IM, 5.500%, 09/20/2035 | 90511 | 0.0 |
| 298113 | Ginnie Mae Series 2005-80 Z, 5.000%, 10/20/2035 | 299767 | 0.0 |
| 100262 | Ginnie Mae Series 2005-91 UP, 5.647%, (-2.000\*US0001M + 14.300%), 09/16/2031 | 100868 | 0.0 |
| 5371034 | Ginnie Mae Series 2006-10 ZT, 6.000%, 03/20/2036 | 5497926 | 0.5 |
| 1217819 | Ginnie Mae Series 2006-17 TW, 6.000%, 04/20/2036 | 1239252 | 0.1 |
| 4897482<sup>(1)</sup> | Ginnie Mae Series 2006-26 TB, 0.250%, (-1.000\*US0001M + 6.500%), 06/20/2036 | 44836 | 0.0 |
| 1474236 | Ginnie Mae Series 2006-7 ZA, 5.500%, 02/20/2036 | 1501834 | 0.1 |
| 1110503<sup>(1)</sup> | Ginnie Mae Series 2007-17 CI, 7.500%, 04/16/2037 | 216121 | 0.0 |
| 1116311<sup>(3)</sup> | Ginnie Mae Series 2007-41 OL, 0.000%, 07/20/2037 | 887936 | 0.1 |
| 66199 | Ginnie Mae Series 2007-45 PE, 5.500%, 07/16/2037 | 67240 | 0.0 |
| 230235 | Ginnie Mae Series 2007-48 SY, 7.271%, (-3.000\*US0001M + 20.250%), 08/16/2037 | 226429 | 0.0 |
| 1348747<sup>(1)</sup> | Ginnie Mae Series 2007-53 SC, 2.147%, (-1.000\*US0001M + 6.500%), 09/20/2037 | 134288 | 0.0 |
| 38285 | Ginnie Mae Series 2007-53 SW, 7.146%, (-3.000\*US0001M + 20.205%), 09/20/2037 | 39340 | 0.0 |
| 657053 | Ginnie Mae Series 2007-60 YZ, 5.500%, 10/20/2037 | 661584 | 0.1 |
| 2890806 | Ginnie Mae Series 2008-20 PZ, 6.000%, 03/20/2038 | 2950581 | 0.2 |
| 364456<sup>(1)</sup> | Ginnie Mae Series 2008-3 SA, 2.197%, (-1.000\*US0001M + 6.550%), 01/20/2038 | 42939 | 0.0 |
| 625394<sup>(1)</sup> | Ginnie Mae Series 2008-40 PS, 2.174%, (-1.000\*US0001M + 6.500%), 05/16/2038 | 48998 | 0.0 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 830533<sup>(1)</sup> | Ginnie Mae Series 2008-51 GS, 1.904%, (-1.000\*US0001M + 6.230%), 06/16/2038 | $&nbsp;&nbsp;&nbsp;&nbsp;83764 | 0 |
| 1571483<sup>(1)</sup> | Ginnie Mae Series 2008-82 SA, 1.647%, (-1.000\*US0001M + 6.000%), 09/20/2038 | 151618 | 0 |
| 1548591<sup>(1)</sup> | Ginnie Mae Series 2009-110 SA, 2.024%, (-1.000\*US0001M + 6.350%), 04/16/2039 | 28988 | 0 |
| 899876 | Ginnie Mae Series 2009-110 ZC, 4.500%, 11/16/2039 | 874762 | 0.1 |
| 2142793 | Ginnie Mae Series 2009-118 XZ, 5.000%, 12/20/2039 | 2147340 | 0.2 |
| 945434 | Ginnie Mae Series 2009-121 ZQ, 5.500%, 09/20/2039 | 962097 | 0.1 |
| 886041 | Ginnie Mae Series 2009-31 BP, 5.000%, 05/20/2039 | 888412 | 0.1 |
| 1301486 | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | 1294280 | 0.1 |
| 1258238 | Ginnie Mae Series 2009-34 Z, 4.500%, 05/16/2039 | 1246020 | 0.1 |
| 1731388 | Ginnie Mae Series 2009-53 ZB, 6.000%, 07/16/2039 | 1776411 | 0.2 |
| 161963<sup>(1)</sup> | Ginnie Mae Series 2009-55 BI, 1.000%, (-25.000\*US0001M + 162.500%), 06/16/2037 | 5877 | 0 |
| 2356725 | Ginnie Mae Series 2009-61 EZ, 7.500%, 08/20/2039 | 2525400 | 0.2 |
| 7016083 | Ginnie Mae Series 2009-61 PZ, 7.500%, 08/20/2039 | 7831293 | 0.6 |
| 3896034 | Ginnie Mae Series 2009-61 ZQ, 6.000%, 08/16/2039 | 4131456 | 0.3 |
| 698544<sup>(1)</sup> | Ginnie Mae Series 2009-66 QS, 1.747%, (-1.000\*US0001M + 6.100%), 07/20/2039 | 27492 | 0 |
| 2992247 | Ginnie Mae Series 2009-68 ZC, 5.500%, 08/16/2039 | 3051223 | 0.3 |
| 494209<sup>(1)</sup> | Ginnie Mae Series 2009-77 SA, 1.824%, (-1.000\*US0001M + 6.150%), 09/16/2039 | 46815 | 0 |
| 3194274 | Ginnie Mae Series 2009-77 ZB, 5.500%, 09/16/2039 | 3284944 | 0.3 |
| 2374988 | Ginnie Mae Series 2009-87 WZ, 6.000%, 10/20/2039 | 2539014 | 0.2 |
| 686587 | Ginnie Mae Series 2009-92 DZ, 4.500%, 10/16/2039 | 666734 | 0.1 |
| 1639591 | Ginnie Mae Series 2009-98 MZ, 5.000%, 10/16/2039 | 1630077 | 0.1 |
| 966742<sup>(1)</sup> | Ginnie Mae Series 2010-106 IP, 5.000%, 03/20/2040 | 85914 | 0 |
| 7313926 | Ginnie Mae Series 2010-113 BE, 4.500%, 09/20/2040 | 7243831 | 0.6 |
| 950030<sup>(1)</sup> | Ginnie Mae Series 2010-116 NS, 2.324%, (-1.000\*US0001M + 6.650%), 09/16/2040 | 71552 | 0 |
| 3853106 | Ginnie Mae Series 2010-117 ZQ, 4.500%, 09/20/2040 | 3820668 | 0.3 |
| 918000 | Ginnie Mae Series 2010-121 TB, 4.000%, 09/20/2040 | 875017 | 0.1 |
| 29000<sup>(1)</sup> | Ginnie Mae Series 2010-130 KI, 5.500%, 09/16/2040 | 1177 | 0 |
| 1500000 | Ginnie Mae Series 2010-14 B, 4.500%, 02/16/2040 | 1482390 | 0.1 |
| 654767<sup>(1)</sup> | Ginnie Mae Series 2010-158 SA, 1.697%, (-1.000\*US0001M + 6.050%), 12/20/2040 | 65232 | 0 |
| 920712 | Ginnie Mae Series 2010-162 ZE, 4.000%, 12/16/2040 | 898716 | 0.1 |
| 9152618<sup>(1)</sup> | Ginnie Mae Series 2010-166 GS, 1.647%, (-1.000\*US0001M + 6.000%), 12/20/2040 | 741488 | 0.1 |
| 457189<sup>(1)</sup> | Ginnie Mae Series 2010-166 NI, 4.500%, 04/20/2039 | 16772 | 0 |
| 917989 | Ginnie Mae Series 2010-169 AW, 4.500%, 12/20/2040 | 906078 | 0.1 |
| 946437 | Ginnie Mae Series 2010-169 JZ, 4.000%, 12/20/2040 | 899864 | 0.1 |
| 172930<sup>(1)</sup> | Ginnie Mae Series 2010-19 LI, 5.000%, 07/16/2039 | 8456 | 0 |
| 937558 | Ginnie Mae Series 2010-31 BP, 5.000%, 03/20/2040 | 926468 | 0.1 |
| 888445<sup>(1)</sup> | Ginnie Mae Series 2010-4 WI, 6.000%, 01/16/2040 | 120747 | 0 |
| 4548608 | Ginnie Mae Series 2010-42 VZ, 5.500%, 10/20/2039 | 4644685 | 0.4 |
| 726817 | Ginnie Mae Series 2010-59 ZA, 4.500%, 05/20/2040 | 716701 | 0.1 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 2080460 | Ginnie Mae Series 2010-H01 FA, 4.875%, (US0001M + 0.820%), 01/20/2060 | $2075852 | 0.2 |
| 6511158 | Ginnie Mae Series 2010-H10 FB, 5.055%, (US0001M + 1.000%), 05/20/2060 | 6513713 | 0.5 |
| 3512449 | Ginnie Mae Series 2010-H10 FC, 5.055%, (US0001M + 1.000%), 05/20/2060 | 3513179 | 0.3 |
| 1312714 | Ginnie Mae Series 2010-H20 AF, 4.172%, (US0001M + 0.330%), 10/20/2060 | 1300399 | 0.1 |
| 192295 | Ginnie Mae Series 2010-H26 LF, 4.148%, (US0001M + 0.350%), 08/20/2058 | 190518 | 0 |
| 317752 | Ginnie Mae Series 2011-116 CI, 4.000%, 05/16/2026 | 10844 | 0 |
| 174489<sup>(1)</sup> | Ginnie Mae Series 2011-123 QI, 5.000%, 05/20/2041 | 16832 | 0 |
| 439104 | Ginnie Mae Series 2011-128 TF, 4.776%, (US0001M + 0.450%), 05/16/2041 | 431107 | 0 |
| 2206660<sup>(1)</sup> | Ginnie Mae Series 2011-141 PS, 2.374%, (-1.000\*US0001M + 6.700%), 06/16/2041 | 145476 | 0 |
| 1731594<sup>(1)</sup> | Ginnie Mae Series 2011-146 EI, 5.000%, 11/16/2041 | 316149 | 0 |
| 945000 | Ginnie Mae Series 2011-151 PY, 3.000%, 11/20/2041 | 826374 | 0.1 |
| 40821 | Ginnie Mae Series 2011-169 BC, 7.000%, 05/16/2032 | 41760 | 0 |
| 119406<sup>(2)</sup> | Ginnie Mae Series 2011-169 BG, 5.450%, 04/16/2039 | 119597 | 0 |
| 5899500 | Ginnie Mae Series 2011-25 Z, 4.000%, 02/20/2041 | 5729305 | 0.5 |
| 1218723 | Ginnie Mae Series 2011-59 QC, 4.000%, 12/20/2040 | 1178314 | 0.1 |
| 1169984 | Ginnie Mae Series 2011-69 HW, 4.000%, 04/20/2040 | 1158250 | 0.1 |
| 436810<sup>(1)</sup> | Ginnie Mae Series 2011-73 LS, 2.337%, (-1.000\*US0001M + 6.690%), 08/20/2039 | 2198 | 0 |
| 2036941 | Ginnie Mae Series 2011-89 Z, 3.500%, 06/20/2041 | 1930858 | 0.2 |
| 1306960 | Ginnie Mae Series 2011-H01 AF, 4.292%, (US0001M + 0.450%), 11/20/2060 | 1298217 | 0.1 |
| 1754752 | Ginnie Mae Series 2011-H03 FA, 4.342%, (US0001M + 0.500%), 01/20/2061 | 1742545 | 0.1 |
| 341222 | Ginnie Mae Series 2011-H07 FA, 4.342%, (US0001M + 0.500%), 02/20/2061 | 338720 | 0 |
| 182024 | Ginnie Mae Series 2011-H08 FD, 4.342%, (US0001M + 0.500%), 02/20/2061 | 180706 | 0 |
| 431630 | Ginnie Mae Series 2011-H09 AF, 4.342%, (US0001M + 0.500%), 03/20/2061 | 428796 | 0 |
| 420087 | Ginnie Mae Series 2011-H11 FB, 4.342%, (US0001M + 0.500%), 04/20/2061 | 417343 | 0 |
| 532548 | Ginnie Mae Series 2011-H19 FA, 4.312%, (US0001M + 0.470%), 08/20/2061 | 528933 | 0 |
| 1252148 | Ginnie Mae Series 2011-H20 FA, 4.392%, (US0001M + 0.550%), 09/20/2061 | 1244445 | 0.1 |
| 262304 | Ginnie Mae Series 2011-H21 FT, 4.892%, (H15T1Y + 0.700%), 10/20/2061 | 262067 | 0 |
| 998146<sup>(1)</sup> | Ginnie Mae Series 2012-103 IC, 3.500%, 08/16/2040 | 45593 | 0 |
| 243727<sup>(1)</sup> | Ginnie Mae Series 2012-124 MI, 4.000%, 03/20/2042 | 21126 | 0 |
| 12707615<sup>(1)</sup> | Ginnie Mae Series 2012-136 BI, 3.500%, 11/20/2042 | 1903616 | 0.2 |
| 2272315<sup>(1)</sup> | Ginnie Mae Series 2012-146 AI, 3.000%, 10/20/2037 | 69718 | 0 |
| 268524<sup>(1)</sup> | Ginnie Mae Series 2012-34 MS, 2.374%, (-1.000\*US0001M + 6.700%), 04/16/2041 | 14990 | 0 |
| 2621052<sup>(1)</sup> | Ginnie Mae Series 2012-48 SA, 2.324%, (-1.000\*US0001M + 6.650%), 04/16/2042 | 307380 | 0 |
| 3411961<sup>(1)</sup> | Ginnie Mae Series 2012-60 SG, 1.774%, (-1.000\*US0001M + 6.100%), 05/16/2042 | 307069 | 0 |
| 3727298 | Ginnie Mae Series 2012-77 FE, 4.716%, (US0001M + 0.390%), 05/16/2041 | 3681558 | 0.3 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 705049<sup>(1)</sup> | Ginnie Mae Series 2012-93 NS, 1.747%, (-1.000\*US0001M + 6.100%), 07/20/2042 | $&nbsp;&nbsp;&nbsp;&nbsp;59522 | 0 |
| 792143<sup>(1)</sup> | Ginnie Mae Series 2012-98 EI, 4.000%, 04/20/2041 | 82966 | 0 |
| 2164790 | Ginnie Mae Series 2012-H06 FS, 4.542%, (US0001M + 0.700%), 03/20/2062 | 2153584 | 0.2 |
| 5193485 | Ginnie Mae Series 2012-H08 FA, 4.442%, (US0001M + 0.600%), 01/20/2062 | 5162029 | 0.4 |
| 1783797 | Ginnie Mae Series 2012-H08 FB, 4.442%, (US0001M + 0.600%), 03/20/2062 | 1774477 | 0.2 |
| 320648 | Ginnie Mae Series 2012-H11 FA, 4.542%, (US0001M + 0.700%), 02/20/2062 | 319245 | 0 |
| 424069 | Ginnie Mae Series 2012-H11 GA, 4.422%, (US0001M + 0.580%), 05/20/2062 | 421436 | 0 |
| 1246609 | Ginnie Mae Series 2012-H11 VA, 4.492%, (US0001M + 0.650%), 05/20/2062 | 1238587 | 0.1 |
| 1505261 | Ginnie Mae Series 2012-H12 FA, 4.392%, (US0001M + 0.550%), 04/20/2062 | 1495606 | 0.1 |
| 8377560 | Ginnie Mae Series 2012-H12 FB, 4.854%, (US0001M + 1.050%), 02/20/2062 | 8384647 | 0.7 |
| 412711 | Ginnie Mae Series 2012-H14 FK, 4.422%, (US0001M + 0.580%), 07/20/2062 | 410437 | 0 |
| 2876964 | Ginnie Mae Series 2012-H20 BA, 4.402%, (US0001M + 0.560%), 09/20/2062 | 2859718 | 0.2 |
| 1778010 | Ginnie Mae Series 2012-H20 PT, 4.911%, 07/20/2062 | 1773551 | 0.1 |
| 1792207 | Ginnie Mae Series 2012-H26 BA, 4.192%, (US0001M + 0.350%), 10/20/2062 | 1775619 | 0.2 |
| 482318 | Ginnie Mae Series 2012-H29 FA, 4.357%, (US0001M + 0.515%), 10/20/2062 | 479362 | 0 |
| 777565 | Ginnie Mae Series 2012-H30 GA, 4.192%, (US0001M + 0.350%), 12/20/2062 | 770622 | 0.1 |
| 1322783 | Ginnie Mae Series 2012-H31 FD, 4.182%, (US0001M + 0.340%), 12/20/2062 | 1308928 | 0.1 |
| 1165701 | Ginnie Mae Series 2013-119 TZ, 3.000%, 08/20/2043 | 1054014 | 0.1 |
| 7000000 | Ginnie Mae Series 2013-147 BE, 4.000%, 12/20/2039 | 6665513 | 0.6 |
| 1487041 | Ginnie Mae Series 2013-167 Z, 3.000%, 10/16/2043 | 1320944 | 0.1 |
| 1900000<sup>(1)</sup> | Ginnie Mae Series 2013-186 UI, 2.500%, 11/20/2043 | 351015 | 0 |
| 517150<sup>(1)</sup> | Ginnie Mae Series 2013-186 VI, 4.000%, 12/20/2042 | 73629 | 0 |
| 375604 | Ginnie Mae Series 2013-186 ZE, 2.500%, 12/16/2043 | 325216 | 0 |
| 3098901<sup>(1)</sup> | Ginnie Mae Series 2013-20 LI, 4.500%, 12/16/2042 | 369894 | 0 |
| 1717800<sup>(1)</sup> | Ginnie Mae Series 2013-23 IO, 3.500%, 02/20/2043 | 279098 | 0 |
| 336633<sup>(1)</sup> | Ginnie Mae Series 2013-41 PI, 3.500%, 04/20/2040 | 4702 | 0 |
| 774580<sup>(1)</sup> | Ginnie Mae Series 2013-88 AI, 1.730%, (-1.000\*US0001M + 5.850%), 06/20/2043 | 62656 | 0 |
| 1290168<sup>(1)</sup> | Ginnie Mae Series 2013-99 SK, 1.780%, (-1.000\*US0001M + 5.900%), 07/20/2043 | 89677 | 0 |
| 1236978 | Ginnie Mae Series 2013-H02 FD, 4.182%, (US0001M + 0.340%), 12/20/2062 | 1224386 | 0.1 |
| 245469 | Ginnie Mae Series 2013-H07 HA, 4.252%, (US0001M + 0.410%), 03/20/2063 | 243338 | 0 |
| 1822853 | Ginnie Mae Series 2013-H08 BF, 4.242%, (US0001M + 0.400%), 03/20/2063 | 1801662 | 0.2 |
| 1690715 | Ginnie Mae Series 2013-H10 FT, 4.979%, (H15T1Y + 0.450%), 04/20/2063 | 1684754 | 0.1 |
| 1468822 | Ginnie Mae Series 2013-H13 FS, 4.842%, (US0001M + 1.000%), 06/20/2063 | 1469495 | 0.1 |
| 1740572 | Ginnie Mae Series 2013-H14 FC, 4.312%, (US0001M + 0.470%), 06/20/2063 | 1727534 | 0.1 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 622638 | Ginnie Mae Series 2013-H14 FD, 4.312%, (US0001M + 0.470%), 06/20/2063 | $617686 | 0.1 |
| 560093 | Ginnie Mae Series 2013-H14 FG, 4.312%, (US0001M + 0.470%), 05/20/2063 | 555639 | 0 |
| 453902 | Ginnie Mae Series 2013-H15 FA, 4.382%, (US0001M + 0.540%), 06/20/2063 | 451311 | 0 |
| 914341 | Ginnie Mae Series 2013-H17 FA, 4.392%, (US0001M + 0.550%), 07/20/2063 | 909813 | 0.1 |
| 427678 | Ginnie Mae Series 2013-H18 BA, 4.442%, (US0001M + 0.600%), 07/20/2063 | 425254 | 0 |
| 664046 | Ginnie Mae Series 2013-H18 EA, 4.342%, (US0001M + 0.500%), 07/20/2063 | 661183 | 0.1 |
| 1446868 | Ginnie Mae Series 2013-H18 FA, 4.342%, (US0001M + 0.500%), 06/20/2063 | 1436458 | 0.1 |
| 1597363 | Ginnie Mae Series 2013-H19 DF, 4.492%, (US0001M + 0.650%), 05/20/2063 | 1585509 | 0.1 |
| 658685 | Ginnie Mae Series 2013-H20 FB, 4.842%, (US0001M + 1.000%), 08/20/2063 | 658600 | 0.1 |
| 528192 | Ginnie Mae Series 2013-H21 FB, 4.542%, (US0001M + 0.700%), 09/20/2063 | 526514 | 0 |
| 847249 | Ginnie Mae Series 2013-H22 FB, 4.542%, (US0001M + 0.700%), 08/20/2063 | 843986 | 0.1 |
| 1460058 | Ginnie Mae Series 2013-H22 FT, 5.143%, (H15T1Y + 0.650%), 04/20/2063 | 1458432 | 0.1 |
| 1198597 | Ginnie Mae Series 2013-H23 FA, 5.142%, (US0001M + 1.300%), 09/20/2063 | 1201546 | 0.1 |
| 151020 | Ginnie Mae Series 2013-H24 FB, 4.572%, (US0001M + 0.730%), 09/20/2063 | 150701 | 0 |
| 2793200 | Ginnie Mae Series 2014-115 EM, 4.000%, 08/20/2044 | 2656680 | 0.2 |
| 2748066 | Ginnie Mae Series 2014-118 ZP, 4.000%, 08/20/2044 | 2616660 | 0.2 |
| 1235968<sup>(1)</sup> | Ginnie Mae Series 2014-129 WS, 1.780%, (-1.000\*US0001M + 5.900%), 09/20/2044 | 95486 | 0 |
| 1074716<sup>(1)</sup> | Ginnie Mae Series 2014-161 WS, 1.780%, (-1.000\*US0001M + 5.900%), 11/20/2044 | 79333 | 0 |
| 1137594<sup>(1)</sup> | Ginnie Mae Series 2014-183 IM, 5.000%, 06/20/2035 | 179784 | 0 |
| 1328239<sup>(1)</sup> | Ginnie Mae Series 2014-30 ES, 0.647%, (-1.000\*US0001M + 5.000%), 03/20/2040 | 77606 | 0 |
| 2045692<sup>(1)</sup> | Ginnie Mae Series 2014-99 IO, 4.500%, 06/20/2044 | 401846 | 0 |
| 8115574 | Ginnie Mae Series 2014-H03 FS, 4.492%, (US0001M + 0.650%), 02/20/2064 | 8062104 | 0.7 |
| 2331005 | Ginnie Mae Series 2014-H04 FB, 4.492%, (US0001M + 0.650%), 02/20/2064 | 2322052 | 0.2 |
| 3792327 | Ginnie Mae Series 2014-H05 FB, 4.442%, (US0001M + 0.600%), 12/20/2063 | 3777483 | 0.3 |
| 952182 | Ginnie Mae Series 2014-H06 FA, 4.412%, (US0001M + 0.570%), 03/20/2064 | 946524 | 0.1 |
| 422868 | Ginnie Mae Series 2014-H06 HB, 4.492%, (US0001M + 0.650%), 03/20/2064 | 420831 | 0 |
| 2493163 | Ginnie Mae Series 2014-H11 VA, 4.342%, (US0001M + 0.500%), 06/20/2064 | 2466846 | 0.2 |
| 3121422 | Ginnie Mae Series 2014-H15 FA, 4.342%, (US0001M + 0.500%), 07/20/2064 | 3089163 | 0.3 |
| 1493329 | Ginnie Mae Series 2014-H21 FA, 4.186%, (US0001M + 0.650%), 10/20/2064 | 1465585 | 0.1 |
| 8333403<sup>(2)</sup> | Ginnie Mae Series 2015-10 Q, 2.393%, 10/20/2044 | 6947637 | 0.6 |
| 2364266<sup>(1)</sup> | Ginnie Mae Series 2015-141 IX, 6.534%, (-0.714\*US0001M + 2.142%), 06/20/2045 | 43732 | 0 |
| 15125000 | Ginnie Mae Series 2015-143 B, 3.500%, 04/20/2045 | 13774944 | 1.1 |
| 2122754<sup>(1)</sup> | Ginnie Mae Series 2015-149 IL, 4.500%, 10/20/2045 | 427334 | 0 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 1273597<sup>(1)</sup> | Ginnie Mae Series 2015-157 PI, 4.000%, 03/20/2044 | $135622 | 0 |
| 2648592 | Ginnie Mae Series 2015-165 ZA, 3.500%, 07/20/2045 | 2501228 | 0.2 |
| 1634885 | Ginnie Mae Series 2015-H03 FA, 4.342%, (US0001M + 0.500%), 12/20/2064 | 1624428 | 0.1 |
| 79792 | Ginnie Mae Series 2015-H04 FL, 4.312%, (US0001M + 0.470%), 02/20/2065 | 79035 | 0 |
| 2689903 | Ginnie Mae Series 2015-H05 FC, 4.322%, (US0001M + 0.480%), 02/20/2065 | 2652318 | 0.2 |
| 1197304 | Ginnie Mae Series 2015-H06 FA, 4.322%, (US0001M + 0.480%), 02/20/2065 | 1186419 | 0.1 |
| 2236131 | Ginnie Mae Series 2015-H08 FB, 2.890%, (US0001M + 0.630%), 03/20/2065 | 2193458 | 0.2 |
| 1882149 | Ginnie Mae Series 2015-H08 FC, 4.322%, (US0001M + 0.480%), 03/20/2065 | 1865065 | 0.2 |
| 2987947 | Ginnie Mae Series 2015-H09 FA, 2.758%, (US0001M + 0.620%), 04/20/2065 | 2929197 | 0.2 |
| 5148729 | Ginnie Mae Series 2015-H10 FA, 3.381%, (US0001M + 0.600%), 04/20/2065 | 5063372 | 0.4 |
| 1558172 | Ginnie Mae Series 2015-H10 FH, 3.085%, (US0001M + 0.600%), 04/20/2065 | 1528678 | 0.1 |
| 197155 | Ginnie Mae Series 2015-H12 FA, 4.322%, (US0001M + 0.480%), 05/20/2065 | 195342 | 0 |
| 1274286 | Ginnie Mae Series 2015-H12 FL, 4.072%, (US0001M + 0.230%), 05/20/2065 | 1261094 | 0.1 |
| 685173 | Ginnie Mae Series 2015-H14 FB, 4.272%, (US0001M + 0.430%), 05/20/2065 | 680983 | 0.1 |
| 1069702 | Ginnie Mae Series 2015-H18 FB, 4.442%, (US0001M + 0.600%), 07/20/2065 | 1054695 | 0.1 |
| 1003671 | Ginnie Mae Series 2015-H20 FB, 4.407%, (US0001M + 0.600%), 08/20/2065 | 988134 | 0.1 |
| 1540428 | Ginnie Mae Series 2015-H22 FC, 4.344%, (US0001M + 0.600%), 09/20/2065 | 1515655 | 0.1 |
| 1814019 | Ginnie Mae Series 2015-H23 FB, 4.362%, (US0001M + 0.520%), 09/20/2065 | 1797026 | 0.2 |
| 1220715 | Ginnie Mae Series 2015-H26 FA, 4.362%, (US0001M + 0.520%), 10/20/2065 | 1208495 | 0.1 |
| 1975457 | Ginnie Mae Series 2015-H26 FC, 4.442%, (US0001M + 0.600%), 08/20/2065 | 1968521 | 0.2 |
| 446555 | Ginnie Mae Series 2015-H26 FG, 4.362%, (US0001M + 0.520%), 10/20/2065 | 440359 | 0 |
| 1674788 | Ginnie Mae Series 2015-H27 FA, 4.511%, (US0001M + 0.750%), 09/20/2065 | 1651331 | 0.1 |
| 3450047 | Ginnie Mae Series 2015-H29 FL, 4.442%, (US0001M + 0.600%), 11/20/2065 | 3408796 | 0.3 |
| 26141622 | Ginnie Mae Series 2015-H30 FC, 4.331%, (US0001M + 0.660%), 11/20/2065 | 25663759 | 2.1 |
| 86021 | Ginnie Mae Series 2015-H30 FD, 4.442%, (US0001M + 0.600%), 10/20/2065 | 85506 | 0 |
| 2782582 | Ginnie Mae Series 2015-H30 FE, 4.442%, (US0001M + 0.600%), 11/20/2065 | 2760200 | 0.2 |
| 1509648 | Ginnie Mae Series 2015-H31 FT, 4.492%, (US0001M + 0.650%), 11/20/2065 | 1503246 | 0.1 |
| 5319525<sup>(1)</sup> | Ginnie Mae Series 2016-145 IU, 3.500%, 10/20/2046 | 863282 | 0.1 |
| 4807115<sup>(1)</sup> | Ginnie Mae Series 2016-20 BS, 1.747%, (-1.000\*US0001M + 6.100%), 02/20/2046 | 509779 | 0 |
| 3101104<sup>(2)</sup> | Ginnie Mae Series 2016-5 AB, 4.690%, 01/20/2046 | 3073920 | 0.3 |
| 4695281 | Ginnie Mae Series 2016-69 B, 3.000%, 05/20/2046 | 4150252 | 0.3 |
| 399872 | Ginnie Mae Series 2016-H01 FL, 4.492%, (US0001M + 0.650%), 12/20/2065 | 398225 | 0 |
| 1384150 | Ginnie Mae Series 2016-H02 FH, 4.842%, (US0001M + 1.000%), 01/20/2066 | 1365901 | 0.1 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 180175 | Ginnie Mae Series 2016-H03 FB, 4.492%, (US0001M + 0.650%), 01/20/2066 | $178290 | 0 |
| 2205884 | Ginnie Mae Series 2016-H04 FK, 3.205%, (US0001M + 1.050%), 02/20/2066 | 2178363 | 0.2 |
| 294109 | Ginnie Mae Series 2016-H07 FK, 2.991%, (US0001M + 1.000%), 03/20/2066 | 290149 | 0 |
| 3600358 | Ginnie Mae Series 2016-H08 FT, 4.562%, (US0001M + 0.720%), 02/20/2066 | 3586202 | 0.3 |
| 976231 | Ginnie Mae Series 2016-H09 FB, 3.547%, (US0001M + 0.900%), 04/20/2066 | 964391 | 0.1 |
| 2029139 | Ginnie Mae Series 2016-H11 F, 4.642%, (US0001M + 0.800%), 05/20/2066 | 2004043 | 0.2 |
| 885400 | Ginnie Mae Series 2016-H11 FE, 3.507%, (US0001M + 0.850%), 04/20/2066 | 874149 | 0.1 |
| 1836892 | Ginnie Mae Series 2016-H13 FD, 5.010%, (H15T1Y + 0.450%), 05/20/2066 | 1826427 | 0.2 |
| 493638 | Ginnie Mae Series 2016-H13 FT, 4.422%, (US0001M + 0.580%), 05/20/2066 | 491436 | 0 |
| 232101 | Ginnie Mae Series 2016-H20 FG, 4.542%, (US0001M + 0.700%), 08/20/2066 | 231120 | 0 |
| 1798979 | Ginnie Mae Series 2016-H21 FH, 4.692%, (US0001M + 0.850%), 09/20/2066 | 1780310 | 0.2 |
| 4400022 | Ginnie Mae Series 2016-H23 F, 4.592%, (US0001M + 0.750%), 10/20/2066 | 4348041 | 0.4 |
| 3760632 | Ginnie Mae Series 2017-107 QZ, 3.000%, 08/20/2045 | 3060816 | 0.3 |
| 1660186 | Ginnie Mae Series 2017-122 CZ, 3.000%, 08/20/2047 | 1287758 | 0.1 |
| 2158925<sup>(1)</sup> | Ginnie Mae Series 2017-123 IO, 5.000%, 08/16/2047 | 457088 | 0 |
| 2890000 | Ginnie Mae Series 2017-162 PL, 3.000%, 10/20/2047 | 2422576 | 0.2 |
| 1361635 | Ginnie Mae Series 2017-56 HM, 3.000%, 12/20/2046 | 1239358 | 0.1 |
| 5007528 | Ginnie Mae Series 2017-56 JZ, 3.000%, 04/20/2047 | 4094762 | 0.3 |
| 23336755 | Ginnie Mae Series 2017-H05 FC, 3.282%, (US0001M + 0.750%), 02/20/2067 | 23009511 | 1.9 |
| 926936 | Ginnie Mae Series 2017-H07 FG, 4.302%, (US0001M + 0.460%), 02/20/2067 | 919620 | 0.1 |
| 588087 | Ginnie Mae Series 2017-H14 FD, 4.312%, (US0001M + 0.470%), 06/20/2067 | 574108 | 0.1 |
| 1252464 | Ginnie Mae Series 2017-H14 FV, 4.342%, (US0001M + 0.500%), 06/20/2067 | 1239710 | 0.1 |
| 1672529 | Ginnie Mae Series 2017-H17 FG, 4.342%, (US0001M + 0.500%), 08/20/2067 | 1659504 | 0.1 |
| 826846 | Ginnie Mae Series 2017-H19 FA, 4.292%, (US0001M + 0.450%), 08/20/2067 | 821484 | 0.1 |
| 1546925 | Ginnie Mae Series 2018-112 AL, 3.500%, 08/20/2048 | 1424858 | 0.1 |
| 338736 | Ginnie Mae Series 2018-163 DZ, 4.500%, 11/20/2048 | 313696 | 0 |
| 2101719 | Ginnie Mae Series 2018-H04 FM, 4.142%, (US0001M + 0.300%), 03/20/2068 | 2076271 | 0.2 |
| 436651 | Ginnie Mae Series 2018-H07 FE, 4.192%, (US0001M + 0.350%), 02/20/2068 | 433708 | 0 |
| 5015240 | Ginnie Mae Series 2018-H14 FG, 4.192%, (US0001M + 0.350%), 09/20/2068 | 4962039 | 0.4 |
| 4998313 | Ginnie Mae Series 2018-H18 FC, 4.192%, (US0001M + 0.350%), 08/20/2065 | 4961659 | 0.4 |
| 9524352 | Ginnie Mae Series 2019-1 LZ, 3.500%, 01/20/2049 | 8218805 | 0.7 |
| 1462737 | Ginnie Mae Series 2019-1 Z, 4.000%, 01/20/2049 | 1387259 | 0.1 |
| 3223469 | Ginnie Mae Series 2019-100 FD, 4.753%, (US0001M + 0.400%), 08/20/2049 | 3144534 | 0.3 |
| 878396 | Ginnie Mae Series 2019-29 AI, 5.000%, 07/20/2048 | 177615 | 0 |
| 12000000<sup>(1)</sup> | Ginnie Mae Series 2019-56 YI, 5.000%, 05/20/2049 | 3218530 | 0.3 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS: (continued)** |  |
| 654949 | Ginnie Mae Series 2019-H01 FJ, 4.142%, (US0001M + 0.300%), 09/20/2068 | $&nbsp;&nbsp;&nbsp;&nbsp;650271 | 0.1 |
| 1156585 | Ginnie Mae Series 2019-H01 FL, 4.292%, (US0001M + 0.450%), 12/20/2068 | 1143763 | 0.1 |
| 2912575 | Ginnie Mae Series 2019-H05 FL, 4.322%, (US0001M + 0.480%), 03/20/2069 | 2878330 | 0.2 |
| 590266 | Ginnie Mae Series 2019-H10 FM, 4.242%, (US0001M + 0.400%), 05/20/2069 | 580926 | 0.1 |
| 2197004 | Ginnie Mae Series 2019-H19 FB, 4.292%, (US0001M + 0.450%), 11/20/2069 | 2179287 | 0.2 |
| 21685803<sup>(1)</sup> | Ginnie Mae Series 2020-47 LI, 3.500%, 04/20/2050 | 3637926 | 0.3 |
| 1030409 | Ginnie Mae Series 2020-H01 FT, 5.060%, (H15T1Y + 0.500%), 01/20/2070 | 1026993 | 0.1 |
| 5602720 | Ginnie Mae Series 2020-H10 FD, 4.242%, (US0001M + 0.400%), 05/20/2070 | 5564752 | 0.5 |
| 9192947<sup>(1)</sup> | Ginnie Mae Series 2021-58 SB, 1.947%, (-1.000\*US0001M + 6.300%), 04/20/2051 | 923332 | 0.1 |
| 16111172<sup>(1)</sup> | Ginnie Mae Series 2021-77 SK, 7.692%, (-1.000\*US0001M + 3.300%), 05/20/2051 | 329786 | 0.0 |
| 104557<sup>(2)</sup> | Ginnie Mae Series 2021-H09 Z, 3.076%, 10/20/2066 | 96362 | 0.0 |
| 691519 | Seasoned Credit Risk Transfer Trust Series 2017-2 MA, 3.000%, 08/25/2056 | 642446 | 0.1 |
| 4418818 | Seasoned Credit Risk Transfer Trust Series 2019-1 M55D, 4.000%, 07/25/2058 | 4203028 | 0.4 |
| 1752102 | Seasoned Credit Risk Transfer Trust Series 2019-3 M55D, 4.000%, 10/25/2058 | 1667127 | 0.1 |
| 6035000 | Seasoned Loans Structured Transaction Series 2019-1 A2, 3.500%, 05/25/2029 | 5544029 | 0.5 |
| 3362841 | Seasoned Loans Structured Transaction Trust Series 2019-2 A1C, 2.750%, 09/25/2029 | 3095738 | 0.3 |
| 5875000 | Seasoned Loans Structured Transaction Trust Series 2019-3 A2C, 2.750%, 11/25/2029 | 5100820 | 0.4 |
| 1279571 | Vendee Mortgage Trust 2011-2 DZ, 3.750%, 10/15/2041 | 1184461 | 0.1 |
| 23913848<sup>(1),(2)</sup> | Vendee Mortgage Trust 2011-2 IO, 0.356%, 10/15/2041 | 387811 | 0.0 |
|  | Total Collateralized Mortgage Obligations |  |  |
|  | (Cost $715,998,571) | **655313387** | **54.0** |

---

---

| | | | |
|:---|:---|:---|:---|
| **U.S. GOVERNMENT AGENCY OBLIGATIONS: 70.5%** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: 70.5%** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: 70.5%** |  |
|  | **Federal Home Loan Mortgage Corporation: 1.2%<sup>(4)</sup>** | **Federal Home Loan Mortgage Corporation: 1.2%<sup>(4)</sup>** | **Federal Home Loan Mortgage Corporation: 1.2%<sup>(4)</sup>** |
| 730317 | 3.500%,07/01/2047 | 678788 | 0.1 |
| 1615293 | 3.500%,12/01/2047 | 1504748 | 0.1 |
| 3115855 | 3.500%,03/01/2048 | 2914191 | 0.3 |
| 3527671 | 3.500%,11/01/2048 | 3286240 | 0.3 |
| 1003804 | 4.000%,07/01/2047 | 960706 | 0.1 |
| 398035 | 4.500%,08/01/2047 | 391747 | 0.0 |
| 441329 | 5.000%,11/01/2035 | 445074 | 0.0 |
| 22113 | 5.000%,12/01/2035 | 22629 | 0.0 |
| 11360 | 5.000%,01/01/2038 | 11602 | 0.0 |
| 39220 | 5.000%,03/01/2038 | 40087 | 0.0 |
| 11307 | 5.000%,03/01/2038 | 11566 | 0.0 |
| 100512 | 5.000%,02/01/2039 | 100769 | 0.0 |
| 429760 | 5.000%,07/01/2039 | 434917 | 0.0 |
| 139303 | 5.000%,01/01/2040 | 141356 | 0.0 |
| 450437 | 5.000%,04/01/2040 | 452734 | 0.1 |
| 1479284 | 5.000%,10/01/2040 | 1501051 | 0.1 |
| 152829 | 5.000%,05/01/2041 | 152795 | 0.0 |
| 130958 | 5.290%,10/01/2037 | 132726 | 0.0 |
| 24137 | 5.410%,07/01/2037 | 24494 | 0.0 |
| 11169 | 5.410%,08/01/2037 | 11248 | 0.0 |
| 34965 | 5.440%,01/01/2037 | 35622 | 0.0 |
| 45630 | 5.440%,04/01/2037 | 46530 | 0.0 |
| 28511 | 5.440%,09/01/2037 | 29000 | 0.0 |
| 27056 | 5.440%,02/01/2038 | 27566 | 0.0 |
| 97037 | 5.450%,12/01/2037 | 98014 | 0.0 |
| 125701 | 5.450%,12/01/2037 | 126894 | 0.0 |
| 37277 | 5.460%,05/01/2037 | 38002 | 0.0 |
| 32258 | 5.460%,08/01/2037 | 32886 | 0.0 |
| 35620 | 5.460%,01/01/2038 | 36034 | 0.0 |
| 34343 | 5.480%,08/01/2037 | 35034 | 0.0 |
| 52508 | 5.500%,08/01/2037 | 53039 | 0.0 |
| 85305 | 5.500%,11/01/2037 | 86226 | 0.0 |
| 16446 | 5.520%,10/01/2037 | 16558 | 0.0 |
| 35724 | 5.620%,12/01/2036 | 36082 | 0.0 |
| 58359 | 5.620%,03/01/2037 | 58874 | 0.0 |
| 60990 | 5.620%,08/01/2037 | 61538 | 0.0 |
| 70583 | 5.625%,12/01/2036 | 71268 | 0.0 |
| 103211 | 5.625%,01/01/2037 | 104263 | 0.0 |
| 91776 | 5.625%,03/01/2037 | 92666 | 0.0 |
| 85794 | 5.625%,06/01/2037 | 86461 | 0.0 |
| 75441 | 5.625%,07/01/2037 | 76172 | 0.0 |
| 41643 | 5.625%,02/01/2038 | 42047 | 0.0 |
| 438821 | 5.750%,09/01/2037 | 451461 | 0.1 |
| 73623 | 5.750%,10/01/2037 | 74590 | 0.0 |
| 89810 | 6.090%,12/01/2037 | 91485 | 0.0 |
| 4185 | 7.500%,01/01/2030 | 4373 | 0.0 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** |  |
|  | **Federal Home Loan Mortgage Corporation: (continued)** | **Federal Home Loan Mortgage Corporation: (continued)** | **Federal Home Loan Mortgage Corporation: (continued)** |
| 6663 | 8.000%,01/01/2030 | &nbsp;&nbsp;&nbsp;&nbsp;6658 | 0 |
|  |  | **15138811** | **1.2** |
|  | **Federal National Mortgage Association: 1.0%<sup>(4)</sup>** | **Federal National Mortgage Association: 1.0%<sup>(4)</sup>** | **Federal National Mortgage Association: 1.0%<sup>(4)</sup>** |
| 62970 | 3.125%,11/01/2041 | 59508 | 0 |
| 26777 | 3.250%,04/01/2041 | 25643 | 0 |
| 95552 | 3.475%,10/01/2041 | 91563 | 0 |
| 85183 | 3.750%,09/01/2041 | 82492 | 0 |
| 61141 | 3.750%,10/01/2041 | 59209 | 0 |
| 4691422 | 4.000%,07/01/2056 | 4499301 | 0.4 |
| 745390 | 4.500%,09/01/2047 | 755633 | 0.1 |
| 87430 | 5.290%,09/01/2037 | 86794 | 0 |
| 263805 | 5.290%,11/01/2037 | 262191 | 0 |
| 76308 | 5.290%,12/01/2037 | 74987 | 0 |
| 118041 | 5.290%,04/01/2038 | 116974 | 0 |
| 41969 | 5.350%,04/01/2029 | 42242 | 0 |
| 31212 | 5.350%,09/01/2029 | 31468 | 0 |
| 63599 | 5.390%,05/01/2038 | 65177 | 0 |
| 113071 | 5.440%,08/01/2047 | 111556 | 0 |
| 160652 | 5.440%,08/01/2047 | 155662 | 0 |
| 170652 | 5.440%,08/01/2047 | 165369 | 0 |
| 171710 | 5.440%,09/01/2047 | 166397 | 0 |
| 268963 | 5.440%,10/01/2047 | 265970 | 0.1 |
| 90660 | 5.440%,05/01/2048 | 89440 | 0 |
| 60896 | 5.620%,12/01/2036 | 60778 | 0 |
| 100445 | 5.890%,08/01/2047 | 98485 | 0 |
| 108428 | 5.890%,10/01/2047 | 106548 | 0 |
| 7692 | 5.900%,09/01/2028 | 7706 | 0 |
| 4400000<sup>(5)</sup> | 6.000%,01/15/2053 | 4466302 | 0.4 |
| 8029 | 6.600%,07/01/2027 | 8008 | 0 |
| 14782 | 6.600%,09/01/2027 | 14721 | 0 |
| 21460 | 6.600%,11/01/2027 | 21413 | 0 |
| 19066 | 6.600%,06/01/2028 | 19019 | 0 |
|  |  | **12010556** | **1.0** |
|  | **Government National Mortgage Association: 64.1%** | **Government National Mortgage Association: 64.1%** | **Government National Mortgage Association: 64.1%** |
| 36691087 | 2.000%,12/20/2050 | 30989222 | 2.6 |
| 20425244 | 2.000%,01/20/2051 | 17246903 | 1.4 |
| 14765654 | 2.000%,02/20/2051 | 12394292 | 1 |
| 7883577 | 2.000%,06/20/2051 | 6644970 | 0.6 |
| 3965694 | 2.000%,10/20/2051 | 3337306 | 0.3 |
| 2769329 | 2.000%,11/20/2051 | 2329054 | 0.2 |
| 17929000<sup>(5)</sup> | 2.000%,01/15/2053 | 15029953 | 1.3 |
| 10584935 | 2.500%,12/20/2050 | 8869607 | 0.8 |
| 16897052 | 2.500%,03/20/2051 | 14727474 | 1.2 |
| 19169347 | 2.500%,04/20/2051 | 16716407 | 1.4 |
| 18951286 | 2.500%,05/20/2051 | 16497491 | 1.4 |
| 4350679 | 2.500%,08/20/2051 | 3783549 | 0.3 |
| 31912002 | 2.500%,09/20/2051 | 27734864 | 2.3 |
| 44924472 | 2.500%,10/20/2051 | 39033165 | 3.2 |
| 30052708 | 2.500%,11/20/2051 | 26076490 | 2.2 |
| 4322499 | 2.500%,12/20/2051 | 3754121 | 0.3 |
| 127670000<sup>(5)</sup> | 2.500%,01/15/2053 | 110667779 | 9.1 |
| 165123 | 3.000%,12/15/2041 | 153109 | 0 |
| 124210 | 3.000%,01/15/2042 | 115455 | 0 |
| 171796 | 3.000%,01/15/2042 | 159515 | 0 |
| 171406 | 3.000%,01/15/2042 | 159333 | 0 |
| 543516 | 3.000%,02/15/2042 | 498101 | 0.1 |
| 168915 | 3.000%,03/15/2042 | 154802 | 0 |
| 139805 | 3.000%,04/15/2042 | 129958 | 0 |
| 57855 | 3.000%,05/15/2042 | 53778 | 0 |
| 45268 | 3.000%,06/15/2042 | 42107 | 0 |
| 635791 | 3.000%,04/20/2045 | 581048 | 0.1 |
| 338048 | 3.000%,11/20/2045 | 302951 | 0 |
| 92133 | 3.000%,12/20/2045 | 82737 | 0 |
| 124861 | 3.000%,12/20/2045 | 112183 | 0 |
| 105493 | 3.000%,12/20/2045 | 94641 | 0 |
| 61893 | 3.000%,01/20/2046 | 55456 | 0 |
| 2313237 | 3.000%,02/20/2050 | 2005720 | 0.2 |
| 3050232 | 3.000%,10/20/2051 | 2728758 | 0.2 |
| 24091252 | 3.000%,10/20/2051 | 21759049 | 1.8 |
| 19209666 | 3.000%,11/20/2051 | 17350035 | 1.4 |
| 5660406 | 3.000%,11/20/2051 | 5067377 | 0.4 |
| 186850000<sup>(5)</sup> | 3.000%,01/15/2053 | 166418048 | 13.7 |
| 49994 | 3.250%,03/15/2041 | 46442 | 0 |
| 347203 | 3.250%,04/15/2041 | 320938 | 0 |
| 76251 | 3.250%,05/15/2041 | 69943 | 0 |
| 352030 | 3.250%,06/15/2041 | 326664 | 0 |
| 417534 | 3.250%,07/15/2041 | 387871 | 0.1 |
| 59013 | 3.250%,07/15/2041 | 54820 | 0 |
| 626462 | 3.250%,08/15/2041 | 581960 | 0.1 |
| 267268 | 3.250%,09/15/2041 | 246718 | 0 |
| 202188 | 3.250%,09/15/2041 | 186583 | 0 |
| 175639 | 3.250%,11/15/2041 | 163073 | 0 |
| 41274 | 3.250%,11/15/2041 | 38342 | 0 |
| 66109 | 3.250%,12/15/2041 | 61345 | 0 |
| 38295 | 3.250%,04/15/2042 | 35574 | 0 |
| 30879 | 3.250%,06/15/2042 | 28328 | 0 |
| 78483 | 3.250%,06/15/2042 | 72905 | 0 |
| 941056 | 3.500%,04/20/2043 | 877036 | 0.1 |
| 1108063 | 3.500%,06/20/2045 | 1034741 | 0.1 |
| 2740579 | 3.500%,04/20/2046 | 2558526 | 0.2 |
| 4326758 | 3.500%,03/20/2047 | 4103725 | 0.4 |
| 995118 | 3.500%,07/20/2047 | 927921 | 0.1 |
| 525652 | 3.500%,07/20/2047 | 490831 | 0.1 |
| 22069063 | 3.500%,12/20/2047 | 20578834 | 1.7 |
| 7894453 | 3.500%,01/20/2048 | 7360813 | 0.6 |
| 3008037 | 3.500%,02/20/2048 | 2804926 | 0.2 |
| 5934749 | 3.500%,02/20/2048 | 5533956 | 0.5 |
| 11274025 | 3.500%,03/20/2048 | 10512679 | 0.9 |
| 36500000<sup>(5)</sup> | 3.500%,01/15/2053 | 33540862 | 2.8 |
| 52342 | 3.650%,12/15/2040 | 49708 | 0 |
| 16379 | 3.750%,09/15/2041 | 15446 | 0 |
| 301668 | 3.750%,09/15/2041 | 287440 | 0 |
| 130212 | 3.750%,10/15/2041 | 124378 | 0 |
| 114923 | 3.750%,10/15/2041 | 109774 | 0 |
| 2635008 | 3.750%,05/20/2042 | 2460153 | 0.2 |
| 1975726 | 3.750%,05/20/2042 | 1852717 | 0.2 |
| 128618 | 3.900%,10/15/2041 | 123916 | 0 |
| 62224 | 4.000%,05/20/2033 | 59476 | 0 |
| 3299 | 4.000%,08/15/2033 | 3164 | 0 |
| 30082 | 4.000%,01/15/2034 | 28880 | 0 |
| 392362 | 4.000%,05/20/2034 | 374671 | 0 |
| 351166 | 4.000%,07/20/2034 | 335327 | 0 |
| 826491 | 4.000%,07/20/2034 | 789666 | 0.1 |
| 76303 | 4.000%,08/20/2035 | 74026 | 0 |
| 629827 | 4.000%,09/20/2040 | 599990 | 0.1 |
| 1124861 | 4.000%,07/20/2041 | 1074809 | 0.1 |
| 4701952 | 4.000%,08/20/2042 | 4547636 | 0.4 |
| 138192 | 4.000%,09/15/2042 | 133672 | 0 |
| 865415 | 4.000%,10/20/2043 | 848179 | 0.1 |
| 1388511 | 4.000%,12/20/2044 | 1329113 | 0.1 |
| 1316171 | 4.000%,01/20/2045 | 1259868 | 0.1 |
| 322093 | 4.000%,06/20/2045 | 310114 | 0 |
| 1343970 | 4.000%,07/20/2045 | 1294038 | 0.1 |
| 1467451 | 4.000%,09/20/2045 | 1415079 | 0.1 |
| 103216 | 4.000%,12/20/2045 | 99978 | 0 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** |  |
|  | **Government National Mortgage Association: (continued)** | **Government National Mortgage Association: (continued)** | **Government National Mortgage Association: (continued)** |
| 369023 | 4.000%,01/20/2046 | $357449 | 0.0 |
| 3249360 | 4.000%,01/20/2046 | 3142441 | 0.3 |
| 68325 | 4.000%,02/20/2046 | 65784 | 0.0 |
| 1703868 | 4.000%,03/20/2046 | 1639914 | 0.2 |
| 818213 | 4.000%,04/20/2046 | 782459 | 0.1 |
| 352995 | 4.000%,08/20/2046 | 338778 | 0.0 |
| 1395599 | 4.000%,09/20/2047 | 1336168 | 0.1 |
| 13365898 | 4.000%,02/20/2050 | 12823304 | 1.1 |
| 939965<sup>(2)</sup> | 4.242%,10/20/2064 | 925641 | 0.1 |
| 5283<sup>(2)</sup> | 4.331%,09/20/2062 | 5043 | 0.0 |
| 22202<sup>(2)</sup> | 4.404%,02/20/2068 | 21721 | 0.0 |
| 9360<sup>(2)</sup> | 4.430%,04/20/2065 | 9163 | 0.0 |
| 111102 | 4.450%,07/15/2040 | 106906 | 0.0 |
| 62106 | 4.450%,09/15/2040 | 60303 | 0.0 |
| 60527 | 4.450%,10/15/2040 | 58769 | 0.0 |
| 598854<sup>(2)</sup> | 4.478%,01/20/2065 | 588012 | 0.1 |
| 5013 | 4.500%,07/20/2036 | 4957 | 0.0 |
| 395949 | 4.500%,10/15/2039 | 393426 | 0.1 |
| 295789 | 4.500%,11/15/2039 | 294168 | 0.0 |
| 287054 | 4.500%,11/15/2039 | 285480 | 0.0 |
| 96694 | 4.500%,12/15/2039 | 96076 | 0.0 |
| 233627 | 4.500%,01/15/2040 | 231770 | 0.0 |
| 24380 | 4.500%,01/20/2040 | 23835 | 0.0 |
| 1076769 | 4.500%,02/15/2040 | 1060903 | 0.1 |
| 51055 | 4.500%,06/15/2040 | 50108 | 0.0 |
| 22893 | 4.500%,07/20/2040 | 22383 | 0.0 |
| 80793 | 4.500%,08/20/2040 | 79030 | 0.0 |
| 609625 | 4.500%,09/20/2041 | 609004 | 0.1 |
| 220144 | 4.500%,10/20/2048 | 216336 | 0.0 |
| 102999 | 4.500%,11/20/2048 | 101247 | 0.0 |
| 3177551 | 4.500%,12/20/2048 | 3086533 | 0.3 |
| 77071 | 4.500%,01/20/2049 | 74885 | 0.0 |
| 269691 | 4.500%,03/20/2049 | 264944 | 0.0 |
| 44308 | 4.500%,05/20/2049 | 43431 | 0.0 |
| 4925700 | 4.500%,11/20/2049 | 4783968 | 0.4 |
| 6086469 | 4.500%,12/20/2049 | 5943093 | 0.5 |
| 11907<sup>(2)</sup> | 4.501%,10/20/2067 | 11650 | 0.0 |
| 1332980<sup>(2)</sup> | 4.514%,01/20/2065 | 1310763 | 0.1 |
| 20869<sup>(2)</sup> | 4.547%,04/20/2066 | 20534 | 0.0 |
| 1802435<sup>(2)</sup> | 4.548%,02/20/2065 | 1776087 | 0.2 |
| 26923 | 4.580%,01/20/2034 | 26414 | 0.0 |
| 41438 | 4.580%,03/20/2034 | 40654 | 0.0 |
| 42069 | 4.580%,04/20/2034 | 41273 | 0.0 |
| 32397 | 4.580%,04/20/2034 | 31784 | 0.0 |
| 41004 | 4.580%,06/20/2034 | 40228 | 0.0 |
| 112630<sup>(2)</sup> | 4.657%,09/20/2064 | 110914 | 0.0 |
| 290972<sup>(2)</sup> | 4.681%,10/20/2064 | 287072 | 0.0 |
| 287846<sup>(2)</sup> | 4.688%,09/20/2064 | 285353 | 0.0 |
| 433<sup>(2)</sup> | 4.700%,06/20/2061 | 428 | 0.0 |
| 4005<sup>(2)</sup> | 4.700%,08/20/2061 | 3966 | 0.0 |
| 431590 | 4.750%,06/15/2029 | 426822 | 0.1 |
| 106824 | 4.750%,01/15/2030 | 105300 | 0.0 |
| 50033 | 4.750%,06/20/2033 | 49017 | 0.0 |
| 36200 | 4.750%,07/20/2033 | 35701 | 0.0 |
| 21773 | 4.750%,07/20/2033 | 21535 | 0.0 |
| 45220 | 4.750%,07/20/2033 | 44302 | 0.0 |
| 58701 | 4.750%,08/20/2033 | 58006 | 0.0 |
| 24980 | 4.750%,08/20/2033 | 24425 | 0.0 |
| 20981 | 4.750%,09/20/2033 | 20514 | 0.0 |
| 28952 | 4.750%,10/20/2033 | 28609 | 0.0 |
| 23269 | 4.750%,11/20/2033 | 22752 | 0.0 |
| 20744 | 4.750%,12/20/2033 | 20272 | 0.0 |
| 194590 | 4.750%,09/15/2034 | 196535 | 0.0 |
| 21856 | 4.920%,04/20/2033 | 21497 | 0.0 |
| 43182 | 4.920%,04/20/2033 | 42515 | 0.0 |
| 28376 | 4.920%,05/20/2033 | 27903 | 0.0 |
| 27818 | 4.920%,05/20/2033 | 27441 | 0.0 |
| 25765 | 4.920%,05/20/2033 | 25335 | 0.0 |
| 3653 | 5.000%,03/20/2024 | 3666 | 0.0 |
| 546646 | 5.000%,04/20/2030 | 551882 | 0.1 |
| 150148 | 5.000%,07/15/2033 | 151090 | 0.0 |
| 41695 | 5.000%,03/15/2034 | 42023 | 0.0 |
| 60695 | 5.000%,01/15/2035 | 61076 | 0.0 |
| 82667 | 5.000%,03/15/2035 | 83458 | 0.0 |
| 7857 | 5.000%,03/15/2035 | 7940 | 0.0 |
| 28222 | 5.000%,04/15/2035 | 28466 | 0.0 |
| 190711 | 5.000%,04/15/2035 | 194270 | 0.0 |
| 14624 | 5.000%,05/15/2035 | 14828 | 0.0 |
| 41320 | 5.000%,05/20/2035 | 42212 | 0.0 |
| 220328 | 5.000%,11/20/2035 | 225093 | 0.0 |
| 106167 | 5.000%,04/20/2036 | 108466 | 0.0 |
| 40259 | 5.000%,06/20/2038 | 39471 | 0.0 |
| 14445 | 5.000%,08/20/2038 | 14487 | 0.0 |
| 163898 | 5.000%,10/20/2038 | 163410 | 0.0 |
| 29089 | 5.000%,11/20/2038 | 28464 | 0.0 |
| 109576 | 5.000%,01/20/2039 | 109872 | 0.0 |
| 37522 | 5.000%,02/15/2039 | 37846 | 0.0 |
| 152292 | 5.000%,03/15/2039 | 154253 | 0.0 |
| 648993 | 5.000%,11/15/2039 | 661153 | 0.1 |
| 522444 | 5.000%,11/15/2039 | 527946 | 0.1 |
| 57988 | 5.000%,11/15/2039 | 58401 | 0.0 |
| 70687 | 5.000%,04/15/2040 | 71763 | 0.0 |
| 598727 | 5.000%,09/15/2040 | 605034 | 0.1 |
| 453862 | 5.000%,07/20/2041 | 461995 | 0.1 |
| 30000000<sup>(5)</sup> | 5.000%,01/15/2053 | 29731252 | 2.5 |
| 4138 | 5.250%,01/15/2024 | 3942 | 0.0 |
| 34227 | 5.250%,06/15/2028 | 34456 | 0.0 |
| 53816 | 5.250%,06/15/2029 | 54437 | 0.0 |
| 836379 | 5.250%,01/20/2036 | 849313 | 0.1 |
| 108782 | 5.290%,07/20/2037 | 110805 | 0.0 |
| 78062 | 5.290%,08/20/2037 | 78789 | 0.0 |
| 94301 | 5.290%,09/20/2037 | 95718 | 0.0 |
| 117329 | 5.290%,09/20/2037 | 119511 | 0.0 |
| 109359 | 5.290%,01/20/2038 | 111393 | 0.0 |
| 2862 | 5.350%,01/15/2029 | 2896 | 0.0 |
| 5005 | 5.350%,01/20/2029 | 5027 | 0.0 |
| 26286 | 5.350%,04/20/2029 | 26473 | 0.0 |
| 25229 | 5.350%,06/20/2029 | 25408 | 0.0 |
| 29948 | 5.350%,10/20/2029 | 30157 | 0.0 |
| 72292 | 5.350%,07/20/2033 | 73412 | 0.0 |
| 12593 | 5.350%,08/20/2033 | 12683 | 0.0 |
| 139692 | 5.390%,08/20/2038 | 137062 | 0.0 |
| 70165 | 5.390%,09/15/2038 | 71632 | 0.0 |
| 24108 | 5.490%,08/20/2033 | 24382 | 0.0 |
| 43052 | 5.490%,09/20/2033 | 43540 | 0.0 |
| 41346 | 5.490%,09/20/2033 | 41741 | 0.0 |
| 178504 | 5.490%,09/20/2033 | 180752 | 0.0 |
| 266857 | 5.490%,10/20/2033 | 270403 | 0.0 |
| 182063 | 5.490%,10/20/2033 | 184354 | 0.0 |
| 252160 | 5.490%,11/20/2033 | 255878 | 0.0 |
| 134130 | 5.490%,11/20/2033 | 135860 | 0.0 |
| 128929 | 5.490%,12/20/2033 | 130590 | 0.0 |
| 158744 | 5.490%,12/20/2033 | 160890 | 0.0 |
| 211767 | 5.490%,12/20/2033 | 213933 | 0.0 |
| 43186 | 5.490%,01/20/2034 | 43676 | 0.0 |
| 36738 | 5.490%,03/20/2034 | 37151 | 0.0 |
| 91573 | 5.490%,03/20/2034 | 92283 | 0.0 |
| 37078 | 5.490%,06/20/2034 | 37499 | 0.0 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** |  |
|  | **Government National Mortgage Association: (continued)** | **Government National Mortgage Association: (continued)** | **Government National Mortgage Association: (continued)** |
| 10551 | 5.500%,08/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;10523 | 0.0 |
| 8448 | 5.500%,08/20/2024 | 8503 | 0.0 |
| 401 | 5.500%,04/20/2029 | 404 | 0.0 |
| 114870 | 5.500%,09/15/2029 | 119054 | 0.0 |
| 79923 | 5.500%,10/15/2029 | 83216 | 0.0 |
| 24140 | 5.500%,12/20/2032 | 24784 | 0.0 |
| 74427 | 5.500%,08/20/2033 | 76408 | 0.0 |
| 55463 | 5.500%,11/20/2033 | 55157 | 0.0 |
| 21505 | 5.500%,12/20/2033 | 22181 | 0.0 |
| 59220 | 5.500%,03/20/2034 | 58890 | 0.0 |
| 106636 | 5.500%,04/20/2034 | 105879 | 0.0 |
| 124065 | 5.500%,04/20/2034 | 127263 | 0.0 |
| 77443 | 5.500%,06/20/2034 | 76910 | 0.0 |
| 153635 | 5.500%,06/20/2034 | 154971 | 0.0 |
| 67226 | 5.500%,07/20/2034 | 67700 | 0.0 |
| 97717 | 5.500%,01/20/2035 | 97043 | 0.0 |
| 68045 | 5.500%,05/15/2035 | 69041 | 0.0 |
| 14502 | 5.500%,06/20/2035 | 14602 | 0.0 |
| 182322 | 5.500%,07/15/2035 | 185370 | 0.0 |
| 81100 | 5.500%,08/15/2035 | 82297 | 0.0 |
| 79010 | 5.500%,09/20/2035 | 79568 | 0.0 |
| 141644 | 5.500%,04/15/2036 | 143813 | 0.0 |
| 27718 | 5.500%,06/20/2036 | 28869 | 0.0 |
| 2475 | 5.500%,06/20/2038 | 2503 | 0.0 |
| 13098 | 5.500%,08/20/2038 | 13260 | 0.0 |
| 7376 | 5.500%,09/20/2038 | 7445 | 0.0 |
| 1457 | 5.500%,10/20/2038 | 1445 | 0.0 |
| 14873 | 5.500%,11/20/2038 | 15034 | 0.0 |
| 743 | 5.500%,12/20/2038 | 750 | 0.0 |
| 46373 | 5.500%,01/15/2039 | 47059 | 0.0 |
| 5615 | 5.500%,01/20/2039 | 5551 | 0.0 |
| 25566 | 5.500%,06/15/2039 | 25940 | 0.0 |
| 15843 | 5.500%,06/20/2039 | 15745 | 0.0 |
| 21071 | 5.500%,10/20/2039 | 21939 | 0.0 |
| 163645 | 5.500%,09/15/2040 | 166306 | 0.0 |
| 67729 | 5.580%,12/20/2033 | 68247 | 0.0 |
| 36528 | 5.580%,12/20/2033 | 37186 | 0.0 |
| 128094 | 5.580%,01/20/2034 | 129371 | 0.0 |
| 46368 | 5.580%,02/20/2034 | 46772 | 0.0 |
| 38051 | 5.580%,03/20/2034 | 38383 | 0.0 |
| 60284 | 5.580%,04/20/2034 | 61542 | 0.0 |
| 44323 | 5.580%,04/20/2034 | 45141 | 0.0 |
| 120565 | 5.580%,04/20/2034 | 121881 | 0.0 |
| 33274 | 5.580%,06/20/2034 | 33971 | 0.0 |
| 52053 | 5.580%,09/20/2034 | 53015 | 0.0 |
| 192727 | 5.590%,06/20/2033 | 194786 | 0.0 |
| 13414 | 5.590%,07/20/2033 | 13533 | 0.0 |
| 88220 | 5.590%,07/20/2033 | 89008 | 0.0 |
| 148811 | 5.590%,07/20/2033 | 150399 | 0.0 |
| 29485 | 5.590%,07/20/2033 | 30096 | 0.0 |
| 101729 | 5.590%,08/20/2033 | 102738 | 0.0 |
| 22744 | 5.590%,09/20/2033 | 23172 | 0.0 |
| 154166 | 5.590%,09/20/2033 | 155813 | 0.0 |
| 39178 | 5.590%,09/20/2033 | 39990 | 0.0 |
| 59725 | 5.590%,10/20/2033 | 60961 | 0.0 |
| 24934 | 5.590%,11/20/2033 | 25389 | 0.0 |
| 45743 | 5.590%,11/20/2033 | 46694 | 0.0 |
| 44093 | 5.590%,11/20/2033 | 45003 | 0.0 |
| 72121 | 5.590%,12/20/2033 | 73443 | 0.0 |
| 236548 | 5.740%,09/20/2037 | 239835 | 0.0 |
| 77370 | 5.740%,09/20/2037 | 78306 | 0.0 |
| 81043 | 5.740%,10/20/2037 | 82023 | 0.0 |
| 84696 | 5.740%,04/20/2038 | 85719 | 0.0 |
| 7595 | 5.750%,11/15/2024 | 7578 | 0.0 |
| 367366 | 5.750%,07/15/2029 | 370545 | 0.0 |
| 275825 | 5.750%,08/15/2029 | 277861 | 0.0 |
| 39492 | 5.750%,11/15/2029 | 39786 | 0.0 |
| 335429 | 5.750%,11/15/2029 | 338299 | 0.0 |
| 135364 | 5.770%,03/20/2033 | 137272 | 0.0 |
| 37366 | 5.770%,03/20/2033 | 37840 | 0.0 |
| 33357 | 5.770%,04/20/2033 | 33780 | 0.0 |
| 68163 | 5.770%,04/20/2033 | 69028 | 0.0 |
| 76276 | 5.770%,05/20/2033 | 77244 | 0.0 |
| 32736 | 5.770%,05/20/2033 | 33152 | 0.0 |
| 84313 | 5.770%,05/20/2033 | 85383 | 0.0 |
| 32631 | 5.770%,06/20/2033 | 33043 | 0.0 |
| 63704 | 5.770%,07/20/2033 | 64510 | 0.0 |
| 58018 | 5.770%,07/20/2033 | 58754 | 0.0 |
| 25969 | 5.900%,05/20/2028 | 26366 | 0.0 |
| 1095106 | 5.970%,11/15/2031 | 1092901 | 0.1 |
| 13813 | 6.000%,10/15/2025 | 14203 | 0.0 |
| 58993 | 6.000%,04/15/2026 | 59084 | 0.0 |
| 26720 | 6.000%,10/20/2027 | 27186 | 0.0 |
| 71055 | 6.000%,05/15/2029 | 71300 | 0.0 |
| 56982 | 6.000%,07/15/2029 | 56127 | 0.0 |
| 42186 | 6.000%,10/20/2034 | 44591 | 0.0 |
| 109507 | 6.000%,03/15/2037 | 116196 | 0.0 |
| 59035 | 6.000%,08/20/2038 | 61260 | 0.0 |
| 11660 | 6.000%,09/20/2038 | 11741 | 0.0 |
| 16708 | 6.000%,10/20/2038 | 17109 | 0.0 |
| 67997 | 6.000%,11/15/2038 | 69804 | 0.0 |
| 72598 | 6.000%,12/15/2038 | 74525 | 0.0 |
| 167075 | 6.000%,08/15/2039 | 171716 | 0.0 |
| 222684 | 6.000%,08/15/2039 | 229262 | 0.0 |
| 15427 | 6.500%,07/20/2029 | 15620 | 0.0 |
| 40276 | 6.500%,07/20/2032 | 40155 | 0.0 |
| 68085 | 6.500%,02/15/2034 | 67992 | 0.0 |
| 172 | 6.500%,09/20/2034 | 171 | 0.0 |
| 4011 | 7.500%,08/20/2027 | 4109 | 0.0 |
|  |  | **777516611** | **64.1** |
|  | **Uniform Mortgage-Backed Securities: 4.2%** | **Uniform Mortgage-Backed Securities: 4.2%** | **Uniform Mortgage-Backed Securities: 4.2%** |
| 2820200 | 2.000%,12/01/2051 | 2302643 | 0.2 |
| 2774024 | 2.500%,12/01/2051 | 2354845 | 0.2 |
| 1883902 | 2.500%,02/01/2052 | 1617358 | 0.2 |
| 2632935 | 3.000%,11/01/2051 | 2315301 | 0.2 |
| 1849672 | 3.000%,01/01/2052 | 1645255 | 0.2 |
| 1833140 | 3.500%,02/01/2052 | 1682020 | 0.2 |
| 5553358 | 3.500%,03/01/2052 | 5108786 | 0.4 |
| 3400000<sup>(5)</sup> | 3.500%,01/15/2053 | 3089292 | 0.3 |
| 5870128 | 4.000%,05/01/2042 | 5643667 | 0.5 |
| 332275 | 4.000%,05/01/2045 | 318580 | 0.0 |
| 367565 | 4.000%,08/01/2046 | 352261 | 0.0 |
| 1520000<sup>(5)</sup> | 4.000%,01/15/2053 | 1425718 | 0.1 |
| 309825 | 4.250%,08/01/2035 | 303168 | 0.0 |
| 4536801 | 4.500%,07/01/2052 | 4371529 | 0.4 |
| 48980 | 4.750%,11/01/2034 | 48474 | 0.0 |
| 292541 | 4.750%,11/01/2034 | 291726 | 0.0 |
| 246649 | 4.750%,02/01/2035 | 245962 | 0.0 |
| 336514 | 4.750%,04/01/2035 | 334271 | 0.0 |
| 384030 | 4.750%,05/01/2035 | 383270 | 0.0 |
| 68369 | 4.750%,07/01/2035 | 67416 | 0.0 |
| 464304 | 4.750%,07/01/2035 | 466028 | 0.1 |
| 9329205 | 5.000%,05/01/2042 | 9535690 | 0.8 |
| 37840 | 5.030%,05/01/2037 | 37696 | 0.0 |
| 92951 | 5.030%,09/01/2037 | 92921 | 0.0 |
| 146153 | 5.155%,01/01/2037 | 147256 | 0.0 |
| 35242 | 5.250%,04/01/2032 | 35438 | 0.0 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** | **U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued)** |  |
|  | **Uniform Mortgage-Backed Securities: (continued)** | **Uniform Mortgage-Backed Securities: (continued)** | **Uniform Mortgage-Backed Securities: (continued)** |
| 81268 | 5.250%,04/01/2032 | $81542 | 0.0 |
| 94341 | 5.280%,11/01/2036 | 95059 | 0.0 |
| 24951 | 5.280%,11/01/2036 | 25146 | 0.0 |
| 42170 | 5.280%,01/01/2037 | 42497 | 0.0 |
| 86426 | 5.290%,08/01/2037 | 87264 | 0.0 |
| 61063 | 5.290%,09/01/2037 | 61370 | 0.0 |
| 67216 | 5.290%,09/01/2037 | 67756 | 0.0 |
| 16097 | 5.300%,10/01/2036 | 16170 | 0.0 |
| 72120 | 5.300%,12/01/2036 | 72434 | 0.0 |
| 47870 | 5.300%,05/01/2037 | 48354 | 0.0 |
| 221740 | 5.300%,08/01/2037 | 224227 | 0.0 |
| 110746 | 5.390%,12/01/2037 | 112401 | 0.0 |
| 158266 | 5.405%,11/01/2036 | 160780 | 0.0 |
| 204613 | 5.405%,02/01/2037 | 209121 | 0.0 |
| 4975392 | 5.500%,12/01/2052 | 4993411 | 0.4 |
| 70148 | 5.740%,07/01/2037 | 70806 | 0.0 |
| 8021 | 7.500%,05/01/2028 | 8003 | 0.0 |
|  |  | **50592912** | **4.2** |
|  | Total U.S. Government Agency Obligations |  |  |
|  | (Cost $912,718,688) | **855258890** | **70.5** |

---

---

| | | | |
|:---|:---|:---|:---|
| **COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.4%** | **COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.4%** | **COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.4%** |  |
| 9260316<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K106 X1, 1.354%, 01/25/2030 | 682135 | 0.1 |
| 28102267<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K107 X1, 1.691%, 03/25/2030 | 2667818 | 0.2 |
| 19427180<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K110 X1, 1.697%, 04/25/2030 | 1802961 | 0.2 |
| 2984793<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K119 X1, 0.931%, 09/25/2030 | 161054 | 0.0 |
| 16496401<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K-1516 X1, 1.511%, 05/25/2035 | 1937234 | 0.2 |
| 14679354<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K-1517 X1, 1.324%, 07/25/2035 | 1533333 | 0.1 |
| 34229600<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K-1519 X1, 0.599%, 12/25/2035 | 1683052 | 0.1 |
| 24830944<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K740 X1, 0.756%, 09/25/2027 | 715716 | 0.1 |
| 31466000<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates KL06 XFX, 1.364%, 12/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;2230360 | 0.2 |
| 34783948<sup>(1),(2)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates KLU3 X1, 1.937%, 01/25/2031 | 3854743 | 0.3 |
| 264253<sup>(2)</sup> | Ginnie Mae 2004-23 Z, 5.759%, 03/16/2044 | 259896 | 0.0 |
| 3977349<sup>(1),(2)</sup> | Ginnie Mae 2006-67 IO, 0.546%, 11/16/2046 | 9396 | 0.0 |
| 45284<sup>(2)</sup> | Ginnie Mae 2007-52 Z, 4.350%, 01/16/2048 | 45166 | 0.0 |
| 483828 | Ginnie Mae 2008-39 Z, 4.500%, 02/16/2048 | 482573 | 0.1 |
| 225230<sup>(1),(2)</sup> | Ginnie Mae 2008-45 IO, 0.857%, 02/16/2048 | 595 | 0.0 |
| 63480<sup>(2)</sup> | Ginnie Mae 2009-115 D, 4.824%, 01/16/2050 | 62745 | 0.0 |
| 58077<sup>(1),(2)</sup> | Ginnie Mae 2010-123 IA, 2.050%, 10/16/2052 | 45 | 0.0 |
| 8307116<sup>(1),(2)</sup> | Ginnie Mae 2011-47 IO, 0.139%, 01/16/2051 | 21603 | 0.0 |
| 1931728<sup>(2)</sup> | Ginnie Mae 2018-114 Z, 3.100%, 04/16/2060 | 1456626 | 0.1 |
| 10912644 | Ginnie Mae 2018-116 Z, 3.000%, 06/16/2058 | 8883185 | 0.7 |
| 1948023 | Ginnie Mae 2018-169 Z, 3.000%, 04/16/2061 | 1330717 | 0.1 |
| 1937870 | Ginnie Mae 2019-17 Z, 3.000%, 12/16/2060 | 1340264 | 0.1 |
| 2565833<sup>(2)</sup> | Ginnie Mae 2019-19 Z, 3.200%, 11/16/2060 | 2061408 | 0.2 |
| 3351723 | Ginnie Mae 2019-53 Z, 3.000%, 06/16/2061 | 2552048 | 0.2 |
| 5140375 | Ginnie Mae 2021-79, 1.750%, 08/16/2063 | 2514164 | 0.2 |
| 2560048 | Ginnie Mae 2021-80 Z, 1.500%, 12/16/2062 | 1297840 | 0.1 |
| 2333712 | Ginnie Mae 2021-90 B, 1.750%, 05/16/2061 | 1251781 | 0.1 |
|  | Total Commercial Mortgage-Backed Securities |  |  |
|  | (Cost $53,005,252) | **40838458** | **3.4** |
| **ASSET-BACKED SECURITIES: 0.1%** | **ASSET-BACKED SECURITIES: 0.1%** | **ASSET-BACKED SECURITIES: 0.1%** |  |
|  | **Other Asset-Backed Securities: 0.1%** | **Other Asset-Backed Securities: 0.1%** | **Other Asset-Backed Securities: 0.1%** |
| 1189045 | Fannie Mae Grantor Trust 2001-T9 A1, 4.499%, (US0001M + 0.220%), 09/25/2031 | 1175199 | 0.1 |
| 96360<sup>(2)</sup> | Fannie Mae Grantor Trust 2003-T4 2A6, 4.453%, 07/26/2033 | 93878 | 0.0 |
| 11936<sup>(2)</sup> | Fannie Mae REMIC Trust 2001-W4 AF6, 5.110%, 01/25/2032 | 11910 | 0.0 |
| 9840<sup>(2)</sup> | Fannie Mae REMIC Trust 2002-W12 AF6, 5.066%, 02/25/2033 | 9263 | 0.0 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **ASSET-BACKED SECURITIES: (continued)** | **ASSET-BACKED SECURITIES: (continued)** | **ASSET-BACKED SECURITIES: (continued)** |  |
|  | **Other Asset-Backed Securities: (continued)** | **Other Asset-Backed Securities: (continued)** | **Other Asset-Backed Securities: (continued)** |
| 9052<sup>(2)</sup> | Fannie Mae REMIC Trust 2002-W2 AF6, 6.000%, 05/25/2032 | $8912 | 0.0 |
|  | Total Asset-Backed Securities |  |  |
|  | (Cost $1,303,354) | **1299162** | **0.1** |
|  | Total Long-Term Investments |  |  |
|  | (Cost $1,683,025,865) | **1552709897** | **128.0** |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **SHORT-TERM INVESTMENTS: 1.8%** | **SHORT-TERM INVESTMENTS: 1.8%** | **SHORT-TERM INVESTMENTS: 1.8%** | **SHORT-TERM INVESTMENTS: 1.8%** |
|  | **U.S. Government Agency Obligations: 1.8%** | **U.S. Government Agency Obligations: 1.8%** | **U.S. Government Agency Obligations: 1.8%** |
| 1500000 | Federal Home Loan Bank Discount Notes, 4.190%, 02/15/2023 | 1492118 | 0.1 |
| 20000000 | Federal Home Loan Bank Discount Notes, 4.230%, 03/10/2023 | 19841343 | 1.7 |
|  | Total U.S. Government Agency Obligations |  |  |
|  | Total Short-Term Investments |  |  |
|  | (Cost $21,325,291) | **21333461** | **1.8** |
|  | **Total Investments in Securities**<br> **(Cost $1,704,351,156)** | $**1574043358** | **129.8** |
|  | **Liabilities in Excess of Other Assets** | **(361624778)** | &nbsp;&nbsp;&nbsp;&nbsp;**(29.8**) |
|  | **Net Assets** | $**1212418580** | &nbsp;&nbsp;&nbsp;&nbsp;**100.0** |

---

† Unless otherwise indicated, principal amount is shown in USD.

(1) Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security.

(2) Variable rate security. Rate shown is the rate in effect as of December 31, 2022.

(3) Principal only securities represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. No payments of interest on the pool are passed through the principal only security.

(4) The Federal Housing Finance Agency ("FHFA") placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.

(5) Represents or includes a TBA transaction.

Reference Rate Abbreviations: <br> H15T1Y U.S. Treasury 1-Year Constant Maturity <br> US0001M 1-month LIBOR

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

**Fair Value Measurements**

The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the assets and liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Quoted Prices<br> in Active Markets<br> for Identical<br> Investments<br> (Level 1)** | **Significant<br> Other<br> Observable<br> Inputs<br> (Level 2)** | **Significant<br> Unobservable<br> Inputs<br> (Level 3)** | **Fair Value<br> at<br> December 31, 2022** |
| **Asset Table** |  |  |  |  |
| **Investments, at fair value** |  |  |  |  |
| Collateralized Mortgage Obligations | $– | $655313387 | $– | $655313387 |
| U.S. Government Agency Obligations |  | 855258890 |  | 855258890 |
| Commercial Mortgage-Backed Securities |  | 40838458 |  | 40838458 |
| Asset-Backed Securities |  | 1299162 |  | 1299162 |
| Short-Term Investments | – | 21333461 | – | 21333461 |
| Total Investments, at fair value | $– | $1574043358 | $– | $1574043358 |
| **Other Financial Instruments+** |  |  |  |  |
| Futures | 711646 | – | – | 711646 |
| Total Assets | $711646 | $1574043358 | $– | $1574755004 |
| **Liabilities Table** |  |  |  |  |
| **Other Financial Instruments+** |  |  |  |  |
| Futures | $(188426) | $– | $– | $(188426) |
| Total Liabilities | $(188426) | $– | $– | $(188426) |

---

---

| | |
|:---|:---|
| + | Other Financial Instruments may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are fair valued at the unrealized appreciation (depreciation) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |

---

At December 31, 2022, the following futures contracts were outstanding for Voya GNMA Income Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number<br> of Contracts** | **Expiration<br> Date** | **Notional<br> Amount** | **Unrealized<br> Appreciation/<br> (Depreciation)** |
| Long Contracts: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Ultra Long Bond | 74 | 03/22/23 | $9939125 | $(105954) |
|  |  |  | $9939125 | $(105954) |
| Short Contracts: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 10-Year Note | (631) | 03/22/23 | (70859328) | 378311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 2-Year Note | (147) | 03/31/23 | (30146484) | (38190) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 5-Year Note | (1003) | 03/31/23 | (108253477) | (44282) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Long Bond | (142) | 03/22/23 | (17798813) | 220713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Ultra 10-Year Note | (81) | 03/22/23 | (9580781) | 112622 |
|  |  |  | $(236638883) | $629174 |

---

<u>Voya GNMA Income Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

At December 31, 2022, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments on a tax basis were:

---

| | |
|:---|:---|
| Cost for federal income tax purposes was $1,714,324,162. | Cost for federal income tax purposes was $1,714,324,162. |
| Net unrealized depreciation consisted of: | Net unrealized depreciation consisted of: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gross Unrealized Appreciation | $3317857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gross Unrealized Depreciation | (143075441) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Unrealized Depreciation | $(139757584) |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Voya Funds Trust

- **b. Investment Company Act file number:** 811-08895

- **c. CIK number of Registrant:** 0001066602

- **d. LEI of Registrant:** 5493002OZLWDCTJEFB81

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

  - **Street Address 1:** 7337 East Doubletree Ranch Road

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

  - **Telephone number:** 1-800-992-0180

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

- **a. Name of Series:** VOYA GNMA INCOME FUND

- **b. EDGAR series identifier (if any):** S000008394

- **c. LEI of Series:** 8HD244MD4VNYFVS1BV63

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

- **a. Date of fiscal year-end:** 2023-03-31

- **b. Date as of which information is reported:** 2022-12-30

**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:** $1593283960.30

**Total Liabilities:** $380966592.46

**Net Assets:** $1212317367.84

**Delayed Delivery Securities:** $903349.45

**Stand-by Commitments:** $374974225.71

**Cash Not Reported:** $13387760.77

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 254010.00000000 | **1-Year:** 7.00000000 | **5-Year:** 11016.00000000 | **10-Year:** 150339.00000000 | **30-Year:** 471336.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000219637 | -1.35%               | 3.65%                | -0.84%               |
| Class ID C000023002 | -1.41%               | 3.58%                | -0.91%               |
| Class ID C000057275 | -1.52%               | 3.59%                | -0.89%               |
| Class ID C000023005 | -1.52%               | 3.60%                | -0.88%               |
| Class ID C000122009 | -1.38%               | 3.60%                | -0.88%               |
| Class ID C000023004 | -1.62%               | 3.54%                | -0.98%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-29318210.79            | $9767833.41                                |
| Month 2  | $9172966.16              | $29480058.10                               |
| Month 3  | $9381255.83              | $-24745019.94                              |

**Designated Index Information**

- **Index Name:** Bloomberg GNMA Index

- **Index Identifier:** LGNMTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1220715 | PA      | $1208494.66   | 0.10%             | 2065-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376V2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172930 | PA      | $8456.15      | 0.00%             | 2039-07-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379DCW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2045692 | PA      | $401845.63    | 0.03%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                   | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17929000 | PA      | $15029952.60  | 1.24%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377KWB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    918000 | PA      | $875016.67    | 0.07%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3620AXEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    836379 | PA      | $849312.89    | 0.07%             | 2036-01-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B7T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1460058 | PA      | $1458431.82   | 0.12%             | 2063-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374HA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666604 | PA      | $676641.80    | 0.06%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617AAP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124861 | PA      | $112183.06    | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192295 | PA      | $190517.89    | 0.02%             | 2058-08-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1634885 | PA      | $1624427.69   | 0.13%             | 2064-12-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176TQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175639 | PA      | $163072.95    | 0.01%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617AFU84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1395599 | PA      | $1336167.89   | 0.11%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379C5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1883202 | PA      | $137468.65    | 0.01%             | 2044-07-16      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138LSKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5870128 | PA      | $5643667.19   | 0.47%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31292HAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4185 | PA      | $4373.25      | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375GFP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705049 | PA      | $59521.95     | 0.00%             | 2042-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36292KJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58993 | PA      | $59083.61     | 0.00%             | 2026-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290RB51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25765 | PA      | $25334.91     | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413AK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204613 | PA      | $209121.05    | 0.02%             | 2037-02-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291KMV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41004 | PA      | $40227.57     | 0.00%             | 2034-06-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18951286 | PA      | $16497491.43  | 1.36%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202D5D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124065 | PA      | $127263.30    | 0.01%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AVJ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53816 | PA      | $54437.34     | 0.00%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UWE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2987947 | PA      | $2929197.36   | 0.24%             | 2065-04-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422868 | PA      | $420830.91    | 0.03%             | 2064-03-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36176LGJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1124861 | PA      | $1074809.10   | 0.09%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36290T5F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109507 | PA      | $116196.25    | 0.01%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2910 | PA      | $2380.76      | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377LAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2021869.20   | 0.17%             | 2040-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394VV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4836311 | PA      | $421268.79    | 0.03%             | 2036-03-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620A65D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    648993 | PA      | $661153.09    | 0.05%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4350679 | PA      | $3783549.41   | 0.31%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202DVM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24140 | PA      | $24784.17     | 0.00%             | 2032-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376ETW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1548591 | PA      | $28988.07     | 0.00%             | 2039-04-16      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394BQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1885839 | PA      | $2005172.62   | 0.17%             | 2034-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377J4M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7313926 | PA      | $7243830.82   | 0.60%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291SSS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97717 | PA      | $97042.76     | 0.01%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2984793 | PA      | $161053.90    | 0.01%             | 2030-09-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WESG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332275 | PA      | $318579.74    | 0.03%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379FCK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15125000 | PA      | $13774944.01  | 1.14%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2205884 | PA      | $2178363.11   | 0.18%             | 2066-02-20      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202DX55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62224 | PA      | $59476.26     | 0.00%             | 2033-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38382QR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16111172 | PA      | $329786.03    | 0.03%             | 2051-05-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394U5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1861549 | PA      | $1910731.12   | 0.16%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3527671 | PA      | $3286240.21   | 0.27%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137BGLS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7933477 | PA      | $720362.05    | 0.06%             | 2045-02-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730317 | PA      | $678787.74    | 0.06%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413UWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92951 | PA      | $92920.96     | 0.01%             | 2037-09-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290Q4H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28376 | PA      | $27902.97     | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291A7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23269 | PA      | $22751.58     | 0.00%             | 2033-11-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377QTH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5899500 | PA      | $5729304.52   | 0.47%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Seasoned Credit Risk Transfer Trust Series 2019-1            | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4418818 | PA      | $4203027.62   | 0.35%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31378XLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21460 | PA      | $21412.55     | 0.00%             | 2027-11-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36295Q6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77370 | PA      | $78305.78     | 0.01%             | 2037-09-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137AJH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4459224 | PA      | $419533.64    | 0.03%             | 2041-11-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375GC58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    792143 | PA      | $82965.98     | 0.01%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826846 | PA      | $821484.00    | 0.07%             | 2067-08-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377JXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2429136 | PA      | $2406245.61   | 0.20%             | 2040-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 312938Z97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139303 | PA      | $141356.13    | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4400022 | PA      | $4348041.28   | 0.36%             | 2066-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36178SC89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138192 | PA      | $133672.12    | 0.01%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3622AAHD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11274025 | PA      | $10512679.35  | 0.87%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    777565 | PA      | $770621.63    | 0.06%             | 2062-12-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128KRUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91776 | PA      | $92665.56     | 0.01%             | 2037-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140JBCA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745390 | PA      | $755632.54    | 0.06%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DC66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37277 | PA      | $38002.01     | 0.00%             | 2037-05-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36210WBA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26286 | PA      | $26472.80     | 0.00%             | 2029-04-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177U5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168915 | PA      | $154802.16    | 0.01%             | 2042-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380QBX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5602720 | PA      | $5564751.65   | 0.46%             | 2070-05-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291A5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252160 | PA      | $255878.14    | 0.02%             | 2033-11-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407G5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68369 | PA      | $67416.31     | 0.01%             | 2035-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376GVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58077 | PA      | $45.42        | 0.00%             | 2052-10-16      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XSQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24108 | PA      | $24382.07     | 0.00%             | 2033-08-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291BBB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158744 | PA      | $160889.59    | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36295Q3G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94301 | PA      | $95718.25     | 0.01%             | 2037-09-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413SEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108428 | PA      | $106547.83    | 0.01%             | 2047-10-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379PF69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4689202 | PA      | $3981553.04   | 0.33%             | 2045-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375QLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625394 | PA      | $48998.25     | 0.00%             | 2038-05-16      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                        | CUSIP: 313384BX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1500000 | PA      | $1492117.28   | 0.12%             | 2023-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19169347 | PA      | $16716407.13  | 1.38%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BSP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246609 | PA      | $1238587.41   | 0.10%             | 2062-05-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291EDF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45743 | PA      | $46693.75     | 0.00%             | 2033-11-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262304 | PA      | $262066.56    | 0.02%             | 2061-10-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177WRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30879 | PA      | $28327.84     | 0.00%             | 2042-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2019-2    | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3362841 | PA      | $3095737.82   | 0.26%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DFX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52508 | PA      | $53039.25     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374GCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447220 | PA      | $454193.66    | 0.04%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14765654 | PA      | $12394292.38  | 1.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398035 | PA      | $391747.35    | 0.03%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36295YLY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109359 | PA      | $111393.25    | 0.01%             | 2038-01-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36691087 | PA      | $30989222.13  | 2.56%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36291EKE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4138 | PA      | $3942.14      | 0.00%             | 2024-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1778010 | PA      | $1773550.88   | 0.15%             | 2062-07-20      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31411NJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60896 | PA      | $60778.16     | 0.01%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376R5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1252464 | PA      | $1239710.18   | 0.10%             | 2067-06-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36296Q6J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167075 | PA      | $171716.31    | 0.01%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BQN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1783797 | PA      | $1774476.69   | 0.15%             | 2062-03-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1236978 | PA      | $1224386.23   | 0.10%             | 2062-12-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                       | Vendee Mortgage Trust 2011-2                                 | CUSIP: 92262BAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23913848 | PA      | $387810.87    | 0.03%             | 2041-10-15      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375PR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2890806 | PA      | $2950580.99   | 0.24%             | 2038-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EVH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59035 | PA      | $61260.00     | 0.01%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AVV22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5408345 | PA      | $4986845.96   | 0.41%             | 2047-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380UFA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $8457018.00   | 0.70%             | 2047-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380MXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1948023 | PA      | $1330716.92   | 0.11%             | 2061-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31397AM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3747788 | PA      | $4040737.78   | 0.33%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374TG81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1258238 | PA      | $1246019.80   | 0.10%             | 2039-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381XL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3223469 | PA      | $3144534.05   | 0.26%             | 2049-08-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378VSP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1290168 | PA      | $89676.89     | 0.01%             | 2043-07-20      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132XVR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1615293 | PA      | $1504747.74   | 0.12%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431630 | PA      | $428795.90    | 0.04%             | 2061-03-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413SND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76308 | PA      | $74987.17     | 0.01%             | 2037-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31406EEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292541 | PA      | $291725.89    | 0.02%             | 2034-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380GHF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1660186 | PA      | $1287758.20   | 0.11%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                     | Fannie Mae Grantor Trust 2003-T4                             | CUSIP: 31393AV79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     96360 | PA      | $93878.04     | 0.01%             | 2033-07-26      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136ABMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9910388 | PA      | $476673.79    | 0.04%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210863 | PA      | $213078.47    | 0.02%             | 2035-03-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31393YFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1949927 | PA      | $2033319.90   | 0.17%             | 2034-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                   | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 186850000 | PA      | $166418047.79 | 13.73%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31398VN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1111911 | PA      | $1114232.45   | 0.09%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378J2A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336633 | PA      | $4702.36      | 0.00%             | 2040-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376T2S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    888445 | PA      | $120747.36    | 0.01%             | 2040-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through               | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31392UZ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1019106 | PA      | $949415.92    | 0.08%             | 2033-07-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413SEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268963 | PA      | $265970.31    | 0.02%             | 2047-10-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374KA37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422788 | PA      | $33667.11     | 0.00%             | 2035-02-16      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UUZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2236131 | PA      | $2193457.56   | 0.18%             | 2065-03-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202E5Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15843 | PA      | $15745.29     | 0.00%             | 2039-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36296UNS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46373 | PA      | $47058.92     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394CQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2342932 | PA      | $217983.38    | 0.02%             | 2035-03-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B3Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    914341 | PA      | $909813.15    | 0.08%             | 2063-07-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36292JPX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13813 | PA      | $14203.34     | 0.00%             | 2025-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31398P4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    984011 | PA      | $981589.35    | 0.08%             | 2040-05-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2004-W3                               | CUSIP: 31393XVK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2053556 | PA      | $2043932.89   | 0.17%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36181CJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    392362 | PA      | $374671.29    | 0.03%             | 2034-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374NEW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4897482 | PA      | $44835.96     | 0.00%             | 2036-06-20      | Floating      | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31379QHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8020 | PA      | $8002.95      | 0.00%             | 2028-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3115855 | PA      | $2914191.52   | 0.24%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341222 | PA      | $338720.27    | 0.03%             | 2061-02-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RYM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10762348 | PA      | $10676294.52  | 0.88%             | 2066-09-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31414KSK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110746 | PA      | $112401.09    | 0.01%             | 2037-12-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BRW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1505261 | PA      | $1495606.10   | 0.12%             | 2062-04-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376GJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8307116 | PA      | $21602.65     | 0.00%             | 2051-01-16      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290UGW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26720 | PA      | $27185.82     | 0.00%             | 2027-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220144 | PA      | $216336.06    | 0.02%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Series 2019-1          | CUSIP: 35564CBC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6035000 | PA      | $5544028.61   | 0.46%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138ERG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367565 | PA      | $352261.06    | 0.03%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407EE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384030 | PA      | $383270.29    | 0.03%             | 2035-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31335Y6E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35620 | PA      | $36033.94     | 0.00%             | 2038-01-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176SX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301668 | PA      | $287439.88    | 0.02%             | 2041-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36181V6L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    865415 | PA      | $848178.50    | 0.07%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36181PCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287846 | PA      | $285352.59    | 0.02%             | 2064-09-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136A7BY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1333332 | PA      | $84500.35     | 0.01%             | 2032-06-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35724 | PA      | $36081.58     | 0.00%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436651 | PA      | $433707.96    | 0.04%             | 2068-02-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291HBZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91573 | PA      | $92283.27     | 0.01%             | 2034-03-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202ETT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40259 | PA      | $39471.14     | 0.00%             | 2038-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DHW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73623 | PA      | $74590.28     | 0.01%             | 2037-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36295MVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78062 | PA      | $78789.10     | 0.01%             | 2037-08-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36292EXK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79010 | PA      | $79567.97     | 0.01%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44308 | PA      | $43430.55     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B7B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1446868 | PA      | $1436457.54   | 0.12%             | 2063-06-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379EWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2793200 | PA      | $2656680.39   | 0.22%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36291HTN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41695 | PA      | $42023.33     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413AK36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42170 | PA      | $42497.04     | 0.00%             | 2037-01-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14679354 | PA      | $1533332.67   | 0.13%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BNA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1252148 | PA      | $1244444.81   | 0.10%             | 2061-09-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374FYS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    649353 | PA      | $652714.94    | 0.05%             | 2034-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291LUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67226 | PA      | $67699.98     | 0.01%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 312934HK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429760 | PA      | $434916.85    | 0.04%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379CZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    931331 | PA      | $68846.15     | 0.01%             | 2044-07-16      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137AQA57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1437014 | PA      | $1415771.77   | 0.12%             | 2042-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376GCV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63480 | PA      | $62745.14     | 0.01%             | 2050-01-16      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290S5H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8448 | PA      | $8503.46      | 0.00%             | 2024-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36291GRX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30082 | PA      | $28879.56     | 0.00%             | 2034-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620ARHH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163645 | PA      | $166306.48    | 0.01%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375YDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1571483 | PA      | $151617.64    | 0.01%             | 2038-09-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DGB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438821 | PA      | $451460.94    | 0.04%             | 2037-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AHLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769495 | PA      | $653667.33    | 0.05%             | 2039-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EJT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5012 | PA      | $4957.05      | 0.00%             | 2036-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit              | Freddie Mac Whole Loan Securities Trust 2017-SC02            | CUSIP: 3137G1BU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5364895 | PA      | $4898449.89   | 0.40%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137AXXX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9557150 | PA      | $8758407.54   | 0.72%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380LVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590266 | PA      | $580925.65    | 0.05%             | 2069-05-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413DWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70148 | PA      | $70805.57     | 0.01%             | 2037-07-01      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31380EPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19066 | PA      | $19018.74     | 0.00%             | 2028-06-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AQ3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4711631 | PA      | $518850.64    | 0.04%             | 2046-02-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38382RKX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6499117 | PA      | $968723.27    | 0.08%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379TPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3101104 | PA      | $3073920.05   | 0.25%             | 2046-01-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413JJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100445 | PA      | $98484.64     | 0.01%             | 2047-08-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36295LVG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139692 | PA      | $137061.98    | 0.01%             | 2038-08-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620A9YX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96694 | PA      | $96075.95     | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31414DXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118041 | PA      | $116974.30    | 0.01%             | 2038-04-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377RF91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457189 | PA      | $16772.30     | 0.00%             | 2039-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379HXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1137594 | PA      | $179783.95    | 0.01%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394DVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1377536 | PA      | $1437837.36   | 0.12%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36192ST59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369023 | PA      | $357449.14    | 0.03%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376FBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2356725 | PA      | $2525400.08   | 0.21%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132GETT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152829 | PA      | $152795.41    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620C3JF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51055 | PA      | $50108.46     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617MAVL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2313237 | PA      | $2005720.44   | 0.17%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36183MGQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1316171 | PA      | $1259867.49   | 0.10%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290Q4E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32631 | PA      | $33043.30     | 0.00%             | 2033-06-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269691 | PA      | $264943.48    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2004-W11                              | CUSIP: 31394AC46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2297206 | PA      | $2159343.93   | 0.18%             | 2043-03-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2820200 | PA      | $2302643.40   | 0.19%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375GBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3727298 | PA      | $3681558.39   | 0.30%             | 2041-05-16      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381TKB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    878396 | PA      | $177615.40    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26141622 | PA      | $25663758.78  | 2.12%             | 2065-11-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AMAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70687 | PA      | $71762.85     | 0.01%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1306960 | PA      | $1298216.77   | 0.11%             | 2060-11-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EWU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1457 | PA      | $1445.31      | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1822853 | PA      | $1801662.42   | 0.15%             | 2063-03-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    926936 | PA      | $919620.34    | 0.08%             | 2067-02-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1798979 | PA      | $1780309.93   | 0.15%             | 2066-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3622AAEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3008037 | PA      | $2804925.51   | 0.23%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380XHT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    777647 | PA      | $108485.21    | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202SRU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68163 | PA      | $69027.48     | 0.01%             | 2033-04-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BJS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1754752 | PA      | $1742545.46   | 0.14%             | 2061-01-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1003671 | PA      | $988134.41    | 0.08%             | 2065-08-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36297GKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68045 | PA      | $69041.03     | 0.01%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375PAK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364456 | PA      | $42939.38     | 0.00%             | 2038-01-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B8G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1198597 | PA      | $1201546.41   | 0.10%             | 2063-09-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31395TX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120734 | PA      | $95350.86     | 0.01%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79923 | PA      | $83216.02     | 0.01%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380Q4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104557 | PA      | $96361.98     | 0.01%             | 2066-10-20      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453862 | PA      | $461995.30    | 0.04%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335429 | PA      | $338299.24    | 0.03%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136B14Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540382 | PA      | $499868.84    | 0.04%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DB83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58359 | PA      | $58874.21     | 0.00%             | 2037-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31393CGD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1927703 | PA      | $1874180.11   | 0.15%             | 2033-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36181CPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351166 | PA      | $335327.23    | 0.03%             | 2034-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413KA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87430 | PA      | $86794.15     | 0.01%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT 10 Year US Treasury Note                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -631 | NC      | $378311.31    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376FEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7016083 | PA      | $7831292.55   | 0.65%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291BA80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20744 | PA      | $20272.36     | 0.00%             | 2033-12-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36230QQZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52342 | PA      | $49708.14     | 0.00%             | 2040-12-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413EAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160652 | PA      | $155661.67    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106167 | PA      | $108466.00    | 0.01%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617GCFX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22202 | PA      | $21720.82     | 0.00%             | 2068-02-20      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290Q6Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27818 | PA      | $27440.86     | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86021 | PA      | $85505.96     | 0.01%             | 2065-10-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374TXJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886041 | PA      | $888411.94    | 0.07%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380LR88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2197004 | PA      | $2179287.25   | 0.18%             | 2069-11-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176TQJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128618 | PA      | $123915.59    | 0.01%             | 2041-10-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36183MEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1388511 | PA      | $1329112.85   | 0.11%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan                      | Freddie Mac Securities REMIC Trust 2005-S001                 | CUSIP: 35562QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1640961 | PA      | $1529370.99   | 0.13%             | 2045-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11169 | PA      | $11247.63     | 0.00%             | 2037-08-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136A1KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6227176 | PA      | $6093589.67   | 0.50%             | 2041-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179RZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68325 | PA      | $65784.40     | 0.01%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1197304 | PA      | $1186418.66   | 0.10%             | 2065-02-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176TQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59013 | PA      | $54820.42     | 0.00%             | 2041-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202D2V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21505 | PA      | $22180.63     | 0.00%             | 2033-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177WX88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78483 | PA      | $72905.36     | 0.01%             | 2042-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378MAU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1717800 | PA      | $279097.60    | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38382RBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9192947 | PA      | $923332.27    | 0.08%             | 2051-04-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132WPND5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1003804 | PA      | $960705.54    | 0.08%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290Q6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88220 | PA      | $89007.93     | 0.01%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36212XHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82667 | PA      | $83457.50     | 0.01%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UAN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528192 | PA      | $526513.48    | 0.04%             | 2063-09-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AAJ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2007175 | PA      | $86091.93     | 0.01%             | 2027-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291EER8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26923 | PA      | $26413.77     | 0.00%             | 2034-01-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XXT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20981 | PA      | $20514.13     | 0.00%             | 2033-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374XE76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1639591 | PA      | $1630077.04   | 0.13%             | 2039-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M8YJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1479284 | PA      | $1501051.03   | 0.12%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136A96R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1673387 | PA      | $60544.82     | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31390F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81268 | PA      | $81542.48     | 0.01%             | 2032-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 312979HM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75441 | PA      | $76172.23     | 0.01%             | 2037-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2493163 | PA      | $2466845.96   | 0.20%             | 2064-06-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                        | CUSIP: 313384CW7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  20000000 | PA      | $19841343.20  | 1.64%             | 2023-03-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DPP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32258 | PA      | $32885.67     | 0.00%             | 2037-08-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AHYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1287380 | PA      | $955618.63    | 0.08%             | 2044-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKZC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    598727 | PA      | $605033.68    | 0.05%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36192ST34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105493 | PA      | $94641.03     | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617AW2W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    995118 | PA      | $927920.99    | 0.08%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202DBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       401 | PA      | $404.16       | 0.00%             | 2029-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31335Y5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27056 | PA      | $27565.54     | 0.00%             | 2038-02-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                    | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $3089291.75   | 0.25%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36230P4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60527 | PA      | $58769.27     | 0.00%             | 2040-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31398R2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746329 | PA      | $745153.20    | 0.06%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31912002 | PA      | $27734864.00  | 2.29%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3050232 | PA      | $2728757.65   | 0.23%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36210MCL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5005 | PA      | $5027.38      | 0.00%             | 2029-01-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31397QY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6331384 | PA      | $710516.51    | 0.06%             | 2041-01-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375KWU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1116311 | PA      | $887935.65    | 0.07%             | 2037-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374MU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1217819 | PA      | $1239252.11   | 0.10%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31394THM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    662752 | PA      | $687186.51    | 0.06%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1069702 | PA      | $1054694.78   | 0.09%             | 2065-07-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379JEL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8333403 | PA      | $6947637.07   | 0.57%             | 2044-10-20      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AEMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1848626 | PA      | $164165.97    | 0.01%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DDX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24137 | PA      | $24494.03     | 0.00%             | 2037-07-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36182DF67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9360 | PA      | $9163.12      | 0.00%             | 2065-04-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377VF76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1169984 | PA      | $1158250.24   | 0.10%             | 2040-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424069 | PA      | $421435.61    | 0.03%             | 2062-05-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31397YXN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182648 | PA      | $22695.53     | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKHM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39492 | PA      | $39785.56     | 0.00%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B7M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    427678 | PA      | $425253.81    | 0.04%             | 2063-07-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DNN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85305 | PA      | $86225.81     | 0.01%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202WQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33357 | PA      | $33779.66     | 0.00%             | 2033-04-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202SRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21856 | PA      | $21497.18     | 0.00%             | 2033-04-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374L6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    505451 | PA      | $90510.54     | 0.01%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379GKU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1235968 | PA      | $95485.94     | 0.01%             | 2044-09-20      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291KN60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33274 | PA      | $33971.14     | 0.00%             | 2034-06-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36295GYK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1095106 | PA      | $1092901.04   | 0.09%             | 2031-11-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291BA64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24934 | PA      | $25388.54     | 0.00%             | 2033-11-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -142 | NC      | $220713.16    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4536801 | PA      | $4371528.82   | 0.36%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136ATVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4283554 | PA      | $3815202.63   | 0.31%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377WKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2256954 | PA      | $1705701.13   | 0.14%             | 2041-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377VEM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1218723 | PA      | $1178313.73   | 0.10%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36296WKB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68085 | PA      | $67991.62     | 0.01%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31396WSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627349 | PA      | $615289.03    | 0.05%             | 2037-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKHJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56982 | PA      | $56127.32     | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374N8C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3977349 | PA      | $9395.89      | 0.00%             | 2046-11-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412711 | PA      | $410437.36    | 0.03%             | 2062-07-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B5R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1597363 | PA      | $1585509.11   | 0.13%             | 2063-05-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379VDH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4807115 | PA      | $509778.64    | 0.04%             | 2046-02-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31378PS53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14782 | PA      | $14721.47     | 0.00%             | 2027-09-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374UGL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    696796 | PA      | $749444.74    | 0.06%             | 2039-05-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38373MV80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225230 | PA      | $594.92       | 0.00%             | 2048-02-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EA25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42186 | PA      | $44590.63     | 0.00%             | 2034-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176TCQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130212 | PA      | $124377.81    | 0.01%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UDJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2331005 | PA      | $2322051.84   | 0.19%             | 2064-02-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220328 | PA      | $225093.30    | 0.02%             | 2035-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374MXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1474236 | PA      | $1501833.70   | 0.12%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394CQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284240 | PA      | $8536.67      | 0.00%             | 2035-03-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176BLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49994 | PA      | $46441.85     | 0.00%             | 2041-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376CRH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494209 | PA      | $46814.91     | 0.00%             | 2039-09-16      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377FZV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    726817 | PA      | $716701.31    | 0.06%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36291FKA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190711 | PA      | $194269.82    | 0.02%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20425244 | PA      | $17246903.34  | 1.42%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202WQV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84313 | PA      | $85382.77     | 0.01%             | 2033-05-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394ETR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265068 | PA      | $267232.50    | 0.02%             | 2035-05-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3620C0PN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2635008 | PA      | $2460153.35   | 0.20%             | 2042-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1343970 | PA      | $1294037.85   | 0.11%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 312979GQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85794 | PA      | $86461.48     | 0.01%             | 2037-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W12                              | CUSIP: 31392GSP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9840 | PA      | $9263.59      | 0.00%             | 2033-02-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31398TYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $955220.50    | 0.08%             | 2040-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BKX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182024 | PA      | $180706.41    | 0.01%             | 2061-02-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446555 | PA      | $440359.29    | 0.04%             | 2065-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138E5SY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95552 | PA      | $91563.17     | 0.01%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14445 | PA      | $14486.86     | 0.00%             | 2038-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137AQZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5075000 | PA      | $4727830.42   | 0.39%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36297F6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233627 | PA      | $231770.14    | 0.02%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKHG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106824 | PA      | $105299.64    | 0.01%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36295H3Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108782 | PA      | $110805.34    | 0.01%             | 2037-07-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BQL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5193485 | PA      | $5162029.25   | 0.43%             | 2062-01-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BSK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320648 | PA      | $319244.84    | 0.03%             | 2062-02-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    635791 | PA      | $581047.65    | 0.05%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290Q4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29485 | PA      | $30095.59     | 0.00%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376T5N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2080460 | PA      | $2075852.46   | 0.17%             | 2060-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 312940FU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450437 | PA      | $452734.17    | 0.04%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128KRN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103211 | PA      | $104262.62    | 0.01%             | 2037-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380M4J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3351723 | PA      | $2552047.68   | 0.21%             | 2061-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291KHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60284 | PA      | $61541.91     | 0.01%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31411XBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94341 | PA      | $95059.10     | 0.01%             | 2036-11-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114870 | PA      | $119053.58    | 0.01%             | 2029-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290RDQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58701 | PA      | $58005.79     | 0.00%             | 2033-08-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38383MX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2346452 | PA      | $1992939.06   | 0.16%             | 2037-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291PDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37078 | PA      | $37499.34     | 0.00%             | 2034-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16897052 | PA      | $14727473.77  | 1.21%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7883577 | PA      | $6644970.35   | 0.55%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413JU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171710 | PA      | $166397.11    | 0.01%             | 2047-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1493329 | PA      | $1465584.70   | 0.12%             | 2064-10-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1384150 | PA      | $1365900.80   | 0.11%             | 2066-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617AAP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3249360 | PA      | $3142440.82   | 0.26%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128K0MY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22113 | PA      | $22628.83     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RHF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1814019 | PA      | $1797025.58   | 0.15%             | 2065-09-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41346 | PA      | $41740.99     | 0.00%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128K8QJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441329 | PA      | $445073.82    | 0.04%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36294TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236548 | PA      | $239835.00    | 0.02%             | 2037-09-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379AAV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1328239 | PA      | $77606.22     | 0.01%             | 2040-03-20      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291BAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134130 | PA      | $135859.82    | 0.01%             | 2033-11-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377YCJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439104 | PA      | $431107.47    | 0.04%             | 2041-05-16      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379QDJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130000 | PA      | $103650.85    | 0.01%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291BSM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59220 | PA      | $58890.32     | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525652 | PA      | $490830.72    | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128L8KE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39220 | PA      | $40086.55     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31398G7D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4562276 | PA      | $4556337.63   | 0.38%             | 2040-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136BAN34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4369913 | PA      | $702028.07    | 0.06%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AU2B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2630000 | PA      | $2229797.37   | 0.18%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202WUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76276 | PA      | $77244.40     | 0.01%             | 2033-05-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380LKG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5015240 | PA      | $4962039.42   | 0.41%             | 2068-09-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374GCG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264253 | PA      | $259895.99    | 0.02%             | 2044-03-16      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291G7K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38051 | PA      | $38383.20     | 0.00%             | 2034-03-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374KT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125077 | PA      | $15391.21     | 0.00%             | 2034-01-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36297DB63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152292 | PA      | $154252.91    | 0.01%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202DY21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74427 | PA      | $76407.80     | 0.01%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2774024 | PA      | $2354844.94   | 0.19%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36201EHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77443 | PA      | $76910.39     | 0.01%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375CTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2621052 | PA      | $307380.18    | 0.03%             | 2042-04-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202SP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37366 | PA      | $37840.08     | 0.00%             | 2033-03-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102999 | PA      | $101246.55    | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291A2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28952 | PA      | $28609.11     | 0.00%             | 2033-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W1                               | CUSIP: 31392CMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    149211 | PA      | $138766.82    | 0.01%             | 2042-04-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3792327 | PA      | $3777482.97   | 0.31%             | 2063-12-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3620C0P69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1975726 | PA      | $1852717.02   | 0.15%             | 2042-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376ULK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5007528 | PA      | $4094762.12   | 0.34%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380GHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $809004.20    | 0.07%             | 2047-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138E0JD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61141 | PA      | $59209.46     | 0.00%             | 2041-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202FDQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24380 | PA      | $23834.84     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379EGH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2748066 | PA      | $2616659.77   | 0.22%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38285 | PA      | $39339.83     | 0.00%             | 2037-09-20      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137FGWE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2545377 | PA      | $2395534.21   | 0.20%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380ATE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12975727 | PA      | $1549067.58   | 0.13%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36291T4Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60695 | PA      | $61075.59     | 0.01%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36213M5S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431590 | PA      | $426822.09    | 0.04%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36211FCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25229 | PA      | $25408.47     | 0.00%             | 2029-06-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197155 | PA      | $195341.89    | 0.02%             | 2065-05-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    885400 | PA      | $874148.67    | 0.07%             | 2066-04-20      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413JJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170652 | PA      | $165369.46    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177LYJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165123 | PA      | $153108.48    | 0.01%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374MSG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100262 | PA      | $100868.15    | 0.01%             | 2031-09-16      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                  | FHLMC-GNMA                                                   | CUSIP: 3133T1XV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12794 | PA      | $132.22       | 0.00%             | 2023-10-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322093 | PA      | $310113.88    | 0.03%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31380AHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7692 | PA      | $7705.90      | 0.00%             | 2028-09-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177MMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171406 | PA      | $159333.18    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376ETX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6212737 | PA      | $6334688.40   | 0.52%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41320 | PA      | $42211.74     | 0.00%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379GSV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1850316 | PA      | $1698054.98   | 0.14%             | 2044-10-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AFDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295789 | PA      | $294167.51    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378PTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375604 | PA      | $325215.69    | 0.03%             | 2043-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291AX46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182063 | PA      | $184353.65    | 0.02%             | 2033-10-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378PUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1900000 | PA      | $351015.31    | 0.03%             | 2043-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36291UMP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72598 | PA      | $74524.89     | 0.01%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291EDH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72121 | PA      | $73442.69     | 0.01%             | 2033-12-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291G5N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46368 | PA      | $46772.32     | 0.00%             | 2034-02-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31397QAT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42894 | PA      | $101.49       | 0.00%             | 2039-12-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    658685 | PA      | $658599.52    | 0.05%             | 2063-08-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3622AAE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7894453 | PA      | $7360812.79   | 0.61%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380GLA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $826744.90    | 0.07%             | 2047-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RLV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3450047 | PA      | $3408796.04   | 0.28%             | 2065-11-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31397SMB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1183917 | PA      | $1163568.36   | 0.10%             | 2041-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36294TEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117329 | PA      | $119510.70    | 0.01%             | 2037-09-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UXM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2029139 | PA      | $2004043.43   | 0.17%             | 2066-05-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291EDD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128929 | PA      | $130590.17    | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RYS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232101 | PA      | $231120.04    | 0.02%             | 2066-08-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381WDH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109899 | PA      | $94891.09     | 0.01%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136ATEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2774872 | PA      | $2437777.52   | 0.20%             | 2043-10-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374MAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298113 | PA      | $299766.92    | 0.02%             | 2035-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31412YDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24951 | PA      | $25145.71     | 0.00%             | 2036-11-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378VYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1165701 | PA      | $1054014.08   | 0.09%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31396URW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2708332 | PA      | $48215.35     | 0.00%             | 2036-07-15      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291KFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44323 | PA      | $45141.21     | 0.00%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291BBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36528 | PA      | $37186.32     | 0.00%             | 2033-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36209DQP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25969 | PA      | $26366.36     | 0.00%             | 2028-05-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291PL20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153635 | PA      | $154971.11    | 0.01%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79792 | PA      | $79035.13     | 0.01%             | 2065-02-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378PUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    517150 | PA      | $73629.13     | 0.01%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    632995 | PA      | $632788.73    | 0.05%             | 2059-11-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EY94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5615 | PA      | $5551.39      | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1467451 | PA      | $1415078.48   | 0.12%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617VQG42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19209666 | PA      | $17350034.60  | 1.43%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36193SDY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20869 | PA      | $20533.69     | 0.00%             | 2066-04-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136A4CM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2659541 | PA      | $2530163.31   | 0.21%             | 2042-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1882149 | PA      | $1865064.74   | 0.15%             | 2065-03-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31335YYA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97037 | PA      | $98014.19     | 0.01%             | 2037-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377RL60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917989 | PA      | $906077.98    | 0.07%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290Q4M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50033 | PA      | $49017.17     | 0.00%             | 2033-06-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36297KMZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25566 | PA      | $25940.25     | 0.00%             | 2039-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376FDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3896034 | PA      | $4131456.00   | 0.34%             | 2039-08-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22893 | PA      | $22382.64     | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1740572 | PA      | $1727533.87   | 0.14%             | 2063-06-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31396KXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2253795 | PA      | $209091.52    | 0.02%             | 2036-08-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380TB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3760632 | PA      | $3060816.35   | 0.25%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374JN51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686253 | PA      | $71950.90     | 0.01%             | 2034-11-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378GMY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2272315 | PA      | $69718.26     | 0.01%             | 2037-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31411YK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47870 | PA      | $48353.88     | 0.00%             | 2037-05-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375JSW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1110503 | PA      | $216121.38    | 0.02%             | 2037-04-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CME Ultra Long Term US Treasury Bond                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        74 | NC      | $-105954.68   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176TCP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202188 | PA      | $186583.40    | 0.02%             | 2041-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378AAH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    945000 | PA      | $826373.87    | 0.07%             | 2041-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -81 | NC      | $112621.53    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620A9TT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    395949 | PA      | $393426.04    | 0.03%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3622A2MZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    941056 | PA      | $877036.17    | 0.07%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291AZ93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59725 | PA      | $60961.37     | 0.01%             | 2033-10-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128L5HY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11360 | PA      | $11602.07     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379XFV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362232 | PA      | $10830.25     | 0.00%             | 2040-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DKA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16446 | PA      | $16558.19     | 0.00%             | 2037-10-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    352995 | PA      | $338777.73    | 0.03%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620A65E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522444 | PA      | $527946.01    | 0.04%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36193BMR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1703868 | PA      | $1639914.21   | 0.14%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31383HEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31212 | PA      | $31467.76     | 0.00%             | 2029-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381BVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9524352 | PA      | $8218804.87   | 0.68%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178504 | PA      | $180751.86    | 0.01%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290RB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148810 | PA      | $150399.32    | 0.01%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176LMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    626462 | PA      | $581960.22    | 0.05%             | 2041-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AP2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711932 | PA      | $661045.66    | 0.05%             | 2030-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137BDB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2646901 | PA      | $2331598.37   | 0.19%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RTJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    976231 | PA      | $964390.88    | 0.08%             | 2066-04-20      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RHR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1674788 | PA      | $1651331.08   | 0.14%             | 2065-09-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                     | Fannie Mae Grantor Trust 2001-T9                             | CUSIP: 313921FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1189045 | PA      | $1175198.70   | 0.10%             | 2031-09-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3622AAFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5934749 | PA      | $5533955.99   | 0.46%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378EWC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3411961 | PA      | $307069.28    | 0.03%             | 2042-05-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B2Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1468822 | PA      | $1469494.69   | 0.12%             | 2063-06-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380XUH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $860887.80    | 0.07%             | 2048-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36295LVH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70165 | PA      | $71632.16     | 0.01%             | 2038-09-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376WDS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1482390.00   | 0.12%             | 2040-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378UNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $6665513.40   | 0.55%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EVG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13098 | PA      | $13260.14     | 0.00%             | 2038-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381VZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12000000 | PA      | $3218530.20   | 0.27%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413SU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113071 | PA      | $111555.78    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377YEW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174489 | PA      | $16831.65     | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31406EEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48980 | PA      | $48474.10     | 0.00%             | 2034-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36211SDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14624 | PA      | $14827.60     | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493638 | PA      | $491436.19    | 0.04%             | 2066-05-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60990 | PA      | $61538.03     | 0.01%             | 2037-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176SX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267268 | PA      | $246717.82    | 0.02%             | 2041-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36192ST75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61893 | PA      | $55456.37     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28102267 | PA      | $2667818.42   | 0.22%             | 2030-03-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2001-W4                               | CUSIP: 3139216U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11936 | PA      | $11909.77     | 0.00%             | 2032-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2019-3    | CUSIP: 35564CEJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5875000 | PA      | $5100819.53   | 0.42%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27718 | PA      | $28869.17     | 0.00%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13365898 | PA      | $12823304.09  | 1.06%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413JU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61063 | PA      | $61370.41     | 0.01%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136B1BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7510000 | PA      | $6611150.63   | 0.55%             | 2041-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177VCU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139805 | PA      | $129958.00    | 0.01%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378TE48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    774580 | PA      | $62656.39     | 0.01%             | 2043-06-20      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202SRW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43182 | PA      | $42515.36     | 0.00%             | 2033-04-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377DAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    966742 | PA      | $85913.88     | 0.01%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31466000 | PA      | $2230360.43   | 0.18%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2740579 | PA      | $2558526.40   | 0.21%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EV71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7376 | PA      | $7444.70      | 0.00%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137BSZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4103433 | PA      | $3774960.22   | 0.31%             | 2046-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378YBA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1487041 | PA      | $1320943.94   | 0.11%             | 2043-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31411EDG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72120 | PA      | $72433.69     | 0.01%             | 2036-12-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136ANEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1401927 | PA      | $1077810.45   | 0.09%             | 2045-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1312714 | PA      | $1300399.32   | 0.11%             | 2060-10-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138AWVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85183 | PA      | $82492.33     | 0.01%             | 2041-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376EUN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    899876 | PA      | $874762.33    | 0.07%             | 2039-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617VQGL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24091252 | PA      | $21759048.60  | 1.79%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177WX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57855 | PA      | $53778.44     | 0.00%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380BHT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5319525 | PA      | $863282.35    | 0.07%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                    | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $4466301.66   | 0.37%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3177551 | PA      | $3086533.25   | 0.25%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B3N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    622638 | PA      | $617685.70    | 0.05%             | 2063-06-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202V5J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55463 | PA      | $55157.17     | 0.00%             | 2033-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290Q4K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192727 | PA      | $194785.55    | 0.02%             | 2033-06-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AERJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1332612 | PA      | $1192628.51   | 0.10%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379Q7Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2122754 | PA      | $427334.35    | 0.04%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291TMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52053 | PA      | $53014.73     | 0.00%             | 2034-09-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    609625 | PA      | $609004.19    | 0.05%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375GWV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    998146 | PA      | $45592.72     | 0.00%             | 2040-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3620AWJA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546646 | PA      | $551882.20    | 0.05%             | 2030-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BYN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1792207 | PA      | $1775618.94   | 0.15%             | 2062-10-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291HCA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36738 | PA      | $37151.14     | 0.00%             | 2034-03-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101729 | PA      | $102737.90    | 0.01%             | 2033-08-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291G2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211767 | PA      | $213932.65    | 0.02%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532548 | PA      | $528933.38    | 0.04%             | 2061-08-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BBX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6511158 | PA      | $6513712.69   | 0.54%             | 2060-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RRL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    294109 | PA      | $290149.20    | 0.02%             | 2066-03-20      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376R5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    588087 | PA      | $574108.00    | 0.05%             | 2067-06-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31335Y2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125701 | PA      | $126894.52    | 0.01%             | 2037-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -147 | NC      | $-38189.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23336755 | PA      | $23009510.78  | 1.90%             | 2067-02-20      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31378JD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8029 | PA      | $8008.38      | 0.00%             | 2027-07-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31390F2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35242 | PA      | $35437.49     | 0.00%             | 2032-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36296GXT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84696 | PA      | $85718.58     | 0.01%             | 2038-04-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381BXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1462737 | PA      | $1387258.97   | 0.11%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377LJM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    950030 | PA      | $71552.45     | 0.01%             | 2040-09-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82940 | PA      | $86609.66     | 0.01%             | 2032-11-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DDA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45630 | PA      | $46530.01     | 0.00%             | 2037-04-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381AZV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338736 | PA      | $313696.01    | 0.03%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31294CDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6663 | PA      | $6658.44      | 0.00%             | 2030-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31414DQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90660 | PA      | $89440.01     | 0.01%             | 2048-05-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3622A26J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4326758 | PA      | $4103725.24   | 0.34%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BRY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8377560 | PA      | $8384647.28   | 0.69%             | 2062-02-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31397QPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082945 | PA      | $1077829.26   | 0.09%             | 2041-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136ABNF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1962223 | PA      | $1834392.74   | 0.15%             | 2042-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291KHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32397 | PA      | $31783.62     | 0.00%             | 2034-04-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36212XE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150148 | PA      | $151089.78    | 0.01%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407M5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309825 | PA      | $303168.07    | 0.03%             | 2035-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36291UMM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67997 | PA      | $69804.48     | 0.01%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245469 | PA      | $243338.11    | 0.02%             | 2063-03-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39178 | PA      | $39989.64     | 0.00%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176BRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347203 | PA      | $320937.89    | 0.03%             | 2041-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24830944 | PA      | $715715.96    | 0.06%             | 2027-09-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176TQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114923 | PA      | $109774.17    | 0.01%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381DJJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2333712 | PA      | $1251781.41   | 0.10%             | 2061-05-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140XJC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9329205 | PA      | $9535690.09   | 0.79%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380LSV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2912575 | PA      | $2878330.31   | 0.24%             | 2069-03-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36198NUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290972 | PA      | $287072.33    | 0.02%             | 2064-10-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XSM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24980 | PA      | $24424.49     | 0.00%             | 2033-08-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae Trust 2004-W2                                     | CUSIP: 31393XGT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1176862 | PA      | $1134477.40   | 0.09%             | 2044-02-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377JT86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3853106 | PA      | $3820668.15   | 0.32%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374VZX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342432 | PA      | $342654.23    | 0.03%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44924472 | PA      | $39033165.40  | 3.22%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202FKG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    629827 | PA      | $599990.08    | 0.05%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685173 | PA      | $680983.12    | 0.06%             | 2065-05-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290RDT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72292 | PA      | $73412.25     | 0.01%             | 2033-07-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136ANQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1332475 | PA      | $1017333.94   | 0.08%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375LTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    657053 | PA      | $661584.44    | 0.05%             | 2037-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36296Q5L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222684 | PA      | $229262.24    | 0.02%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617AALR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338048 | PA      | $302950.93    | 0.02%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380MFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1931728 | PA      | $1456625.74   | 0.12%             | 2060-04-16      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202SPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135364 | PA      | $137271.75    | 0.01%             | 2033-03-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36182RXZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826491 | PA      | $789666.14    | 0.07%             | 2034-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137B5W90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2856693 | PA      | $2297824.93   | 0.19%             | 2035-10-15      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36200J6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275825 | PA      | $277861.29    | 0.02%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407G5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464304 | PA      | $466027.78    | 0.04%             | 2035-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36202XLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194590 | PA      | $196535.03    | 0.02%             | 2034-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137ABE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252355 | PA      | $247068.84    | 0.02%             | 2039-03-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202DCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15427 | PA      | $15619.72     | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177MAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124210 | PA      | $115454.68    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36296UNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37522 | PA      | $37845.83     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290Q6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36200 | PA      | $35701.03     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F8TU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34229600 | PA      | $1683052.32   | 0.14%             | 2035-12-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202E2K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3653 | PA      | $3665.57      | 0.00%             | 2024-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291HB37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120565 | PA      | $121881.36    | 0.01%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176LAZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    417534 | PA      | $387870.84    | 0.03%             | 2041-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202CXA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4011 | PA      | $4108.56      | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413H2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221740 | PA      | $224226.57    | 0.02%             | 2037-08-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380LMV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4998313 | PA      | $4961659.21   | 0.41%             | 2065-08-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31393WQ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300857 | PA      | $291642.65    | 0.02%             | 2033-07-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374VME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161963 | PA      | $5877.12      | 0.00%             | 2037-06-16      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22069063 | PA      | $20578833.88  | 1.70%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38373MW63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483828 | PA      | $482572.72    | 0.04%             | 2048-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKHL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7595 | PA      | $7578.28      | 0.00%             | 2024-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EXM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14873 | PA      | $15033.69     | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290RB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13414 | PA      | $13533.35     | 0.00%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176B6T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76251 | PA      | $69943.06     | 0.01%             | 2041-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376XL68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    937558 | PA      | $926468.01    | 0.08%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2782582 | PA      | $2760199.95   | 0.23%             | 2065-11-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31398NEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2624101 | PA      | $175559.15    | 0.01%             | 2040-09-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375KQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66199 | PA      | $67240.44     | 0.01%             | 2037-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 312931EF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100512 | PA      | $100769.51    | 0.01%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380MN98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2565833 | PA      | $2061407.46   | 0.17%             | 2060-11-16      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                   | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36500000 | PA      | $33540861.78  | 2.77%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DKJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28511 | PA      | $29000.48     | 0.00%             | 2037-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36201QC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    367366 | PA      | $370545.44    | 0.03%             | 2029-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DFD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34343 | PA      | $35034.09     | 0.00%             | 2037-08-01      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378CCP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40821 | PA      | $41760.26     | 0.00%             | 2032-05-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36200NZ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       172 | PA      | $171.26       | 0.00%             | 2034-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376KPV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2374988 | PA      | $2539013.99   | 0.21%             | 2039-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XUR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154166 | PA      | $155812.99    | 0.01%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36182HRB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1332980 | PA      | $1310762.98   | 0.11%             | 2065-01-20      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620C3RB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111102 | PA      | $106906.36    | 0.01%             | 2040-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36200NGV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106636 | PA      | $105879.05    | 0.01%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36230KJ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62106 | PA      | $60303.32     | 0.00%             | 2040-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375QZ44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    830533 | PA      | $83763.75     | 0.01%             | 2038-06-16      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2164790 | PA      | $2153583.70   | 0.18%             | 2062-03-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177MMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543516 | PA      | $498100.92    | 0.04%             | 2042-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136A9QK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3211226 | PA      | $164226.30    | 0.01%             | 2042-06-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394FAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324419 | PA      | $359351.27    | 0.03%             | 2035-08-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374GSH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228710 | PA      | $189687.69    | 0.02%             | 2034-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291KFN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42069 | PA      | $41272.64     | 0.00%             | 2034-04-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36296DPD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182322 | PA      | $185369.73    | 0.02%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RAM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1558172 | PA      | $1528678.10   | 0.13%             | 2065-04-20      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394CRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5221642 | PA      | $5624497.41   | 0.46%             | 2035-03-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394UAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416369 | PA      | $413843.01    | 0.03%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617AAQ98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92133 | PA      | $82737.21     | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380MK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1937870 | PA      | $1340264.07   | 0.11%             | 2060-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136A4F38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4513688 | PA      | $4293190.51   | 0.35%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290RB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21773 | PA      | $21534.64     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36210MC33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2862 | PA      | $2896.38      | 0.00%             | 2029-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377EEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4548608 | PA      | $4644685.38   | 0.38%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36182HR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1802435 | PA      | $1776086.99   | 0.15%             | 2065-02-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136B55B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6644326 | PA      | $500958.91    | 0.04%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    399872 | PA      | $398225.43    | 0.03%             | 2065-12-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3133B3C21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1849672 | PA      | $1645255.37   | 0.14%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKHQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10551 | PA      | $10522.93     | 0.00%             | 2024-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84359 | PA      | $96676.13     | 0.01%             | 2036-12-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377YN71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2206660 | PA      | $145476.48    | 0.01%             | 2041-06-16      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EWV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16708 | PA      | $17109.01     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137ATRR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1342836 | PA      | $1243894.19   | 0.10%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2632935 | PA      | $2315300.92   | 0.19%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290RB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45220 | PA      | $44301.78     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291A2D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43052 | PA      | $43540.48     | 0.00%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                   | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30000000 | PA      | $29731251.60  | 2.45%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413JJM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86426 | PA      | $87264.46     | 0.01%             | 2037-08-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482318 | PA      | $479362.12    | 0.04%             | 2062-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through               | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31393LFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    547096 | PA      | $500800.49    | 0.04%             | 2043-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177WRW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45268 | PA      | $42107.28     | 0.00%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H0H76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34783948 | PA      | $3854743.16   | 0.32%             | 2031-01-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36230KR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4005 | PA      | $3965.68      | 0.00%             | 2061-08-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202ETU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2475 | PA      | $2502.54      | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36182HRK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    598854 | PA      | $588012.34    | 0.05%             | 2065-01-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Seasoned Credit Risk Transfer Trust Series 2017-2            | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    691519 | PA      | $642446.27    | 0.05%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377RG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9152618 | PA      | $741488.37    | 0.06%             | 2040-12-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290Q6M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58018 | PA      | $58754.12     | 0.00%             | 2033-07-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291EDG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67729 | PA      | $68247.30     | 0.01%             | 2033-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2876964 | PA      | $2859718.20   | 0.24%             | 2062-09-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377WVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2036941 | PA      | $1930858.07   | 0.16%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179U6X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4925700 | PA      | $4783968.16   | 0.39%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137BKBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6118871 | PA      | $5813118.63   | 0.48%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137ADHB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1187738 | PA      | $1118165.85   | 0.09%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M6SL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11307 | PA      | $11565.67     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31396NX27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290352 | PA      | $296508.02    | 0.02%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RGP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1540428 | PA      | $1515654.55   | 0.13%             | 2065-09-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137A4LJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2343010 | PA      | $2295695.27   | 0.19%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202FB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21071 | PA      | $21938.51     | 0.00%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109576 | PA      | $109871.97    | 0.01%             | 2039-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453902 | PA      | $451311.03    | 0.04%             | 2063-06-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31394VEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354624 | PA      | $364071.33    | 0.03%             | 2035-11-25      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                   | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 127670000 | PA      | $110667778.83 | 9.13%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138E46D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62970 | PA      | $59508.46     | 0.00%             | 2041-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128KRMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70583 | PA      | $71267.75     | 0.01%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RJV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1975457 | PA      | $1968521.39   | 0.16%             | 2065-08-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620ADSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287054 | PA      | $285480.45    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31415TC32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63599 | PA      | $65176.73     | 0.01%             | 2038-05-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    952182 | PA      | $946523.82    | 0.08%             | 2064-03-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31392JQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791717 | PA      | $822364.46    | 0.07%             | 2033-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W6                               | CUSIP: 31392DG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    730233 | PA      | $685335.18    | 0.06%             | 2042-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381DBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | DBT              | USGA              | US        |   5140375 | PA      | $2514164.11   | 0.21%             | 2063-08-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140MGLQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1883902 | PA      | $1617358.11   | 0.13%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31406TMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246649 | PA      | $245961.51    | 0.02%             | 2035-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378CCS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119406 | PA      | $119597.05    | 0.01%             | 2039-04-16      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1509648 | PA      | $1503246.24   | 0.12%             | 2065-11-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130958 | PA      | $132725.94    | 0.01%             | 2037-10-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413SKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263805 | PA      | $262191.16    | 0.02%             | 2037-11-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RTW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3600358 | PA      | $3586202.07   | 0.30%             | 2066-02-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377WCU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436810 | PA      | $2198.42      | 0.00%             | 2039-08-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177VCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38295 | PA      | $35574.01     | 0.00%             | 2042-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31396PJH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580446 | PA      | $922698.95    | 0.08%             | 2037-02-25      | Floating      | 14.15%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AQJE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1076769 | PA      | $1060903.28   | 0.09%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    560093 | PA      | $555639.38    | 0.05%             | 2063-05-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                       | Vendee Mortgage Trust 2011-2                                 | CUSIP: 92262BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1279571 | PA      | $1184461.42   | 0.10%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375LFA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1348747 | PA      | $134288.10    | 0.01%             | 2037-09-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379FCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1273597 | PA      | $135622.31    | 0.01%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2769329 | PA      | $2329054.14   | 0.19%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620AKHP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34227 | PA      | $34456.45     | 0.00%             | 2028-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136B1VB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443764 | PA      | $385871.97    | 0.03%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae Trust 2004-W2                                     | CUSIP: 31393XGS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1403418 | PA      | $1346420.41   | 0.11%             | 2044-02-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140FXD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4691422 | PA      | $4499301.04   | 0.37%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 31395WWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72022 | PA      | $72770.01     | 0.01%             | 2035-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36296UTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81100 | PA      | $82296.71     | 0.01%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38373YKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284167 | PA      | $283494.12    | 0.02%             | 2029-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                    | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1520000 | PA      | $1425718.11   | 0.12%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374VVT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1731388 | PA      | $1776410.87   | 0.15%             | 2039-07-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380LX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1030409 | PA      | $1026992.65   | 0.08%             | 2070-01-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31411XB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146153 | PA      | $147255.62    | 0.01%             | 2037-01-01      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38373ATV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2992247 | PA      | $3051223.39   | 0.25%             | 2039-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376CUB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1195865 | PA      | $1293965.80   | 0.11%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377X4P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12707615 | PA      | $1903615.98   | 0.16%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140XGLU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5553358 | PA      | $5108785.80   | 0.42%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291A2C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    266857 | PA      | $270402.90    | 0.02%             | 2033-10-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137B4QW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1871677 | PA      | $1352356.56   | 0.11%             | 2043-09-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36295QU65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81043 | PA      | $82022.80     | 0.01%             | 2037-10-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380MGJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10912644 | PA      | $8883184.91   | 0.73%             | 2058-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4322499 | PA      | $3754121.28   | 0.31%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380VPL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2101719 | PA      | $2076271.31   | 0.17%             | 2068-03-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374TWL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1301486 | PA      | $1294279.72   | 0.11%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3121422 | PA      | $3089163.09   | 0.25%             | 2064-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617AARE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103216 | PA      | $99977.73     | 0.01%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31397NKP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127195 | PA      | $141015.92    | 0.01%             | 2039-03-25      | Variable      | 13.22%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36292FMA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141644 | PA      | $143813.37    | 0.01%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374KK93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570690 | PA      | $574013.02    | 0.05%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    818213 | PA      | $782459.06    | 0.06%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136A72S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3457000 | PA      | $2971038.10   | 0.25%             | 2042-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16496401 | PA      | $1937234.23   | 0.16%             | 2035-05-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AEVL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309422 | PA      | $91031.17     | 0.01%             | 2033-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136A1MS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $670049.85    | 0.06%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DM81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89810 | PA      | $91484.62     | 0.01%             | 2037-12-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413HRJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37840 | PA      | $37696.34     | 0.00%             | 2037-05-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38381DDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2560048 | PA      | $1297839.95   | 0.11%             | 2062-12-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375K7C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230235 | PA      | $226428.91    | 0.02%             | 2037-08-16      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291GZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128094 | PA      | $129371.30    | 0.01%             | 2034-01-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36290SFX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3299 | PA      | $3164.12      | 0.00%             | 2033-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38373MJ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45284 | PA      | $45166.10     | 0.00%             | 2048-01-16      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6086469 | PA      | $5943092.93   | 0.49%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT 5 Year US Treasury Note                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1003 | NC      | $-44281.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W2                               | CUSIP: 31392CEN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9052 | PA      | $8911.95      | 0.00%             | 2032-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290RBZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63704 | PA      | $64510.22     | 0.01%             | 2033-07-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RAB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5148729 | PA      | $5063371.51   | 0.42%             | 2065-04-20      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137FVF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2597868 | PA      | $2215805.01   | 0.18%             | 2040-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19427180 | PA      | $1802960.80   | 0.15%             | 2030-04-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137B0PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6716141 | PA      | $288483.12    | 0.02%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136A5CH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2230732.50   | 0.18%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136AA6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1625805 | PA      | $211244.10    | 0.02%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36210SDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71055 | PA      | $71299.95     | 0.01%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EE62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76303 | PA      | $74025.61     | 0.01%             | 2035-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31411APC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16097 | PA      | $16170.33     | 0.00%             | 2036-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378D5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268524 | PA      | $14990.25     | 0.00%             | 2041-04-16      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Seasoned Credit Risk Transfer Trust Series 2019-3            | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1752102 | PA      | $1667127.08   | 0.14%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77071 | PA      | $74884.91     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137AWPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4058181 | PA      | $3611656.27   | 0.30%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291EES6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43186 | PA      | $43675.95     | 0.00%             | 2034-01-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XSN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12593 | PA      | $12682.79     | 0.00%             | 2033-08-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377LL30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29000 | PA      | $1177.18      | 0.00%             | 2040-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5660406 | PA      | $5067377.15   | 0.42%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3965694 | PA      | $3337306.00   | 0.28%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376UMU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1361635 | PA      | $1239357.65   | 0.10%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36290XXQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22744 | PA      | $23171.74     | 0.00%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377RN27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    946437 | PA      | $899863.59    | 0.07%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UBR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151020 | PA      | $150700.51    | 0.01%             | 2063-09-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UUV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2689903 | PA      | $2652318.45   | 0.22%             | 2065-02-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       743 | PA      | $749.67       | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291BA56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44093 | PA      | $45003.31     | 0.00%             | 2033-11-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620A65C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57988 | PA      | $58401.44     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36297E2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       433 | PA      | $427.58       | 0.00%             | 2061-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31412YD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158266 | PA      | $160780.15    | 0.01%             | 2036-11-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380LPU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1156585 | PA      | $1143762.65   | 0.09%             | 2068-12-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376CRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3194274 | PA      | $3284943.48   | 0.27%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180175 | PA      | $178290.33    | 0.01%             | 2066-01-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                           | CUSIP: 3137BCLN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10522990 | PA      | $9992858.83   | 0.82%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177LYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66109 | PA      | $61345.21     | 0.01%             | 2041-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380LNW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654949 | PA      | $650271.38    | 0.05%             | 2068-09-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31395DQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586362 | PA      | $35433.60     | 0.00%             | 2036-05-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374VP52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4361319 | PA      | $4497481.38   | 0.37%             | 2039-07-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1672529 | PA      | $1659503.50   | 0.14%             | 2067-08-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179MK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4701952 | PA      | $4547636.00   | 0.38%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177MAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171796 | PA      | $159514.83    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B7F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    664046 | PA      | $661182.49    | 0.05%             | 2063-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176TCM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16379 | PA      | $15446.00     | 0.00%             | 2041-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136ACB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552663 | PA      | $46054.31     | 0.00%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378H3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243727 | PA      | $21125.68     | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36198XBT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    939965 | PA      | $925640.73    | 0.08%             | 2064-10-20      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374UCV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    863966 | PA      | $882193.99    | 0.07%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379WM25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4695281 | PA      | $4150251.95   | 0.34%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EWT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163898 | PA      | $163410.03    | 0.01%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1322783 | PA      | $1308927.72   | 0.11%             | 2062-12-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377RAW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654767 | PA      | $65232.46     | 0.01%             | 2040-12-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378AMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1731594 | PA      | $316149.28    | 0.03%             | 2041-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379FB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2648592 | PA      | $2501227.92   | 0.21%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376PAW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    945434 | PA      | $962096.96    | 0.08%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BU26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1690715 | PA      | $1684754.36   | 0.14%             | 2063-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36177MAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41274 | PA      | $38341.78     | 0.00%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9260316 | PA      | $682135.23    | 0.06%             | 2030-01-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202FJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80793 | PA      | $79029.92     | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31286DBX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34965 | PA      | $35621.90     | 0.00%             | 2037-01-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380YAR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1546925 | PA      | $1424858.43   | 0.12%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    847249 | PA      | $843985.55    | 0.07%             | 2063-08-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BCN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3512449 | PA      | $3513179.15   | 0.29%             | 2060-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1836892 | PA      | $1826426.69   | 0.15%             | 2066-05-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202WST7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32736 | PA      | $33151.73     | 0.00%             | 2033-05-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 312979KQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41643 | PA      | $42046.84     | 0.00%             | 2038-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380KLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750000 | PA      | $603874.65    | 0.05%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376FSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    698544 | PA      | $27492.25     | 0.00%             | 2039-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31410T5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67216 | PA      | $67755.98     | 0.01%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374FGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69191 | PA      | $70036.39     | 0.01%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377RQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    920712 | PA      | $898715.48    | 0.07%             | 2040-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31383HEB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41969 | PA      | $42241.61     | 0.00%             | 2029-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 31398MDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014519 | PA      | $1013415.27   | 0.08%             | 2036-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136ABLP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4755521 | PA      | $543668.29    | 0.04%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375UEN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8115574 | PA      | $8062103.91   | 0.67%             | 2064-02-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374JQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1648333 | PA      | $1649766.96   | 0.14%             | 2034-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36176F3X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5283 | PA      | $5042.69      | 0.00%             | 2062-09-20      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4975392 | PA      | $4993411.28   | 0.41%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136B3Q60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1654891 | PA      | $1456314.33   | 0.12%             | 2059-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376PLJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2142793 | PA      | $2147339.58   | 0.18%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36211VEH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29948 | PA      | $30157.43     | 0.00%             | 2029-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36201F2A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40276 | PA      | $40155.35     | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379Q2P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2364266 | PA      | $43731.83     | 0.00%             | 2045-06-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38377XVY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317752 | PA      | $10844.13     | 0.00%             | 2026-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5278470 | PA      | $5235387.41   | 0.43%             | 2065-04-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380HXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2890000 | PA      | $2422575.74   | 0.20%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36176KXB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    352030 | PA      | $326664.27    | 0.03%             | 2041-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3622AAU51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10584935 | PA      | $8869606.55   | 0.73%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379G4J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1074716 | PA      | $79333.46     | 0.01%             | 2044-11-20      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138AKAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26777 | PA      | $25642.48     | 0.00%             | 2041-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36181KE63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1108063 | PA      | $1034740.93   | 0.09%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EXL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29089 | PA      | $28463.48     | 0.00%             | 2038-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38380F6N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2158925 | PA      | $457087.78    | 0.04%             | 2047-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38374MYT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5371034 | PA      | $5497926.42   | 0.45%             | 2036-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                            | CUSIP: 3136ACKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2430015 | PA      | $183682.37    | 0.02%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36291HB86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41438 | PA      | $40654.46     | 0.00%             | 2034-03-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202EV89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11660 | PA      | $11740.92     | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376RBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1274286 | PA      | $1261093.87   | 0.10%             | 2065-05-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38376CR68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686587 | PA      | $666733.88    | 0.05%             | 2039-10-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38382ECA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21685803 | PA      | $3637925.79   | 0.30%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30052708 | PA      | $26076489.77  | 2.15%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38378F5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3098901 | PA      | $369894.45    | 0.03%             | 2042-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36212UN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28222 | PA      | $28465.67     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36181PCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112630 | PA      | $110913.93    | 0.01%             | 2064-09-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36292CYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14502 | PA      | $14601.77     | 0.00%             | 2035-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140MGMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1833140 | PA      | $1682020.06   | 0.14%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38375BLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420087 | PA      | $417343.35    | 0.03%             | 2061-04-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 3617BQ4H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11907 | PA      | $11650.40     | 0.00%             | 2067-10-20      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36291RY71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7857 | PA      | $7940.30      | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31406YYD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336514 | PA      | $334270.52    | 0.03%             | 2035-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Voya Funds Trust

**Signature:** Tin Bui

**Name of Signer:** Tin Bui

**Title:** Vice President