# EDGAR Filing Document

**Accession Number:** 0000701039
**File Stem:** 0001752724-25-207489
**Filing Date:** 2025-8
**Character Count:** 143896
**Document Hash:** 5fe62fed98328f13e64f2a77dd284956
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-207489.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-207489

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Calvert Fund
- **CENTRAL INDEX KEY:** 0000701039

**ORGANIZATION NAME:**
- **EIN:** 526228948
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03416
- **FILM NUMBER:** 251261521

**BUSINESS ADDRESS:**
- **STREET 1:** 2050 M STREET NW
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20036
- **BUSINESS PHONE:** 8002256265

**MAIL ADDRESS:**
- **STREET 1:** 2050 M STREET NW
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CALVERT FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Calvert Mortgage Access Fund (Series ID: S000076002)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000235421 | Calvert Mortgage Access Fund Class R6 | CMMRX           |
| C000235422 | Calvert Mortgage Access Fund Class A  | CMMAX           |
| C000235423 | Calvert Mortgage Access Fund Class C  | CMMCX           |
| C000235424 | Calvert Mortgage Access Fund Class I  | CMMIX           |

## Nport-Ex

Calvert

Mortgage Access Fund

June 30, 2025

Schedule of Investments (Unaudited)

------

Asset-Backed Securities — 1.1%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| NRZ Excess Spread-Collateralized Notes, Series 2024-FNT1, Class A, 7.398%, 11/25/31<sup>(1)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1028 | $1046047 |
| Total Asset-Backed Securities<br> (identified cost $1,028,030) |  | **$1046047** |

---

Collateralized Mortgage Obligations — 70.5%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Angel Oak Mortgage Trust, Series 2021-5, Class A2, 1.208%, 7/25/66<sup>(1)(2)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52 | $45536 |
| Bellemeade Re Ltd., Series 2022-2, Class M1A, 8.305%, (30-day SOFR Average + 4.00%), 9/27/32<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134 | &nbsp;&nbsp; 135111 |
| BRAVO Residential Funding Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-NQM1, Class A3, 1.332%, 2/25/49<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp; 47128 |
| &nbsp;&nbsp;&nbsp;Series 2021-NQM3, Class A3, 1.956%, 4/25/60<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80 | &nbsp;&nbsp; 75500 |
| Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;835 | &nbsp;&nbsp; 810614 |
| Champs Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2024-1, Class A, 9.101%, 7/25/59<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1370 | &nbsp;&nbsp; 1420681 |
| &nbsp;&nbsp;&nbsp;Series 2024-2, Class A, 9.259%, 11/25/59<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1513 | &nbsp;&nbsp; 1579752 |
| &nbsp;&nbsp;&nbsp;Series 2024-3, Class A, 8.745%, 1/25/60<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1759 | &nbsp;&nbsp;&nbsp;&nbsp;1830199 |
| &nbsp;&nbsp;&nbsp;Series 2025-1, Class A, 8.028%, 4/25/60<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1902 | &nbsp;&nbsp;&nbsp;&nbsp;1990130 |
| CHNGE Mortgage Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-4, Class A1, 6.00% to 7/25/25, 10/25/57<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;551626 |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM1, Class A3, 5.82% to 8/25/25, 6/25/67<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67555 |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM1, Class M1, 5.82% to 8/25/25, 6/25/67<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;507174 |
| &nbsp;&nbsp;&nbsp;Series 2023-1, Class A1, 7.065% to 2/25/26, 3/25/58<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;179411 |
| &nbsp;&nbsp;&nbsp;Series 2023-4, Class A3, 8.38% to 8/25/26, 9/25/58<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;509107 |
| Cross Mortgage Trust, Series 2024-H2, Class B1B, 8.263%, 4/25/69<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;474564 |
| FARM Mortgage Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class B, 3.234%, 7/25/51<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1530 | &nbsp;&nbsp;&nbsp;&nbsp;1173782 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class B, 2.954%, 1/25/52<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;255981 |
| &nbsp;&nbsp;&nbsp;Series 2023-1, Class B, 3.039%, 3/25/52<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;681039 |
| &nbsp;&nbsp;&nbsp;Series 2024-1, Class B, 5.102%, 10/1/53<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;893 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;785611 |
| &nbsp;&nbsp;&nbsp;Series 2025-1, Class B, 5.63%, 8/1/55<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1200 | &nbsp;&nbsp;&nbsp;&nbsp;1054913 |
| Federal Home Loan Mortgage Corp.: |  |  |
| &nbsp;&nbsp;&nbsp;Series 5489, Class S, 6.149%, (15.62% - 30-day SOFR Average x 2.2), 1/25/55<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1176 | &nbsp;&nbsp;&nbsp;&nbsp;1237557 |
| &nbsp;&nbsp;&nbsp;Series 5508, Class DS, 8.085%, (21.00% - 30-day SOFR Average x 3.00), 2/25/55<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;468 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;529017 |
| &nbsp;&nbsp;&nbsp;Series 5508, Class SC, 8.085%, (21.00% - 30-day SOFR Average x 3.00), 2/25/55<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;935 | &nbsp;&nbsp;&nbsp;&nbsp;1051483 |
| Federal Home Loan Mortgage Corp. STACR REMICS Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-HQA3, Class B2, 11.92%, (30-day SOFR Average + 7.614%), 9/25/49<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;287031 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Federal Home Loan Mortgage Corp. STACR REMICS Trust: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-HQA1, Class B2, 9.305%, (30-day SOFR Average + 5.00%), 8/25/33<sup>(1)(3)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;2250 | $2598497 |
| &nbsp;&nbsp;&nbsp;Series 2021-HQA2, Class B2, 9.755%, (30-day SOFR Average + 5.45%), 12/25/33<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1300 | &nbsp;&nbsp; 1531604 |
| &nbsp;&nbsp;&nbsp;Series 2022-HQA2, Class M1B, 8.305%, (30-day SOFR Average + 4.00%), 7/25/42<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp; 528528 |
| &nbsp;&nbsp;&nbsp;Series 2023-HQA2, Class M1B, 7.655%, (30-day SOFR Average + 3.35%), 6/25/43<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp; 782896 |
| Federal National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2023-12, Class LW, 6.00%, 4/25/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp; 515432 |
| &nbsp;&nbsp;&nbsp;Series 2024-102, Class SA, 6.149%, (15.62% - 30-day SOFR Average x 2.2), 1/25/55<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1158 | &nbsp;&nbsp; 1222169 |
| Federal National Mortgage Association Connecticut Avenue Securities: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-R06, Class 2B1, 8.17%, (30-day SOFR Average + 3.864%), 9/25/39<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;195280 |
| &nbsp;&nbsp;&nbsp;Series 2023-R03, Class 2M2, 8.205%, (30-day SOFR Average + 3.90%), 4/25/43<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;532994 |
| GCAT Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM4, Class A3, 5.73% to 8/25/25, 8/25/67<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75943 |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM4, Class M1, 5.736%, 8/25/67<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;304654 |
| &nbsp;&nbsp;&nbsp;Series 2023-NQM2, Class A2, 6.243% to 2/25/26, 11/25/67<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350053 |
| Government National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-160, Class DI, 3.00%, 9/20/51<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;523 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92986 |
| &nbsp;&nbsp;&nbsp;Series 2022-126, Class AS, 0.00%, (3.69% - 30-day SOFR Average, Floor 0.00%), 7/20/52<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;689 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10849 |
| &nbsp;&nbsp;&nbsp;Series 2022-173, Class S, 6.96%, (22.733% - 30-day SOFR Average x 3.667), 10/20/52<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;193842 |
| &nbsp;&nbsp;&nbsp;Series 2022-175, Class SB, 6.96%, (22.733% - 30-day SOFR Average x 3.667), 10/20/52<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800484 |
| &nbsp;&nbsp;&nbsp;Series 2022-195, Class AS, 7.208%, (23.125% - 30-day SOFR Average x 3.70), 11/20/52<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;235990 |
| &nbsp;&nbsp;&nbsp;Series 2022-197, Class SW, 5.996%, (16.32% - 30-day SOFR Average x 2.40), 11/20/52<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155951 |
| &nbsp;&nbsp;&nbsp;Series 2023-13, Class SA, 1.098%, (5.40% - 30-day SOFR Average), 1/20/53<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;896 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43781 |
| &nbsp;&nbsp;&nbsp;Series 2023-19, Class SD, 1.998%, (6.30% - 30-day SOFR Average), 2/20/53<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42304 |
| &nbsp;&nbsp;&nbsp;Series 2023-22, Class ES, 1.998%, (6.30% - 30-day SOFR Average), 2/20/53<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;598 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41817 |
| &nbsp;&nbsp;&nbsp;Series 2023-24, Class SB, 0.848%, (5.15% - 30-day SOFR Average), 2/20/53<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53678 |
| &nbsp;&nbsp;&nbsp;Series 2023-24, Class SG, 1.998%, (6.30% - 30-day SOFR Average), 2/20/53<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;598 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41817 |
| &nbsp;&nbsp;&nbsp;Series 2023-38, Class LS, 1.998%, (6.30% - 30-day SOFR Average), 3/20/53<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41264 |
| &nbsp;&nbsp;&nbsp;Series 2023-47, Class HS, 1.998%, (6.30% - 30-day SOFR Average), 3/20/53<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14442 |
| &nbsp;&nbsp;&nbsp;Series 2023-47, Class SC, 1.948%, (6.25% - 30-day SOFR Average), 3/20/53<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20292 |
| &nbsp;&nbsp;&nbsp;Series 2023-65, Class G, 6.777%, (22.55% - 30-day SOFR Average x 3.667), 5/20/53<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;456785 |
| &nbsp;&nbsp;&nbsp;Series 2023-89, Class SE, 1.748%, (6.05% - 30-day SOFR Average), 6/20/53<sup>(5)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;115862 |

---

------

Calvert

Mortgage Access Fund

June 30, 2025

Schedule of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Government National Mortgage Association: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2023-96, Class BL, 6.00%, 7/20/53 | $&nbsp;&nbsp;650 | $672922 |
| &nbsp;&nbsp;&nbsp;Series 2023-96, Class DB, 6.00%, 7/20/53 | &nbsp;&nbsp;750 | &nbsp;&nbsp; 776295 |
| &nbsp;&nbsp;&nbsp;Series 2023-98, Class BW, 6.00%, 7/20/53 | &nbsp;&nbsp;250 | &nbsp;&nbsp; 258773 |
| &nbsp;&nbsp;&nbsp;Series 2023-99, Class AL, 6.00%, 7/20/53 | 1000 | &nbsp;&nbsp; 1035032 |
| &nbsp;&nbsp;&nbsp;Series 2023-100, Class AY, 6.00%, 7/20/53<sup>(7)</sup> | 2000 | &nbsp;&nbsp; 2070304 |
| &nbsp;&nbsp;&nbsp;Series 2023-100, Class JL, 6.00%, 7/20/53 | &nbsp;&nbsp;500 | &nbsp;&nbsp; 517643 |
| &nbsp;&nbsp;&nbsp;Series 2023-102, Class SG, 6.515%, (22.546% - 30-day SOFR Average x 3.727), 7/20/53<sup>(5)</sup> | &nbsp;&nbsp;237 | &nbsp;&nbsp; 254099 |
| &nbsp;&nbsp;&nbsp;Series 2023-133, Class S, 8.695%, (21.60% - 30-day SOFR Average x 3.00), 9/20/53<sup>(5)</sup> | &nbsp;&nbsp;451 | &nbsp;&nbsp; 506197 |
| &nbsp;&nbsp;&nbsp;Series 2023-149, Class S, 8.545%, (21.45% - 30-day SOFR Average x 3.00), 10/20/53<sup>(5)</sup> | &nbsp;&nbsp;316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;353000 |
| &nbsp;&nbsp;&nbsp;Series 2023-153, Class SM, 10.793%, (28.00% - 30-day SOFR Average x 4.00), 10/20/53<sup>(5)</sup> | &nbsp;&nbsp;206 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;239764 |
| &nbsp;&nbsp;&nbsp;Series 2023-164, Class EL, 6.00%, 11/20/53<sup>(7)</sup> | 1500 | &nbsp;&nbsp;&nbsp;&nbsp;1549258 |
| &nbsp;&nbsp;&nbsp;Series 2023-165, Class DY, 6.00%, 11/20/53 | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;1031584 |
| &nbsp;&nbsp;&nbsp;Series 2023-165, Class EY, 6.50%, 11/20/53<sup>(7)</sup> | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;1052234 |
| &nbsp;&nbsp;&nbsp;Series 2023-173, Class AX, 6.00%, 11/20/53 | 1500 | &nbsp;&nbsp;&nbsp;&nbsp;1547742 |
| &nbsp;&nbsp;&nbsp;Series 2023-182, Class EL, 6.00%, 12/20/53 | &nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;516402 |
| &nbsp;&nbsp;&nbsp;Series 2024-1, Class GL, 6.00%, 1/20/54 | &nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;517545 |
| &nbsp;&nbsp;&nbsp;Series 2024-44, Class LM, 6.00%, 3/20/54 | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;1034787 |
| &nbsp;&nbsp;&nbsp;Series 2024-59, Class LG, 6.00%, 4/20/54<sup>(7)</sup> | 2000 | &nbsp;&nbsp;&nbsp;&nbsp;2067696 |
| &nbsp;&nbsp;&nbsp;Series 2024-64, Class EI, 6.50%, 4/20/64<sup>(6)</sup> | &nbsp;&nbsp;909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126713 |
| &nbsp;&nbsp;&nbsp;Series 2024-112, Class EZ, 6.00%, 7/20/54 | &nbsp;&nbsp;528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;541757 |
| &nbsp;&nbsp;&nbsp;Series 2024-148, Class LZ, 5.50%, 9/20/54<sup>(7)</sup> | 2084 | &nbsp;&nbsp;&nbsp;&nbsp;2061501 |
| &nbsp;&nbsp;&nbsp;Series 2024-183, Class ZA, 6.00%, 8/20/54 | 1553 | &nbsp;&nbsp;&nbsp;&nbsp;1590707 |
| &nbsp;&nbsp;&nbsp;Series 2024-197, Class JY, 6.50%, 12/20/54 | &nbsp;&nbsp;584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;615660 |
| &nbsp;&nbsp;&nbsp;Series 2025-1, Class BY, 6.50%, 1/20/55 | &nbsp;&nbsp;733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;772814 |
| &nbsp;&nbsp;&nbsp;Series 2025-39, Class CM, 8.202%, (30-day SOFR Average + 3.90%), 3/20/55<sup>(3)</sup> | 1487 | &nbsp;&nbsp;&nbsp;&nbsp;1530651 |
| &nbsp;&nbsp;&nbsp;Series 2025-41, Class MT, 7.235%, (30-day SOFR Average + 2.933%), 3/20/65<sup>(3)</sup> | &nbsp;&nbsp;723 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;728758 |
| &nbsp;&nbsp;&nbsp;Series 2025-41, Class NT, 7.235%, (30-day SOFR Average + 2.933%), 3/20/55<sup>(3)</sup> | &nbsp;&nbsp;744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;755199 |
| &nbsp;&nbsp;&nbsp;Series 2025-41, Class QM, 8.202%, (30-day SOFR Average + 3.90%), 3/20/55<sup>(3)</sup> | &nbsp;&nbsp;734 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;755121 |
| &nbsp;&nbsp;&nbsp;Series 2025-62, Class FM, 8.502%, (30-day SOFR Average + 4.20%), 4/20/55<sup>(3)</sup> | &nbsp;&nbsp;745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;764785 |
| &nbsp;&nbsp;&nbsp;Series 2025-63, Class FT, 8.00%, (26.40% - 30-day SOFR Average x 4.00), 4/20/55<sup>(5)</sup> | &nbsp;&nbsp;746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;758188 |
| &nbsp;&nbsp;&nbsp;Series 2025-64, Class FM, 8.562%, (30-day SOFR Average + 4.26%), 4/20/55<sup>(3)</sup> | &nbsp;&nbsp;746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;764901 |
| &nbsp;&nbsp;&nbsp;Series 2025-69, Class VN, 10.00%, (68.67% - 30-day SOFR Average x 13.33), 4/20/55<sup>(5)</sup> | &nbsp;&nbsp;746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770999 |
| &nbsp;&nbsp;&nbsp;Series 2025-82, Class FL, 8.793%, (30-day SOFR Average + 4.50%), 5/20/55<sup>(3)</sup> | &nbsp;&nbsp;997 | &nbsp;&nbsp;&nbsp;&nbsp;1022680 |
| &nbsp;&nbsp;&nbsp;Series 2025-83, Class MU, 8.593%, (30-day SOFR Average + 4.30%), 4/20/55<sup>(3)</sup> | &nbsp;&nbsp;997 | &nbsp;&nbsp;&nbsp;&nbsp;1010184 |
| &nbsp;&nbsp;&nbsp;Series 2025-90, Class MB, 4.30%, (30-day SOFR Average + 4.30%), 5/20/55<sup>(3)</sup> | &nbsp;&nbsp;997 | &nbsp;&nbsp;&nbsp;&nbsp;1011671 |
| &nbsp;&nbsp;&nbsp;Series 2025-105, Class TM, 8.357%, (21.30% - 30-day SOFR Average x 3.00), 6/20/55<sup>(5)</sup> | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;1037794 |
| JP Morgan Mortgage Trust, Series 2025-NQM2, Class M1B, 6.902%, 9/25/65<sup>(1)(2)</sup> | &nbsp;&nbsp;583 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;592120 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Mello Warehouse Securitization Trust, Series 2025-1, Class F, 10.819%, (1 mo. SOFR + 6.50%), 5/25/59<sup>(1)(3)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | $1022483 |
| New Residential Mortgage Loan Trust, Series 2021-NQM2R, Class M1, 2.201%, 10/25/58<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | &nbsp;&nbsp; 118355 |
| PRPM Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-NQM2, Class B2, 6.932%, 8/25/68<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1600 | &nbsp;&nbsp; 1582594 |
| &nbsp;&nbsp;&nbsp;Series 2025-NQM2, Class M1B, 7.077%, 4/25/70<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp; 1015351 |
| SG Residential Mortgage Trust, Series 2019-3, Class A1, 2.703%, 9/25/59<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp; 1006 |
| Total Collateralized Mortgage Obligations<br> (identified cost $63,213,468) |  | **$65233965** |

---

---

| | | |
|:---|:---|:---|
| Government National Mortgage Association Participation Agreements — 2.7% | Government National Mortgage Association Participation Agreements — 2.7% | Government National Mortgage Association Participation Agreements — 2.7% |
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Government National Mortgage Association Participation Agreements, 7.35%, 1/1/59<sup>(8)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2508 | $2530246 |
| Total Government National Mortgage Association Participation Agreements<br> (identified cost $2,508,000) |  | **$2530246** |

---

U.S. Government Agency Mortgage-Backed Securities — 64.3%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Federal Home Loan Mortgage Corp.: |  |  |
| &nbsp;&nbsp;&nbsp;6.00%, 1/1/55<sup>(7)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1206 | $1228319 |
| &nbsp;&nbsp;&nbsp;6.50%, 3/1/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;223 | &nbsp;&nbsp; 232678 |
| Federal National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;579 | &nbsp;&nbsp; 581357 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;634 | &nbsp;&nbsp; 651241 |
| &nbsp;&nbsp;&nbsp;6.50%, with various maturities to 2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;869 | &nbsp;&nbsp; 903531 |
| &nbsp;&nbsp;&nbsp;7.00%, 6/1/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;231 | &nbsp;&nbsp; 246222 |
| Government National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;817 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;759209 |
| &nbsp;&nbsp;&nbsp;4.50%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;355931 |
| &nbsp;&nbsp;&nbsp;5.00%, with various maturities to 2052<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6559 | &nbsp;&nbsp;&nbsp;&nbsp;6488822 |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2062<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3627 | &nbsp;&nbsp;&nbsp;&nbsp;3678579 |
| &nbsp;&nbsp;&nbsp;5.50%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5600 | &nbsp;&nbsp;&nbsp;&nbsp;5606438 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2054<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7191 | &nbsp;&nbsp;&nbsp;&nbsp;7388834 |
| &nbsp;&nbsp;&nbsp;6.00%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5300 | &nbsp;&nbsp;&nbsp;&nbsp;5375041 |
| &nbsp;&nbsp;&nbsp;6.50%, with various maturities to 2063 | &nbsp;&nbsp;&nbsp;&nbsp;6084 | &nbsp;&nbsp;&nbsp;&nbsp;6324271 |
| &nbsp;&nbsp;&nbsp;7.00%, with various maturities to 2062 | &nbsp;&nbsp;&nbsp;&nbsp;4708 | &nbsp;&nbsp;&nbsp;&nbsp;4931233 |
| &nbsp;&nbsp;&nbsp;7.50%, 6/20/64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;251579 |
| Government National Mortgage Association II: |  |  |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;972559 |
| &nbsp;&nbsp;&nbsp;6.50%, 7/20/53<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;632 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;663080 |

---

------

Calvert

Mortgage Access Fund

June 30, 2025

Schedule of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Uniform Mortgage-Backed Security: |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 30-Year, TBA<sup>(9)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3230 | $2794456 |
| &nbsp;&nbsp;&nbsp;5.50%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp; 4998826 |
| &nbsp;&nbsp;&nbsp;6.00%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp; 5081447 |
| Total U.S. Government Agency Mortgage-Backed Securities<br> (identified cost $59,238,502) |  | **$59513653** |

---

---

| | | |
|:---|:---|:---|
| Short-Term Investments — 1.5% |  |  |
| **Security** | **Shares** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Value** |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.23%<sup>(10)</sup> | 1415837 | $1415837 |
| Total Short-Term Investments<br> (identified cost $1,415,837) |  | **$1415837** |
| Total Investments — 140.1%<br> (identified cost $127,403,837) |  | **$129739748** |

---

---

| | | |
|:---|:---|:---|
| TBA Sale Commitments — (3.2)% | TBA Sale Commitments — (3.2)% | TBA Sale Commitments — (3.2)% |
| U.S. Government Agency Mortgage-Backed Securities — (3.2)% | U.S. Government Agency Mortgage-Backed Securities — (3.2)% | U.S. Government Agency Mortgage-Backed Securities — (3.2)% |
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Value** |
| Government National Mortgage Association 3.00%, 30-Year, TBA<sup>(9)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;(3333) | $(2943804) |
| Total U.S. Government Agency Mortgage-Backed Securities (proceeds $2,920,463) |  | **$(2943804)** |
| Total TBA Sale Commitments<br> (proceeds $2,920,463) |  | **$(2943804)** |
| Other Assets, Less Liabilities — (36.9)% |  | **$(34192525)** |
| Net Assets — 100.0% |  | **$92603419** |

---

---

| | |
|:---|:---|
| The percentage shown for each investment category in the Schedule of Investments is based on net assets. | The percentage shown for each investment category in the Schedule of Investments is based on net assets. |
| <sup>(1)</sup> | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2025, the aggregate value of these securities is $26,740,850 or 28.9% of the Fund's net assets. |
| <sup>(2)</sup> | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2025. |
| <sup>(3)</sup> | Variable rate security. The stated interest rate represents the rate in effect at June 30, 2025. |
| <sup>(4)</sup> | Step coupon security. Interest rate represents the rate in effect at<br> June 30, 2025. |
| <sup>(5)</sup> | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at June 30, 2025. |
| <sup>(6)</sup> | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
| <sup>(7)</sup> | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
| <sup>(8)</sup> | Represents a participation interest, through a participation agreement with a financial institution, in mortgage loans guaranteed by Government National Mortgage Association. |
| <sup>(9)</sup> | TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount, which is not expected to differ significantly from the commitment amount, and maturity date are determined upon settlement. |
| <sup>(10)</sup> | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2025. |

---

---

| | |
|:---|:---|
| **Abbreviations:** | **Abbreviations:** |
| SOFR | – Secured Overnight Financing Rate |
| STACR | – Structured Agency Credit Risk |
| TBA | – To Be Announced |

---

#### Futures Contracts

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | &nbsp;&nbsp;&nbsp;&nbsp;**Number of<br> Contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Position** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> Amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/<br> Unrealized<br> Appreciation<br> (Depreciation)** |
| **Interest Rate Futures** |  |  |  |  |  |
| U.S. 5-Year Treasury Note | &nbsp;&nbsp;&nbsp;&nbsp;484 | &nbsp;&nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;&nbsp;&nbsp;9/30/25 | &nbsp;&nbsp;&nbsp;&nbsp;$52756000 | &nbsp;&nbsp;&nbsp;&nbsp;$472284 |
| U.S. 10-Year Treasury Note | &nbsp;&nbsp;&nbsp;&nbsp;(10) | &nbsp;&nbsp;&nbsp;&nbsp;Short | &nbsp;&nbsp;&nbsp;&nbsp;9/19/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1121250) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(20633) |
| U.S. Ultra-Long Treasury Bond | &nbsp;&nbsp;&nbsp;&nbsp;(42) | &nbsp;&nbsp;&nbsp;&nbsp;Short | &nbsp;&nbsp;&nbsp;&nbsp;9/19/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5003250) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(135605) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$316046** |

---

------

Calvert

Mortgage Access Fund

June 30, 2025

Schedule of Investments (Unaudited) — continued

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** |
| **Notional Amount<br> (000's omitted)** | **Notional Amount<br> (000's omitted)** | &nbsp;&nbsp;&nbsp;&nbsp;**Fund<br> Pays/<br> Receives<br> Floating<br> Rate** | &nbsp;&nbsp;&nbsp;&nbsp;**Floating Rate** | &nbsp;&nbsp;&nbsp;&nbsp;**Annual<br> Fixed Rate** | &nbsp;&nbsp;&nbsp;&nbsp;**Termination<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Value** | &nbsp;&nbsp;&nbsp;&nbsp;**Unamortized<br> Upfront<br> Receipts<br> (Payments)** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> Appreciation<br> (Depreciation)** |
| &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;Receives | &nbsp;&nbsp;&nbsp;&nbsp;SOFR<br> (pays annually) | &nbsp;&nbsp;&nbsp;&nbsp;3.98%<br> (pays annually) | &nbsp;&nbsp;&nbsp;&nbsp;4/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;$(38913) | &nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$(38913) |
| &nbsp;&nbsp;**Total** |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$(38913)** | &nbsp;&nbsp;&nbsp;&nbsp;**$—** | &nbsp;&nbsp;&nbsp;&nbsp;**$(38913)** |

---

At June 30, 2025, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

During the fiscal year to date ended June 30, 2025, the Fund entered into futures contracts and interest rate swaps to hedge interest rate risk and to manage duration.

Reverse Repurchase Agreements

Reverse repurchase agreements outstanding as of June 30, 2025 were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty** | &nbsp;&nbsp;&nbsp;&nbsp;**Trade<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Maturity<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Interest<br> Rate Paid<br> (Received)** | &nbsp;&nbsp;&nbsp;&nbsp;**Principal<br> Amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value<br> Including<br> Accrued<br> Interest** |
| &nbsp;&nbsp;TD Securities (USA), LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/6/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4.55% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$3786826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$3870583 |
| &nbsp;&nbsp;TD Securities (USA), LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/6/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1432197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1464223 |
| &nbsp;&nbsp;TD Securities (USA), LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4.55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;966820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;987470 |
| &nbsp;&nbsp;TD Securities (USA), LLC | &nbsp;&nbsp;&nbsp;&nbsp;2/5/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1013313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1032087 |
| &nbsp;&nbsp;TD Securities (USA), LLC | &nbsp;&nbsp;&nbsp;&nbsp;4/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;760933 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;768809 |
| &nbsp;&nbsp;TD Securities (USA), LLC | &nbsp;&nbsp;&nbsp;&nbsp;4/29/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;993672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1001544 |
| &nbsp;&nbsp;MUFG Securities Americas, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;2/27/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3945601 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4007613 |
| &nbsp;&nbsp;MUFG Securities Americas, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;3/28/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4.55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1187983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1201797 |
| &nbsp;&nbsp;MUFG Securities Americas, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;6/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;7/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1200681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1203596 |
| &nbsp;&nbsp;**Total Investments** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$15288026** | &nbsp;&nbsp;&nbsp;&nbsp;**$15537722** |

---

<sup>(1)</sup> Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

At June 30, 2025, the remaining contractual maturity of all open reverse repurchase agreements was less than 30 days.

At June 30, 2025, the underlying collateral for all open reverse repurchase agreements was comprised of Collateralized Mortgage Obligations and U.S. Government Agency Mortgage-Backed securities having an aggregate market value of $16,776,538.

Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at June 30, 2025. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy at June 30, 2025.

------

Calvert

Mortgage Access Fund

June 30, 2025

Schedule of Investments (Unaudited) — continued

------

Affiliated Investments

At June 30, 2025, the value of the Fund's investment in funds that may be deemed to be affiliated was $1,415,837, which represents 1.5% of the Fund's net assets. Transactions in such investments by the Fund for the fiscal year to date ended June 30, 2025 were as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Name** | **Value,<br> beginning<br> of period** | **Purchases** | **Sales<br> proceeds** | **Net<br> realized<br> gain<br> (loss)** | **Change in<br> unrealized<br> appreciation<br> (depreciation)** | **Value,<br> end of<br> period** | **Dividend<br> income** | **Shares,<br> end of<br> period** |
| **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** |  |  |  |  |  |  |
| Liquidity Fund, Institutional Class<sup>(1)</sup> | $232040 | $55325073 | $(54141276) | $— | $— | $1415837 | $45800 | 1415837 |

---

<sup>(1)</sup> Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio.

Fair Value Measurements

U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 - quoted prices in active markets for identical securities

Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the market value of the Fund's holdings as of June 30, 2025, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Description** | &nbsp;&nbsp;**Level 1** | &nbsp;&nbsp;**Level 2** | &nbsp;&nbsp;**Level 3** | &nbsp;&nbsp;**Total** |
| Asset-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$1046047 | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$1046047 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65233965 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65233965 |
| Government National Mortgage Association Participation Agreements | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2530246 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2530246 |
| U.S. Government Agency Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59513653 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59513653 |
| Short-Term Investments | &nbsp;&nbsp;&nbsp;&nbsp;1415837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1415837 |
| **Total Investments** | &nbsp;&nbsp;**$1415837** | &nbsp;&nbsp;**$128323911** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$129739748** |
| Futures Contracts | &nbsp;&nbsp;&nbsp;$472284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$472284 |
| **Total** | &nbsp;&nbsp;**$1888121** | &nbsp;&nbsp;**$128323911** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$130212032** |
| **Liability Description** |  |  |  |  |
| TBA Sale Commitments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$(2943804) | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$(2943804) |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(156238) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(156238) |
| Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(38913) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(38913) |
| **Total** | &nbsp;&nbsp;**$(156238)** | &nbsp;&nbsp;&nbsp;**$(2982717)** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;&nbsp;**$(3138955)** |

---

**Investment Valuation - Derivatives. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Swaps are categorized as Level 2 in the hierarchy.**

**Interest Rate Swaps - Swap contracts are privately negotiated agreements between the Fund and a counterparty. Certain swap contracts may be centrally cleared ("centrally cleared swaps"), whereby all payments made or received by the Fund pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared swaps, the Fund is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment. Pursuant to interest rate swap agreements, the Fund either makes floating-rate payments to the counterparty (or CCP in the case of centrally**

------

Calvert

Mortgage Access Fund

June 30, 2025

Schedule of Investments (Unaudited) — continued

------

cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Fund makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, if any (which are amortized over the life of the swap contract), are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Fund is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.

For additional information on the Fund's policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent annual or semi-annual financial statements.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** The Calvert Fund

- **b. Investment Company Act file number:** 811-03416

- **c. CIK number of Registrant:** 0000701039

- **d. LEI of Registrant:** 549300SAFDT1VZ80RP53

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

  - **Street Address 1:** 2050 M Street NW

  - **City:** Washington

  - **State:** DC

  - **Foreign country:** US

  - **Zip / Postal Code:** 20036

  - **Telephone number:** 202-238-2200

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

- **a. Name of Series:** Calvert Mortgage Access Fund

- **b. EDGAR series identifier (if any):** S000076002

- **c. LEI of Series:** 549300O2JSVSVL35QD76

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-06-30

**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:** $134948980.93

**Total Liabilities:** $42732014.06

**Net Assets:** $92216966.87

**Delayed Delivery Securities:** $23696999.86

**Cash Not Reported:** $1198094.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -6.45000000 | **1-Year:** -152.41000000 | **5-Year:** -533.92000000 | **10-Year:** -1044.52000000 | **30-Year:** -334.54000000

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

- **3-Month:** -16.96000000 | **1-Year:** -433.59000000 | **5-Year:** -1854.79000000 | **10-Year:** -4417.20000000 | **30-Year:** -2121.27000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000235423 | 1.04%                | -0.69%               | 1.78%                |
| Class ID C000235424 | 1.12%                | -0.61%               | 1.86%                |
| Class ID C000235421 | 1.12%                | -0.61%               | 1.86%                |
| Class ID C000235422 | 1.00%                | -0.63%               | 1.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-227036.71              | $187454.32                                 |
| Month 2  | $1851.57                 | $-670655.16                                |
| Month 3  | $3347.66                 | $1091107.37                                |

**Designated Index Information**

- **Index Name:** BB US MBS

- **Index Identifier:** LEH_MBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| NOMURA CORPORATE FDG AMERS LLC            | NOMURA CORPORATE FDG AMERS LLC                                                                                | CUSIP: 65538RAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2508000 | PA      | $2530245.85   | 2.74%             | 2059-01-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B7SX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98758 | PA      | $101256.42    | 0.11%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384D3W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1549257.90   | 1.68%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                                                    | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5600000 | PA      | $5606438.04   | 6.08%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383HMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    896332 | PA      | $43780.79     | 0.05%             | 2053-01-20      | Floating      | 1.10%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                     | RRP GNR 24 44 REPO                                                                                            | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |   -993672 | PA      | $-993671.54   | -1.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AWZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489211 | PA      | $503445.55    | 0.55%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106774 | PA      | $109475.18    | 0.12%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae I Pool                                                                                             | CUSIP: 3617F2VE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482138 | PA      | $487797.57    | 0.53%             | 2052-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180354 | PA      | $188926.83    | 0.20%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385EQE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733539 | PA      | $755121.24    | 0.82%             | 2055-03-20      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383VVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597816 | PA      | $41816.59     | 0.05%             | 2053-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                                                            | CUSIP: 3137HJG92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467540 | PA      | $529016.89    | 0.57%             | 2055-02-25      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                                              | CUSIP: 3133BW5R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223258 | PA      | $232677.90    | 0.25%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNMA 23 164 REPO                                                                                          | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1200681 | PA      | $-1200680.78  | -1.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688832 | PA      | $10849.32     | 0.01%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38381NAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1037793.80   | 1.13%             | 2055-06-20      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385FNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    745231 | PA      | $764784.83    | 0.83%             | 2055-04-20      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384WJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2084029 | PA      | $2061500.83   | 2.24%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384DFS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315986 | PA      | $352999.67    | 0.38%             | 2053-10-20      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385F3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    997309 | PA      | $1022679.64   | 1.11%             | 2055-05-20      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                                              | CUSIP: 31425XXT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1206361 | PA      | $1228319.29   | 1.33%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384D7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1052233.80   | 1.14%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240855 | PA      | $244959.34    | 0.27%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384B2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750000 | PA      | $776295.00    | 0.84%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                                                    | CUSIP: 21H030690<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3333000 | PA      | $-2943804.26  | -3.19%            | 2055-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A84C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169164 | PA      | $171729.67    | 0.19%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385GQB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    996808 | PA      | $1010184.45   | 1.10%             | 2055-04-20      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR Trust 2019-HQA3                                                                             | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $287031.03    | 0.31%             | 2049-09-25      | Floating      | 11.92%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618J8GV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248219 | PA      | $260157.89    | 0.28%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4998825.75   | 5.42%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B3DN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197003 | PA      | $205435.50    | 0.22%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FV5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64312 | PA      | $64423.02     | 0.07%             | 2062-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                                                            | CUSIP: 3137HJH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934609 | PA      | $1051483.25   | 1.14%             | 2055-02-25      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384UBB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528198 | PA      | $541756.91    | 0.59%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FEEQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456961 | PA      | $451718.33    | 0.49%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                         | PRPM 2023-NQM2 Trust                                                                                          | CUSIP: 74390KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1582593.92   | 1.72%             | 2068-08-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AV6U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98826 | PA      | $101326.04    | 0.11%             | 2062-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617W1W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212836 | PA      | $210527.24    | 0.23%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487791 | PA      | $499696.98    | 0.54%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AGCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307265 | PA      | $315039.18    | 0.34%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385E2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746057 | PA      | $758188.14    | 0.82%             | 2055-04-20      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617F2PK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411150 | PA      | $406112.10    | 0.44%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    523001 | PA      | $92985.73     | 0.10%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AUEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46688 | PA      | $47869.45     | 0.05%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384E8K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206315 | PA      | $239763.57    | 0.26%             | 2053-10-20      | Floating      | 10.79%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383WK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299829 | PA      | $20291.90     | 0.02%             | 2053-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    632452 | PA      | $663079.66    | 0.72%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FGQJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239812 | PA      | $237158.57    | 0.26%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-5                                                                               | CUSIP: 03465HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51973 | PA      | $45536.53     | 0.05%             | 2066-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383LBU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207408 | PA      | $235989.86    | 0.26%             | 2052-11-20      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618HS5R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243297 | PA      | $251579.03    | 0.27%             | 2064-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212070 | PA      | $217634.54    | 0.24%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384XWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1553294 | PA      | $1590707.04   | 1.72%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383U4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176389 | PA      | $193841.61    | 0.21%             | 2052-10-20      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384H5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $517545.30    | 0.56%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BWMD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441494 | PA      | $454201.99    | 0.49%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AGXT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243296 | PA      | $253329.74    | 0.27%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2025-1                                                                                           | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1901587 | PA      | $1990129.89   | 2.16%             | 2060-04-25      | Variable      | 8.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453019 | PA      | $459323.59    | 0.50%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383WN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209903 | PA      | $14442.27     | 0.02%             | 2053-03-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159988 | PA      | $164036.38    | 0.18%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    477857 | PA      | $493403.69    | 0.54%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR 24 59 REPO                                                                                            | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1983562 | PA      | $-1983562.19  | -2.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                                               | CUSIP: 3140NNS97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230803 | PA      | $246222.36    | 0.27%             | 2053-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618J8GU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    495715 | PA      | $514763.82    | 0.56%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384BLX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1902062 | PA      | $115862.37    | 0.13%             | 2053-06-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ATRV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279142 | PA      | $287246.63    | 0.31%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mello Warehouse Securitization Trust      | Mello Warehouse Securitization Trust 2025-1                                                                   | CUSIP: 58550CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1022483.10   | 1.11%             | 2059-05-25      | Floating      | 10.82%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BWMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244398 | PA      | $251432.30    | 0.27%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2023-1                                                                                   | CUSIP: 12547QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178678 | PA      | $179411.52    | 0.19%             | 2058-03-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617YTXU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240373 | PA      | $244401.80    | 0.27%             | 2052-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR CASH/RRP REPO                                                                                         | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1962039 | PA      | $-1962039.18  | -2.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617YXQV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478908 | PA      | $473413.82    | 0.51%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618H9TG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494859 | PA      | $516812.73    | 0.56%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617Y6B89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180771 | PA      | $178753.14    | 0.19%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353794 | PA      | $367831.48    | 0.40%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                  | JP Morgan Mortgage Trust Series 2025-NQM2                                                                     | CUSIP: 46590SAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583333 | PA      | $592120.27    | 0.64%             | 2065-09-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -982720 | PA      | $-982720.27   | -1.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383WHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    599723 | PA      | $41263.63     | 0.04%             | 2053-03-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FXLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    871006 | PA      | $885604.12    | 0.96%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618FGDS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246269 | PA      | $257883.16    | 0.28%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384B4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2070304.40   | 2.25%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385GYJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    996808 | PA      | $1011671.29   | 1.10%             | 2055-05-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244492 | PA      | $250460.08    | 0.27%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                                               | CUSIP: 3140NAP98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242958 | PA      | $249202.73    | 0.27%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385ENX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722828 | PA      | $728757.95    | 0.79%             | 2065-03-20      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMVY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208426 | PA      | $206035.02    | 0.22%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618FGD43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491997 | PA      | $516890.13    | 0.56%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2022-NQM1                                                                                | CUSIP: 12569CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66395 | PA      | $67555.27     | 0.07%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617F9V33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95700 | PA      | $94601.68     | 0.10%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2024-1                                                                                           | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370062 | PA      | $1420681.35   | 1.54%             | 2059-07-25      | Variable      | 9.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F3TL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533670 | PA      | $561505.58    | 0.61%             | 2053-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                          | Bellemeade Re 2022-2 Ltd                                                                                      | CUSIP: 07876GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171070 | PA      | $172226.77    | 0.19%             | 2032-09-27      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5081446.75   | 5.51%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2024-2                                                                                           | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1513144 | PA      | $1579751.98   | 1.71%             | 2059-11-25      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170651 | PA      | $179021.37    | 0.19%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487960 | PA      | $499443.12    | 0.54%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385BEX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    584087 | PA      | $615659.88    | 0.67%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2023-1 Mortgage Trust                                                                                    | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915205 | PA      | $681039.52    | 0.74%             | 2052-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                                                            | CUSIP: 3137HHWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1175926 | PA      | $1237557.21   | 1.34%             | 2055-01-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                         | PRPM 2025-NQM2 Trust                                                                                          | CUSIP: 693983AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1015351.10   | 1.10%             | 2070-04-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383U7L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    768510 | PA      | $800483.98    | 0.87%             | 2052-10-20      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142470 | PA      | $146074.43    | 0.16%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618GRYQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    748605 | PA      | $778528.28    | 0.84%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B7SY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62795 | PA      | $64716.44     | 0.07%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383WCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1195633 | PA      | $53677.92     | 0.06%             | 2053-02-20      | Floating      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384B4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $517643.05    | 0.56%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384MLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908661 | PA      | $126712.97    | 0.14%             | 2064-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust           | BRAVO Residential Funding Trust 2021-NQM3                                                                     | CUSIP: 105690AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80084 | PA      | $75500.17     | 0.08%             | 2060-04-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | FED HM LN PC POOL REPO                                                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1187983 | PA      | $-1187982.83  | -1.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384BY62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650000 | PA      | $672922.12    | 0.73%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                                             | CUSIP: 3136BUJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1157885 | PA      | $1222168.84   | 1.33%             | 2055-01-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust       | New Residential Mortgage Loan Trust 2021-NQM2R                                                                | CUSIP: 64831EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $118355.26    | 0.13%             | 2058-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618H9TF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494168 | PA      | $507311.11    | 0.55%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | US3618GRYQ68 REPO                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -760933 | PA      | $-760932.85   | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385CDE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733046 | PA      | $772814.48    | 0.84%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FQTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207895 | PA      | $205600.40    | 0.22%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    591081 | PA      | $584558.06    | 0.63%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2023-HQA2                                                                       | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $782895.60    | 0.85%             | 2043-06-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455850 | PA      | $469113.08    | 0.51%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383WAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597816 | PA      | $41816.59     | 0.05%             | 2053-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245080 | PA      | $255646.22    | 0.28%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                      | Cross 2024-H2 Mortgage Trust                                                                                  | CUSIP: 22757BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $474563.61    | 0.51%             | 2069-04-25      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                                               | CUSIP: 3140ARS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495862 | PA      | $497640.94    | 0.54%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618J8GT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    991340 | PA      | $1006863.47   | 1.09%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                     | CALMACCESS REV REPO                                                                                           | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |   -966819 | PA      | $-966819.49   | -1.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F6XF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488311 | PA      | $503282.22    | 0.55%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384ELZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450798 | PA      | $506197.51    | 0.55%             | 2053-09-20      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F2J97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221330 | PA      | $235201.93    | 0.26%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F5VL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412951 | PA      | $424836.91    | 0.46%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617F0X48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80122 | PA      | $79180.10     | 0.09%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    419874 | PA      | $437976.17    | 0.47%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384BY39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237195 | PA      | $254098.72    | 0.28%             | 2053-07-20      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                                                    | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5300000 | PA      | $5375040.85   | 5.83%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3230000 | PA      | $2794456.14   | 3.03%             | 2055-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513196 | PA      | $507950.32    | 0.55%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384BXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $258773.30    | 0.28%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNMA2 30 YR REPO                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -619679 | PA      | $-619678.89   | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2022-HQA2                                                                       | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $528527.95    | 0.57%             | 2042-07-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52608 | PA      | $52698.89     | 0.06%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617XRGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95818 | PA      | $94838.71     | 0.10%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                       | SG Residential Mortgage Trust 2019-3                                                                          | CUSIP: 78432BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1009 | PA      | $1005.84      | 0.00%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 21-1 Mortgage Trust                                                                                      | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1529995 | PA      | $1173781.59   | 1.27%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384D7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1031583.60   | 1.12%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384BS69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1035031.90   | 1.12%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384MG68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2067696.20   | 2.24%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AEBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150083 | PA      | $152171.48    | 0.17%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385EP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    745737 | PA      | $764900.55    | 0.83%             | 2055-04-20      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617F9V41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86130 | PA      | $85249.45     | 0.09%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                                             | CUSIP: 3136BPM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $515431.95    | 0.56%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617YWB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154671 | PA      | $144179.04    | 0.16%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2022-1 Mortgage Trust                                                                                    | CUSIP: 30328CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349416 | PA      | $255981.09    | 0.28%             | 2052-01-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                  | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                           | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   1415837 | NS      | $1415837.25   | 1.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AGXU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210857 | PA      | $222843.51    | 0.24%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1352355 | PA      | $1338530.56   | 1.45%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                    | US ULTRA BOND CBT SEP25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -42 | NC      | $-135604.69   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618FGDR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245835 | PA      | $254052.53    | 0.28%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2023-4                                                                                   | CUSIP: 12569QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497889 | PA      | $509107.51    | 0.55%             | 2058-09-25      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | CHAMPS TRUST 2024-3                                                                                           | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1758781 | PA      | $1830198.71   | 1.98%             | 2060-01-25      | Variable      | 8.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                                               | CUSIP: 3140NMHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391367 | PA      | $402037.81    | 0.44%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1464978 | PA      | $-1464977.71  | -1.59%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617YWB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436594 | PA      | $406022.64    | 0.44%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FTMJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194268 | PA      | $192039.35    | 0.21%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384AGR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416553 | PA      | $456785.02    | 0.50%             | 2053-05-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                    | US 10YR NOTE (CBT)SEP25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -10 | NC      | $-20632.70    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618FGD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409030 | PA      | $422702.85    | 0.46%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes    | NRM FNT1 Excess LLC                                                                                           | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1028030 | PA      | $1046047.45   | 1.13%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust           | BRAVO Residential Funding Trust 2021-NQM1                                                                     | CUSIP: 10569TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50149 | PA      | $47128.39     | 0.05%             | 2049-02-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385FCX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746057 | PA      | $770999.14    | 0.84%             | 2055-04-20      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2025-1 Mortgage Trust                                                                                    | CUSIP: 30768CAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1054912.92   | 1.14%             | 2055-08-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A9EW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201742 | PA      | $204801.90    | 0.22%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNR 23 165 REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1013313 | PA      | $-1013313.19  | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                                               | CUSIP: 3140NQVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489708 | PA      | $509335.78    | 0.55%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNMA2 30YR CASH/RRP REPO                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -719449 | PA      | $-719449.40   | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617XR5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    390982 | PA      | $386667.14    | 0.42%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20753AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $532994.35    | 0.58%             | 2043-04-25      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617W1W63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238375 | PA      | $229712.35    | 0.25%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617UBU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189960 | PA      | $187864.25    | 0.20%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F22X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    417885 | PA      | $430697.10    | 0.47%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207395 | PA      | $212456.91    | 0.23%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2022-NQM1                                                                                | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $507173.85    | 0.55%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNR 24 148 REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1432197 | PA      | $-1432197.31  | -1.55%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618GRZZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1003057 | PA      | $1045658.68   | 1.13%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2022-4                                                                                   | CUSIP: 12551SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538279 | PA      | $551626.46    | 0.60%             | 2057-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                                               | CUSIP: 3140N7KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83235 | PA      | $83715.83     | 0.09%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385EPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744256 | PA      | $755198.76    | 0.82%             | 2055-03-20      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487452 | PA      | $513790.88    | 0.56%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315473 | PA      | $332026.20    | 0.36%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BVQF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446138 | PA      | $465373.04    | 0.50%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213205 | PA      | $222930.54    | 0.24%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FUXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219759 | PA      | $222336.50    | 0.24%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81730 | PA      | $86018.26     | 0.09%             | 2053-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FLP33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481925 | PA      | $488330.09    | 0.53%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384KQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1034786.60   | 1.12%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                      | GCAT 2023-NQM2 Trust                                                                                          | CUSIP: 36169DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349490 | PA      | $350052.92    | 0.38%             | 2067-11-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383LGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150238 | PA      | $155951.20    | 0.17%             | 2052-11-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A85F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    427223 | PA      | $442724.64    | 0.48%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2021-HQA1                                                                       | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |   2250000 | PA      | $2598496.65   | 2.82%             | 2033-08-25      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384GBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1547741.55   | 1.68%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BVGM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485953 | PA      | $506904.23    | 0.55%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                    | US 5YR NOTE (CBT) SEP25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       484 | NC      | $472283.81    | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2024-1 Mortgage Trust                                                                                    | CUSIP: 30335JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    892730 | PA      | $785611.15    | 0.85%             | 2053-10-01      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38385EJ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1486904 | PA      | $1530651.18   | 1.66%             | 2055-03-20      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617YTXT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    573349 | PA      | $568025.02    | 0.62%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BVGL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    448317 | PA      | $464163.59    | 0.50%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    402690 | PA      | $414910.40    | 0.45%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                    | Cascade MH Asset Trust 2022-MH1                                                                               | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    835011 | PA      | $810613.81    | 0.88%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222230 | PA      | $236672.23    | 0.26%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38383V2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    601621 | PA      | $42303.55     | 0.05%             | 2053-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2021-HQA2                                                                       | CUSIP: 35564KGS2<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1531604.36   | 1.66%             | 2033-12-25      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| GCAT                                      | GCAT 2022-NQM4 Trust                                                                                          | CUSIP: 36170HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $304653.79    | 0.33%             | 2067-08-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45706 | PA      | $46905.12     | 0.05%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20754JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    189389 | PA      | $195279.71    | 0.21%             | 2039-09-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AECE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238322 | PA      | $245703.01    | 0.27%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617XRDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130979 | PA      | $126219.21    | 0.14%             | 2052-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                                                      | CUSIP: 38384GQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $516402.05    | 0.56%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                                               | CUSIP: 3140NQQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378918 | PA      | $394194.96    | 0.43%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B3DQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97217 | PA      | $102287.46    | 0.11%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                  | Long: BMIES7ZG3 IRS USD R V 12MSOFR BMIES7ZJ7 CCPOIS / Short: BMIES7ZG3 IRS USD P F  3.98000 BMIES7ZH1 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4000000 | OU      | $-41764.80    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT                                      | GCAT 2022-NQM4 Trust                                                                                          | CUSIP: 36170HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75972 | PA      | $75942.65     | 0.08%             | 2067-08-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                                                            | CUSIP: 3617YWCC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    224744 | PA      | $209007.00    | 0.23%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-25

**Name of Applicant:** The Calvert Fund

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer