# EDGAR Filing Document

**Accession Number:** 0000701039
**File Stem:** 0001410368-25-028949
**Filing Date:** 2025-11
**Character Count:** 95820
**Document Hash:** 926285606721641b92aed4a5ff6e2a64
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-028949.hdr.sgml**: 20251124

**ACCESSION NUMBER**: 0001410368-25-028949

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251124

**DATE AS OF CHANGE**: 20251124

**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:** 251509865

**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           |

## 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:** 2025-09-30

**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:** $176251594.47

**Total Liabilities:** $75338093.93

**Net Assets:** $100913500.54

**Delayed Delivery Securities:** $46861296.70

**Cash Not Reported:** $623777.27

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3.53000000 | **1-Year:** -141.81000000 | **5-Year:** -531.25000000 | **10-Year:** -746.29000000 | **30-Year:** -135.78000000

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

- **3-Month:** -18.00000000 | **1-Year:** -470.36000000 | **5-Year:** -2070.35000000 | **10-Year:** -5194.23000000 | **30-Year:** -6742.71000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000235423 | -0.40%               | 2.35%                | -0.05%               |
| Class ID C000235424 | -0.31%               | 2.44%                | 0.03%                |
| Class ID C000235421 | -0.31%               | 2.44%                | 0.03%                |
| Class ID C000235422 | -0.23%               | 2.32%                | 0.01%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $108897.07               | $-590263.14                                |
| Month 2  | $129191.40               | $1043249.71                                |
| Month 3  | $153840.39               | $-157161.36                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal Reserve Bank of Boston            | RRP GNR 24 44 REPO                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -995545 | PA      | $-995545.28   | -0.99%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA CORPORATE FDG AMERS LLC            | NOMURA CORPORATE FDG AMERS LLC                                      | CUSIP: 65538RAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4138913 | PA      | $4160505.98   | 4.12%             | 2059-01-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618B7SX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98613 | PA      | $101469.74    | 0.10%             | 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      | $1554434.70   | 1.54%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38383HMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    834387 | PA      | $39165.54     | 0.04%             | 2053-01-20      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618AWZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487703 | PA      | $503884.46    | 0.50%             | 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        |     80897 | PA      | $83240.86     | 0.08%             | 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        |    480364 | PA      | $489092.65    | 0.48%             | 2052-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust           | BRAVO Residential Funding Trust 2024-NQM1                           | CUSIP: 10570FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112000 | PA      | $114270.42    | 0.11%             | 2063-12-01      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618AVMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179805 | PA      | $187827.88    | 0.19%             | 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        |    725927 | PA      | $753698.51    | 0.75%             | 2055-03-20      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38383VVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    561118 | PA      | $36965.17     | 0.04%             | 2053-02-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                  | CUSIP: 3137HJG92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459965 | PA      | $524383.48    | 0.52%             | 2055-02-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                    | CUSIP: 3133BW5R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205176 | PA      | $214235.16    | 0.21%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    673923 | PA      | $10067.80     | 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        |    991160 | PA      | $1040784.25   | 1.03%             | 2055-06-20      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38385FNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737498 | PA      | $763462.12    | 0.76%             | 2055-04-20      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38384WJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2112816 | PA      | $2160270.19   | 2.14%             | 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        |    289008 | PA      | $323607.51    | 0.32%             | 2053-10-20      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                         | PRPM 2024-NQM4 Trust                                                | CUSIP: 69381UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1481004.29   | 1.47%             | 2069-12-26      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38385F3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    988535 | PA      | $1024363.14   | 1.02%             | 2055-05-20      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                    | CUSIP: 31425XXT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1198588 | PA      | $1227173.32   | 1.22%             | 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      | $1043503.50   | 1.03%             | 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        |    194023 | PA      | $197986.49    | 0.20%             | 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      | $779344.20    | 0.77%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618A84C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168527 | PA      | $172641.52    | 0.17%             | 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        |    987836 | PA      | $1012663.69   | 1.00%             | 2055-04-20      | Floating      | 8.24%                 | 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      | $283748.88    | 0.28%             | 2049-09-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618J8GV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    247611 | PA      | $259076.91    | 0.26%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618B3DN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196371 | PA      | $205497.14    | 0.20%             | 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        |     64187 | PA      | $64710.77     | 0.06%             | 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        |    905270 | PA      | $1024999.61   | 1.02%             | 2055-02-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38384UBB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    536161 | PA      | $556935.61    | 0.55%             | 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        |    455082 | PA      | $455804.03    | 0.45%             | 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      | $1607040.96   | 1.59%             | 2068-08-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617W1W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208021 | PA      | $208415.72    | 0.21%             | 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        |    451216 | PA      | $464353.88    | 0.46%             | 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        |    276711 | PA      | $284727.82    | 0.28%             | 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        |    739342 | PA      | $760720.65    | 0.75%             | 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        |    409555 | PA      | $410012.97    | 0.41%             | 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        |    515356 | PA      | $91248.76     | 0.09%             | 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        |     46626 | PA      | $47976.41     | 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        |    186126 | PA      | $219440.66    | 0.22%             | 2053-10-20      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | US3618GRYQ68 REPO                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -604893 | PA      | $-604892.92   | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38383WK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280226 | PA      | $17755.16     | 0.02%             | 2053-03-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618BKMQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    592061 | PA      | $617355.32    | 0.61%             | 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        |    238838 | PA      | $239672.22    | 0.24%             | 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        |     49925 | PA      | $44407.79     | 0.04%             | 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        |    197025 | PA      | $225161.71    | 0.22%             | 2052-11-20      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618HS5R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243053 | PA      | $250442.18    | 0.25%             | 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        |    198497 | PA      | $204248.13    | 0.20%             | 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        |   1576710 | PA      | $1637701.92   | 1.62%             | 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        |    169879 | PA      | $188062.70    | 0.19%             | 2052-10-20      | Floating      | 6.64%                 | 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      | $520085.05    | 0.52%             | 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        |    402042 | PA      | $416034.88    | 0.41%             | 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        |    242544 | PA      | $252754.73    | 0.25%             | 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        |   1772794 | PA      | $1857671.81   | 1.84%             | 2060-04-25      | Variable      | 8.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617FYPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    419823 | PA      | $428366.36    | 0.42%             | 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        |    195715 | PA      | $12581.41     | 0.01%             | 2053-03-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                               | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3529667.93   | 3.50%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38385BNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521007 | PA      | $520415.12    | 0.52%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618AFV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147108 | PA      | $151369.85    | 0.15%             | 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        |    475437 | PA      | $493142.33    | 0.49%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                     | CUSIP: 3140NNS97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230201 | PA      | $243316.61    | 0.24%             | 2053-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR 23 173 REPO                                                 | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1471598 | PA      | $-1471597.50  | -1.46%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618J8GU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494392 | PA      | $511960.93    | 0.51%             | 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        |   1862924 | PA      | $102533.47    | 0.10%             | 2053-06-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618ATRV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278261 | PA      | $288397.35    | 0.29%             | 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      | $1024624.50   | 1.02%             | 2059-05-25      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618BWMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181810 | PA      | $188137.47    | 0.19%             | 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        |    158203 | PA      | $158781.14    | 0.16%             | 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        |    239489 | PA      | $245619.53    | 0.24%             | 2052-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617YXQV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396547 | PA      | $397176.10    | 0.39%             | 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        |    436523 | PA      | $454217.38    | 0.45%             | 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        |    180039 | PA      | $180324.92    | 0.18%             | 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        |    352734 | PA      | $367473.48    | 0.36%             | 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      | $592507.54    | 0.59%             | 2065-09-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38383WHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559186 | PA      | $35946.90     | 0.04%             | 2053-03-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617FXLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    864244 | PA      | $886368.51    | 0.88%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38381QYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    993600 | PA      | $1013553.02   | 1.00%             | 2055-04-20      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618FGDS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245626 | PA      | $256002.35    | 0.25%             | 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      | $2080179.20   | 2.06%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNMA 23 99A REPO                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -996064 | PA      | $-996064.06   | -0.99%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38385GYJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    987836 | PA      | $1014124.10   | 1.00%             | 2055-05-20      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618BDKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243703 | PA      | $250569.99    | 0.25%             | 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        |    242130 | PA      | $249436.66    | 0.25%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | FED HM LN PC POOL REPO                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1167922 | PA      | $-1167922.25  | -1.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38385ENX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    631834 | PA      | $641989.28    | 0.64%             | 2065-03-20      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617FMVY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207568 | PA      | $207897.09    | 0.21%             | 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        |    490674 | PA      | $513702.90    | 0.51%             | 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        |     63447 | PA      | $64094.10     | 0.06%             | 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        |     81149 | PA      | $81278.15     | 0.08%             | 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        |   1196762 | PA      | $1243387.28   | 1.23%             | 2059-07-25      | Variable      | 8.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618F3TL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    531731 | PA      | $558348.32    | 0.55%             | 2053-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                          | Bellemeade Re 2022-2 Ltd                                            | CUSIP: 07876GAA8<br>LEI: 2549002JVH34IWRT3X93 | Long             | ABS-MBS          | CORP              | US        |     29775 | PA      | $29893.11     | 0.03%             | 2032-09-27      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                    | US ULTRA BOND CBT DEC25                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -26 | NC      | $-77242.62    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Champs Trust                              | Champs Trust 2024-2                                                 | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308907 | PA      | $1369936.35   | 1.36%             | 2059-11-25      | Variable      | 8.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139526 | PA      | $145704.84    | 0.14%             | 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        |    486361 | PA      | $500187.36    | 0.50%             | 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      | $617056.96    | 0.61%             | 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        |    899410 | PA      | $682646.08    | 0.68%             | 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        |   1155783 | PA      | $1227278.26   | 1.22%             | 2055-01-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | CALMACCESS REV REPO                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -856445 | PA      | $-856445.26   | -0.85%            |  |  |  | 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      | $1018815.60   | 1.01%             | 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        |    723077 | PA      | $761858.36    | 0.75%             | 2052-10-20      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International               | BMIF9XF27 EATON VANCE                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   7000000 | NC      | $11244.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618AFWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128366 | PA      | $132085.24    | 0.13%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNR CASH/RRP REPO                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1967640 | PA      | $-1967640.00  | -1.95%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618GRYQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    595811 | PA      | $621167.48    | 0.62%             | 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        |     62652 | PA      | $64574.86     | 0.06%             | 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        |   1122235 | PA      | $42555.28     | 0.04%             | 2053-02-20      | Floating      | 0.76%                 | 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      | $519648.65    | 0.51%             | 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        |    807684 | PA      | $105242.72    | 0.10%             | 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        |     72930 | PA      | $69242.59     | 0.07%             | 2060-04-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNR 24 59 REPO                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1972770 | PA      | $-1972770.00  | -1.95%            |  |  |  | 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      | $675993.50    | 0.67%             | 2053-07-20      | 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        |  -1316506 | PA      | $-1316506.22  | -1.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                   | CUSIP: 3136BUJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1126728 | PA      | $1200979.92   | 1.19%             | 2055-01-25      | Floating      | 6.04%                 | 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      | $118721.59    | 0.12%             | 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        |    492683 | PA      | $507951.69    | 0.50%             | 2054-06-20      | Fixed         | 6.00%                 | 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      | $778195.26    | 0.77%             | 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        |    207039 | PA      | $207742.39    | 0.21%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                               | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7780000 | PA      | $6835763.18   | 6.77%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581341 | PA      | $583316.75    | 0.58%             | 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      | $780200.18    | 0.77%             | 2043-06-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618BKMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454411 | PA      | $469487.95    | 0.47%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                          | CUSIP: 21H0306B5<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -7780000 | PA      | $-6951395.77  | -6.89%            | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38383WAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    561118 | PA      | $36965.17     | 0.04%             | 2053-02-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618BDKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244363 | PA      | $254344.37    | 0.25%             | 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      | $477093.76    | 0.47%             | 2069-04-25      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                     | CUSIP: 3140ARS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494250 | PA      | $501414.04    | 0.50%             | 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        |    988351 | PA      | $1013112.60   | 1.00%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618F6XF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450537 | PA      | $467315.45    | 0.46%             | 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        |    415110 | PA      | $466832.39    | 0.46%             | 2053-09-20      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618F2J97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214213 | PA      | $228446.16    | 0.23%             | 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        |    365420 | PA      | $378137.66    | 0.37%             | 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        |     79789 | PA      | $79892.37     | 0.08%             | 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        |    418271 | PA      | $434703.29    | 0.43%             | 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        |    224100 | PA      | $242085.16    | 0.24%             | 2053-07-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                    | US 5YR NOTE (CBT) DEC25                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       484 | NC      | $56346.31     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617FYPB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511172 | PA      | $512941.64    | 0.51%             | 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      | $260163.45    | 0.26%             | 2053-07-20      | Fixed         | 6.00%                 | 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      | $527076.20    | 0.52%             | 2042-07-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618AP6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52503 | PA      | $52931.81     | 0.05%             | 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        |     95437 | PA      | $95707.62     | 0.09%             | 2052-06-20      | Fixed         | 5.00%                 | 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        |   1501501 | PA      | $1178004.03   | 1.17%             | 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      | $1030506.55   | 1.02%             | 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      | $1039091.30   | 1.03%             | 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      | $2080265.40   | 2.06%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                   | PNMAC GMSR ISSUER TRUST 2025-GT1                                    | CUSIP: 69354WAK2<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1005910.60   | 1.00%             | 2030-08-26      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP FNR 23 12 REPO                                                  | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |   -491815 | PA      | $-491815.00   | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618AEBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149522 | PA      | $152564.56    | 0.15%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPM8887 TA                                | JPM8887 TA                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1038759.70   | 1.03%             | 2055-09-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38385EP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    738627 | PA      | $764394.20    | 0.76%             | 2055-04-20      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617F9V41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85705 | PA      | $86001.65     | 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      | $517509.45    | 0.51%             | 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        |    153897 | PA      | $145286.61    | 0.14%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                          | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5600000 | PA      | $5642426.44   | 5.59%             | 2054-10-20      | Fixed         | 5.50%                 | 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        |   2047123 | PA      | $1554244.90   | 1.54%             | 2052-01-25      | Variable      | 2.96%                 | 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        |   3081710 | NS      | $3081710.48   | 3.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618AGXU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210252 | PA      | $220776.68    | 0.22%             | 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        |   1346271 | PA      | $1350931.63   | 1.34%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                          | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -7780000 | PA      | $-6951395.77  | -6.89%            | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618FGDR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245119 | PA      | $253752.91    | 0.25%             | 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        |    435807 | PA      | $444925.30    | 0.44%             | 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        |   1574641 | PA      | $1644449.44   | 1.63%             | 2060-01-25      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                     | CUSIP: 3140NMHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390114 | PA      | $402617.71    | 0.40%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617YWB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    434058 | PA      | $408688.36    | 0.40%             | 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        |    193506 | PA      | $193752.21    | 0.19%             | 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        |    403421 | PA      | $444943.14    | 0.44%             | 2053-05-20      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618FGD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407856 | PA      | $421840.20    | 0.42%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNR 23 165 REPO                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1001878 | PA      | $-1001878.07  | -0.99%            |  |  |  | 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        |    971132 | PA      | $989322.72    | 0.98%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                          | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5300000 | PA      | $5272687.78   | 5.22%             | 2054-10-20      | Fixed         | 5.00%                 | 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        |     48723 | PA      | $45898.19     | 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        |    739342 | PA      | $775118.34    | 0.77%             | 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        |   1167766 | PA      | $1033005.14   | 1.02%             | 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        |    187765 | PA      | $192348.60    | 0.19%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                     | CUSIP: 3140NQVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488339 | PA      | $508871.30    | 0.50%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617XR5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389327 | PA      | $390650.38    | 0.39%             | 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      | $528777.70    | 0.52%             | 2043-04-25      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617W1W63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237331 | PA      | $231773.06    | 0.23%             | 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        |    189197 | PA      | $189839.82    | 0.19%             | 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        |    416544 | PA      | $432057.05    | 0.43%             | 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        |    206634 | PA      | $213683.42    | 0.21%             | 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      | $503295.55    | 0.50%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618GRZZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000515 | PA      | $1038404.95   | 1.03%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                     | CUSIP: 3140N7KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82810 | PA      | $84191.10     | 0.08%             | 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        |    729435 | PA      | $746926.61    | 0.74%             | 2055-03-20      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617FMCA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    486065 | PA      | $510700.45    | 0.51%             | 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        |    278281 | PA      | $292297.80    | 0.29%             | 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        |    444844 | PA      | $463849.72    | 0.46%             | 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        |    212263 | PA      | $222127.93    | 0.22%             | 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        |    218964 | PA      | $223420.09    | 0.22%             | 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        |     65314 | PA      | $68522.17     | 0.07%             | 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        |    480046 | PA      | $492335.09    | 0.49%             | 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      | $1039533.60   | 1.03%             | 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        |    324120 | PA      | $324615.62    | 0.32%             | 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        |    139932 | PA      | $146563.15    | 0.15%             | 2052-11-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                          | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7780000 | PA      | $6951395.77   | 6.89%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618A85F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411054 | PA      | $428931.36    | 0.43%             | 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      | $2608644.60   | 2.59%             | 2033-08-25      | Floating      | 9.36%                 | 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      | $1554444.75   | 1.54%             | 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        |    484209 | PA      | $504895.82    | 0.50%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | 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        |    870534 | PA      | $777459.90    | 0.77%             | 2053-10-01      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                            | CUSIP: 38385EJ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1471474 | PA      | $1527767.26   | 1.51%             | 2055-03-20      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617YTXT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570940 | PA      | $573630.32    | 0.57%             | 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        |    446807 | PA      | $467049.44    | 0.46%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2025-2                                                 | CUSIP: 15878DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2054626 | PA      | $2130119.54   | 2.11%             | 2060-10-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston            | RRP GNMA2 30YR REPO                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -988282 | PA      | $-988281.70   | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3617FMCQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401363 | PA      | $415181.47    | 0.41%             | 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        |    819524 | PA      | $799877.02    | 0.79%             | 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        |    196834 | PA      | $209733.57    | 0.21%             | 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        |    567962 | PA      | $37395.21     | 0.04%             | 2053-02-20      | Floating      | 1.91%                 | 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      | $1542448.44   | 1.53%             | 2033-12-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                               | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4959179.75   | 4.91%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618AP6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45639 | PA      | $46961.08     | 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        |    183428 | PA      | $188004.67    | 0.19%             | 2039-09-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618AECE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237306 | PA      | $246069.67    | 0.24%             | 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        |    120850 | PA      | $118132.99    | 0.12%             | 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      | $517682.35    | 0.51%             | 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        |    377874 | PA      | $394204.55    | 0.39%             | 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        |     71778 | PA      | $75527.88     | 0.07%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                  | CUSIP: 3618LRH48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    599467 | PA      | $625640.42    | 0.62%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                      | GCAT 2022-NQM4 Trust                                                | CUSIP: 36170HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72885 | PA      | $73079.30     | 0.07%             | 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        |    222901 | PA      | $209873.20    | 0.21%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-17

**Name of Applicant:** The Calvert Fund

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer