# EDGAR Filing Document

**Accession Number:** 0000747677
**File Stem:** 0001410368-25-032267
**Filing Date:** 2025-11
**Character Count:** 150573
**Document Hash:** dfaca60a264da623b2542f36d9e7549d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-032267.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001410368-25-032267

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DEUTSCHE DWS INCOME TRUST
- **CENTRAL INDEX KEY:** 0000747677

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04049
- **FILM NUMBER:** 251526202

**BUSINESS ADDRESS:**
- **STREET 1:** 875 THIRD AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022-6225
- **BUSINESS PHONE:** 212-454-4500

**MAIL ADDRESS:**
- **STREET 1:** 875 THIRD AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022-6225

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DEUTSCHE INCOME TRUST
- **DATE OF NAME CHANGE:** 20140811

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DWS INCOME TRUST
- **DATE OF NAME CHANGE:** 20060207

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SCUDDER INCOME TRUST
- **DATE OF NAME CHANGE:** 20000616

## Series and Classes Contracts Data

### DWS GNMA Fund (Series ID: S000005964)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000016427 | Class S             | SGINX           |
| C000075469 | Class A             | GGGGX           |
| C000075470 | Class C             | GCGGX           |
| C000075471 | Institutional Class | GIGGX           |
| C000152123 | Class R6            | GRRGX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** DEUTSCHE DWS INCOME TRUST

- **b. Investment Company Act file number:** 811-04049

- **c. CIK number of Registrant:** 0000747677

- **d. LEI of Registrant:** PZIHX0V87XPKPHRF7Y22

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

  - **Street Address 1:** 875 Third Avenue

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10022-6225

  - **Telephone number:** 212-454-4500

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

- **a. Name of Series:** DWS GNMA Fund

- **b. EDGAR series identifier (if any):** S000005964

- **c. LEI of Series:** 7ZTO776E5MK53FQ3GJ57

**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:** $1341540082.71

**Total Liabilities:** $655530468.99

**Net Assets:** $686009613.72

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -159.22000000 | **1-Year:** -1282.97000000 | **5-Year:** -1329.68000000 | **10-Year:** -557.47000000 | **30-Year:** -41.42000000

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

- **3-Month:** -1.23000000 | **1-Year:** -55.57000000 | **5-Year:** -305.13000000 | **10-Year:** -131.38000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000152123 | -0.22%               | 2.01%                | 0.88%                |
| Class ID C000016427 | -0.22%               | 2.10%                | 0.74%                |
| Class ID C000075471 | -0.21%               | 2.02%                | 0.83%                |
| Class ID C000075469 | -0.24%               | 2.00%                | 0.80%                |
| Class ID C000075470 | -0.30%               | 1.92%                | 0.73%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4408142.47             | $-1551622.54                               |
| Month 2  | $3356339.74              | $11657333.74                               |
| Month 3  | $5849409.32              | $-3191410.13                               |

**Designated Index Information**

- **Index Name:** BBG Fixed-Rate GNMA MBS Index

- **Index Identifier:** BARGNMABRS

### Schedule of Portfolio Investments

| Name                                                    | Title                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136ABK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1244000 | PA      | $881061.86    | 0.13%             | 2043-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136B6R88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2138345 | PA      | $195330.80    | 0.03%             | 2048-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                        | CUSIP: 31423Y4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5078848 | PA      | $338741.13    | 0.05%             | 2037-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36180KB34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    325845 | PA      | $305851.36    | 0.04%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38384GKV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18854006 | PA      | $2673550.42   | 0.39%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202CP98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        38 | PA      | $38.11        | 0.00%             | 2026-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296XZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307050 | PA      | $307286.96    | 0.04%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2018-INV1                                              | CUSIP: 12553XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1087340 | PA      | $1019560.39   | 0.15%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38384ENB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4995532 | PA      | $4047812.14   | 0.59%             | 2053-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136AF2C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4876110 | PA      | $399252.92    | 0.06%             | 2043-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202EWF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460700 | PA      | $493917.45    | 0.07%             | 2038-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137H1RQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14090053 | PA      | $1592174.90   | 0.23%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382KGF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2449318 | PA      | $398264.45    | 0.06%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36294RPC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28268 | PA      | $29303.70     | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136B13G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40241025 | PA      | $4993933.34   | 0.73%             | 2048-06-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38383AAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1759748 | PA      | $210217.65    | 0.03%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 3617VYCK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1456335 | PA      | $1417591.88   | 0.21%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137F8UQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9751558 | PA      | $1320304.55   | 0.19%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290XLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2780 | PA      | $2779.15      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290QU52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13417 | PA      | $13572.78     | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36176LR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27627 | PA      | $28197.68     | 0.00%             | 2036-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DXE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32935 | PA      | $34429.73     | 0.01%             | 2033-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38376UEN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5978012 | PA      | $605587.65    | 0.09%             | 2038-02-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DMT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1054 | PA      | $1122.04      | 0.00%             | 2031-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       377 | PA      | $394.78       | 0.00%             | 2032-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36294TZ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29572 | PA      | $30647.19     | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382CRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7329519 | PA      | $688584.72    | 0.10%             | 2050-02-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                               | CUSIP: 3142G9UZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3193385 | PA      | $225621.22    | 0.03%             | 2042-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38383DFA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628475 | PA      | $77436.12     | 0.01%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BCM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27936916 | PA      | $4266383.36   | 0.62%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202EVQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44354 | PA      | $47552.34     | 0.01%             | 2038-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137FV4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2811924 | PA      | $145906.44    | 0.02%             | 2042-01-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36241KFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290980 | PA      | $296801.77    | 0.04%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38384N4E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36016367 | PA      | $2002459.92   | 0.29%             | 2054-05-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36176A5M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    739198 | PA      | $695014.99    | 0.10%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36200NJ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6676 | PA      | $6813.11      | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DBL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       400 | PA      | $407.20       | 0.00%             | 2029-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36294XAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171403 | PA      | $184500.57    | 0.03%             | 2037-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                              | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $9033750.00   | 1.32%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36291FVF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95628 | PA      | $97579.42     | 0.01%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BF2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25586588 | PA      | $2115871.60   | 0.31%             | 2047-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36180CYS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2463208 | PA      | $2313702.78   | 0.34%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 3620C3TJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412491 | PA      | $411670.77    | 0.06%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38381NMR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6720150 | PA      | $6804525.09   | 0.99%             | 2055-06-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 3617W1H37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636648 | PA      | $622902.28    | 0.09%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382T4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5527639 | PA      | $690879.16    | 0.10%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382NMU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1179018 | PA      | $205960.80    | 0.03%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382DWQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    740920 | PA      | $148405.95    | 0.02%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38375DL89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82683 | PA      | $76023.30     | 0.01%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DBZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       410 | PA      | $415.83       | 0.00%             | 2029-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                               | CUSIP: 05608RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1998750.00   | 0.29%             | 2036-10-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36295ACS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198321 | PA      | $213172.00    | 0.03%             | 2037-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7145 | PA      | $7659.12      | 0.00%             | 2035-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136A8MG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2334096 | PA      | $154352.27    | 0.02%             | 2042-09-25      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136B3QB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122888 | PA      | $117457.98    | 0.02%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38377GWS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4212700 | PA      | $506068.45    | 0.07%             | 2040-06-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179QRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7980319 | PA      | $7327035.01   | 1.07%             | 2044-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137H1PE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16881688 | PA      | $2557636.32   | 0.37%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DHW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       341 | PA      | $351.53       | 0.00%             | 2030-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137H1SY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19511841 | PA      | $2410656.30   | 0.35%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust 2021-TY                                                | CUSIP: 05592AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $896660.91    | 0.13%             | 2038-09-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382DRR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372047 | PA      | $62565.70     | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BUBG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5347927 | PA      | $4475075.07   | 0.65%             | 2055-01-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137FXY44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12257775 | PA      | $1903825.38   | 0.28%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36178WN88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    325136 | PA      | $305401.46    | 0.04%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38375CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    498621 | PA      | $65700.34     | 0.01%             | 2042-04-16      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BQJD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14300454 | PA      | $1961059.85   | 0.29%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379CS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36755 | PA      | $390.09       | 0.00%             | 2029-07-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                      | Chase Home Lending Mortgage Trust 2019-ATR1                      | CUSIP: 16158RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491724 | PA      | $473260.58    | 0.07%             | 2049-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38380UFA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1174000 | PA      | $1013745.94   | 0.15%             | 2047-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137F9XG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14301123 | PA      | $794268.52    | 0.12%             | 2044-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202EGF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43612 | PA      | $46750.18     | 0.01%             | 2035-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BGAW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3580082 | PA      | $508918.22    | 0.07%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36180KB42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    734246 | PA      | $689193.08    | 0.10%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137HJQD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8479557 | PA      | $8644785.56   | 1.26%             | 2055-02-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    835673 | PA      | $776107.38    | 0.11%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38378FBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5466377 | PA      | $888408.13    | 0.13%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202CX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       194 | PA      | $197.92       | 0.00%             | 2027-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US ULTRA BOND CBT DEC25                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        63 | NC      | $243809.87    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 3617W1H60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178017 | PA      | $173281.15    | 0.03%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136A2QE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1376931 | PA      | $101055.55    | 0.01%             | 2041-10-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38376UEH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3533178 | PA      | $380173.37    | 0.06%             | 2038-02-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38376PSZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178670 | PA      | $37054.43     | 0.01%             | 2039-12-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36200HZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26102 | PA      | $26272.59     | 0.00%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382NPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10774080 | PA      | $1219525.04   | 0.18%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2423233 | PA      | $317556.83    | 0.05%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DTF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1372 | PA      | $1434.78      | 0.00%             | 2032-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38383YJT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30646882 | PA      | $2967525.61   | 0.43%             | 2049-12-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5YR NOTE (CBT) DEC25                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -1787 | NC      | $-116103.18   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38378W2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5588741 | PA      | $408415.43    | 0.06%             | 2043-09-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       406 | PA      | $431.57       | 0.00%             | 2031-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36176D6A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180137 | PA      | $180261.46    | 0.03%             | 2041-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38378PZQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1231919 | PA      | $126509.62    | 0.02%             | 2044-01-16      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382XR56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7894053 | PA      | $6514182.30   | 0.95%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2021-N3                           | CUSIP: 14687GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1639438 | PA      | $1589662.36   | 0.23%             | 2028-06-12      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                    | Fannie Mae REMIC Trust 2007-W8                                   | CUSIP: 31396XVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78778 | PA      | $8611.57      | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 3620AP5G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471961 | PA      | $482087.69    | 0.07%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137HLF49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24465940 | PA      | $26304684.27  | 3.83%             | 2055-05-25      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US LONG BOND(CBT) DEC25                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -19 | NC      | $-45896.74    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290TTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101327 | PA      | $109183.34    | 0.02%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36294R5J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86917 | PA      | $91287.68     | 0.01%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202CQV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25 | PA      | $24.68        | 0.00%             | 2026-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38374CF63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172901 | PA      | $174479.66    | 0.03%             | 2033-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36241LYS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431184 | PA      | $430161.88    | 0.06%             | 2041-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 3620AP6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272158 | PA      | $274546.79    | 0.04%             | 2029-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19168200 | PA      | $17142722.45  | 2.50%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137ATUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1399632 | PA      | $1134848.36   | 0.17%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38385FE31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30903641 | PA      | $30192864.64  | 4.40%             | 2055-04-20      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36177WUC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1034796 | PA      | $971988.63    | 0.14%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVII LTD                    | Octagon Investment Partners XVII Ltd                             | CUSIP: 67590GBJ7<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |   1525000 | PA      | $1524818.53   | 0.22%             | 2031-01-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                         | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU               | CUSIP: 34461WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563000 | PA      | $563351.88    | 0.08%             | 2039-12-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 3620ASEZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1401871 | PA      | $1399026.23   | 0.20%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BVL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11050965 | PA      | $11660382.95  | 1.70%             | 2055-05-25      | Floating      | 9.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36294WPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120250 | PA      | $127662.55    | 0.02%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                       | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29000000 | PA      | $24954007.00  | 3.64%             | 2055-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BGWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3211005 | PA      | $492431.92    | 0.07%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38376WS30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2281302 | PA      | $180541.53    | 0.03%             | 2040-03-20      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202E3J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147395 | PA      | $158022.84    | 0.02%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137F7D28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28621043 | PA      | $4402965.15   | 0.64%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179RZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2644719 | PA      | $2457494.50   | 0.36%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137ARRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1477584 | PA      | $70165.92     | 0.01%             | 2041-03-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38381VX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9834949 | PA      | $701295.22    | 0.10%             | 2038-06-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136AFB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3853785 | PA      | $359526.96    | 0.05%             | 2043-01-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 3620AQYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411301 | PA      | $410483.41    | 0.06%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                      | THL Credit Wind River 2019-3 Clo Ltd                             | CUSIP: 97314JAJ4<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   1333495 | PA      | $1333652.09   | 0.19%             | 2031-04-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36200AGG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2977 | PA      | $3015.87      | 0.00%             | 2032-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202EXP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79767 | PA      | $84965.51     | 0.01%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38383RBN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5960175 | PA      | $574585.30    | 0.08%             | 2046-11-20      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38377VG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3150510 | PA      | $239286.30    | 0.03%             | 2041-05-20      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36176SV23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98399 | PA      | $96789.03     | 0.01%             | 2041-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296MTA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18766 | PA      | $19908.41     | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36178NFK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5836834 | PA      | $5344771.98   | 0.78%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136A1NW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3029643 | PA      | $301504.28    | 0.04%             | 2041-10-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38384QTA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223769 | PA      | $223955.31    | 0.03%             | 2054-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36200TTG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68524 | PA      | $69769.47     | 0.01%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382P2H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2835498 | PA      | $347914.51    | 0.05%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137H8B83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19552490 | PA      | $2248440.58   | 0.33%             | 2052-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36295NNM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3078 | PA      | $3290.28      | 0.00%             | 2038-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379F2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2448144 | PA      | $284391.32    | 0.04%             | 2033-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $162013.55    | 0.02%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38381YP57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4158383 | PA      | $475278.48    | 0.07%             | 2049-09-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137F7PV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4800412 | PA      | $584304.03    | 0.09%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137H6CP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371961 | PA      | $51699.73     | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 3620A94V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113146 | PA      | $114651.77    | 0.02%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36297A3G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13134 | PA      | $13369.06     | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 3620AR3L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344540 | PA      | $343840.49    | 0.05%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36206C6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66063 | PA      | $65652.87     | 0.01%             | 2041-07-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202E2D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98375 | PA      | $105467.65    | 0.02%             | 2039-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136ABJ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141198 | PA      | $934872.59    | 0.14%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38376JAY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345702 | PA      | $361008.75    | 0.05%             | 2039-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36200KT49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18659 | PA      | $19001.72     | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2025-CRM1                              | CUSIP: 891946AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1315026 | PA      | $1330028.30   | 0.19%             | 2065-01-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38378EB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1802310 | PA      | $258491.31    | 0.04%             | 2042-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290VKX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187431 | PA      | $200621.55    | 0.03%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382CMZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1201888 | PA      | $262858.18    | 0.04%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36201LEY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9336 | PA      | $9470.96      | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38374MEP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908635 | PA      | $72249.66     | 0.01%             | 2035-11-16      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137B35P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1736683 | PA      | $190230.43    | 0.03%             | 2043-06-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4957043 | PA      | $4791730.66   | 0.70%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                  | CUSIP: 3140Y6M31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3524773 | PA      | $3575632.42   | 0.52%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 3617VHR81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    787037 | PA      | $766100.02    | 0.11%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296R2C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4740 | PA      | $5060.92      | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379PAB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    809891 | PA      | $14070.18     | 0.00%             | 2039-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2021-2                       | CUSIP: 30166RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2597142 | PA      | $2594699.11   | 0.38%             | 2028-02-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56286637 | PA      | $48475386.13  | 7.07%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5166480 | PA      | $4940415.09   | 0.72%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 3620AQ6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123985 | PA      | $126644.63    | 0.02%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296XFG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5612 | PA      | $5991.89      | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382ET64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36315638 | PA      | $4117389.30   | 0.60%             | 2043-07-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38378HSA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1208663 | PA      | $64542.04     | 0.01%             | 2041-10-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379DLJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4043126 | PA      | $337912.31    | 0.05%             | 2043-10-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38374UT27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148051 | PA      | $27113.09     | 0.00%             | 2035-08-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137F1HT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    774248 | PA      | $712943.91    | 0.10%             | 2047-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DU90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10894 | PA      | $11388.76     | 0.00%             | 2032-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 31398SBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2473575 | PA      | $232275.75    | 0.03%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382MMP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3156822 | PA      | $570430.42    | 0.08%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36291AWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       351 | PA      | $353.72       | 0.00%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DXV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15877 | PA      | $16754.12     | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                          | SWCH Commercial Mortgage Trust 2025-DATA                         | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1492031.25   | 0.22%             | 2042-02-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38383DEV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3350065 | PA      | $450104.67    | 0.07%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 31398MNY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55741 | PA      | $52330.60     | 0.01%             | 2040-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296RWF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7311 | PA      | $7695.44      | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137BJ2C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3034857 | PA      | $493851.99    | 0.07%             | 2043-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290SYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177303 | PA      | $180970.90    | 0.03%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137GADH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2473282 | PA      | $114895.32    | 0.02%             | 2040-09-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296LF39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11568 | PA      | $12202.38     | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                               | CUSIP: 3132J0KW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159243 | PA      | $145525.60    | 0.02%             | 2046-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38381RPP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351500 | PA      | $319462.57    | 0.05%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382TZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4550654 | PA      | $657392.38    | 0.10%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                          | BAHA Trust 2024-MAR                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1286000 | PA      | $1329796.79   | 0.19%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 31398G5J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1320089 | PA      | $279966.35    | 0.04%             | 2040-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36205UAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    617952 | PA      | $631308.60    | 0.09%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36178DPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1743291 | PA      | $1590982.77   | 0.23%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7310992.00   | 1.07%             | 2048-10-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8874978 | PA      | $7933743.80   | 1.16%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15838113 | PA      | $14163297.64  | 2.06%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136B67K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9024579 | PA      | $963820.76    | 0.14%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                     | 522 Funding CLO 2018-3A Ltd                                      | CUSIP: 33835NAA9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   1955231 | PA      | $1956476.66   | 0.29%             | 2031-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202ECR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21784 | PA      | $23157.21     | 0.00%             | 2035-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38385GS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2930745 | PA      | $2958080.61   | 0.43%             | 2065-04-20      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136ABGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2101876 | PA      | $244968.24    | 0.04%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136ACAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4933033 | PA      | $391012.10    | 0.06%             | 2043-02-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382HRK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366824 | PA      | $217046.23    | 0.03%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382LLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5263545 | PA      | $648452.26    | 0.09%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Alinea CLO LTD                                          | Alinea CLO 2018-1 Ltd                                            | CUSIP: 016269AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    988788 | PA      | $989039.16    | 0.14%             | 2031-07-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15525933 | PA      | $13391153.75  | 1.95%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202CTR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        27 | PA      | $26.72        | 0.00%             | 2027-01-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38376XA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1613521 | PA      | $92990.79     | 0.01%             | 2034-11-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36297A2G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18751 | PA      | $19565.26     | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BVQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23236028 | PA      | $24110295.17  | 3.51%             | 2054-08-25      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202FJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80812 | PA      | $78125.00     | 0.01%             | 2040-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379NT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    714165 | PA      | $665567.25    | 0.10%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8257537 | PA      | $7377725.20   | 1.08%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38634198 | PA      | $33267939.30  | 4.85%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27741079 | PA      | $27090136.81  | 3.95%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202EZJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265817 | PA      | $284983.37    | 0.04%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137F6U47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29336654 | PA      | $4633661.76   | 0.68%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136AXZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6500189 | PA      | $161120.18    | 0.02%             | 2047-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137FU6X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2012696 | PA      | $295245.19    | 0.04%             | 2050-07-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38377MF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4678733 | PA      | $585607.45    | 0.09%             | 2040-11-20      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296SAT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2936 | PA      | $3040.62      | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16503393 | PA      | $14756952.47  | 2.15%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290UDT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274946 | PA      | $296935.90    | 0.04%             | 2037-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179WXM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10911039 | PA      | $10375599.17  | 1.51%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136AVLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1707733 | PA      | $223170.86    | 0.03%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2019-9                                  | CUSIP: 46651YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1234244 | PA      | $1183821.48   | 0.17%             | 2050-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                       | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30000000 | PA      | $27350370.00  | 3.99%             | 2048-10-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2021-N4                           | CUSIP: 14687HAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    919695 | PA      | $895409.12    | 0.13%             | 2028-09-11      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36176NB42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196756 | PA      | $196020.41    | 0.03%             | 2041-06-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BAP40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2845348 | PA      | $455405.27    | 0.07%             | 2048-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2995956 | PA      | $2818964.09   | 0.41%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41943445 | PA      | $34726184.26  | 5.06%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38385FCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2957368 | PA      | $3069981.13   | 0.45%             | 2055-04-20      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR NOTE (CBT)DEC25                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -316 | NC      | $-148952.92   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BXZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13702204 | PA      | $894389.99    | 0.13%             | 2055-09-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38381AR65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5407179 | PA      | $378996.81    | 0.06%             | 2048-11-20      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382CDX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2316394 | PA      | $387957.54    | 0.06%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136B6RB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2581832 | PA      | $291609.97    | 0.04%             | 2049-10-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                       | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 139500000 | PA      | $115367476.50 | 16.82%            | 2055-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36213FML4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39168 | PA      | $39899.20     | 0.01%             | 2033-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290R5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11235 | PA      | $11453.91     | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                       | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 178500000 | PA      | $179820900.00 | 26.21%            | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -68000000 | PA      | $-67436280.00 | -9.83%            | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36179XX35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33935126 | PA      | $32249209.04  | 4.70%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38374DPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1267712 | PA      | $118889.35    | 0.02%             | 2038-01-16      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BBYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3179324 | PA      | $392900.09    | 0.06%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36297AZ63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6148 | PA      | $6487.90      | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379DHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254727 | PA      | $2346.24      | 0.00%             | 2042-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38384B3R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10671439 | PA      | $10347446.39  | 1.51%             | 2053-07-20      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36292DVW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99292 | PA      | $105120.28    | 0.02%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290RYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28942 | PA      | $29490.45     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36200H2G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44511 | PA      | $44932.31     | 0.01%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36291QYC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31134 | PA      | $32946.09     | 0.00%             | 2036-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1615 | PA      | $1722.85      | 0.00%             | 2031-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BDC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12227182 | PA      | $485911.64    | 0.07%             | 2040-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137F6KW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2871380 | PA      | $270581.34    | 0.04%             | 2050-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BDEF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1494504 | PA      | $202217.79    | 0.03%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BQZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1509511 | PA      | $194889.94    | 0.03%             | 2049-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DWS                                                     | DWS Central Cash Management Government Fund                      | CUSIP: 25160K306<br>LEI: 5493003GD84DGSXJ7618 | Long             | STIV             | RF                | US        |  37804772 | NS      | $37804771.92  | 5.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38384AFP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5029752 | PA      | $4818003.20   | 0.70%             | 2053-05-20      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137FVL91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3222790 | PA      | $351326.26    | 0.05%             | 2050-08-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 2YR NOTE (CBT) DEC25                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -1050 | NC      | $-35408.10    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38385FQE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2398501 | PA      | $317374.49    | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137H2Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6259000 | PA      | $494834.91    | 0.07%             | 2051-08-25      | Floating      | 0.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BBEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1558999 | PA      | $257831.05    | 0.04%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38374MC56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139305 | PA      | $143054.56    | 0.02%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136AE7M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1643918 | PA      | $136631.43    | 0.02%             | 2043-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -55000000 | PA      | $-44329945.00 | -6.46%            | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                        | CIFC Funding 2020-IV Ltd                                         | CUSIP: 12562RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2006502.00   | 0.29%             | 2040-01-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290WJ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79975 | PA      | $81264.66     | 0.01%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 3620A9YU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1051505 | PA      | $1050437.28   | 0.15%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36178FZ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197784 | PA      | $185779.20    | 0.03%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $491757.25    | 0.07%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                             | RCKT Mortgage Trust 2024-CES9                                    | CUSIP: 749426AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860548 | PA      | $868246.61    | 0.13%             | 2044-12-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136B54X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6415438 | PA      | $517746.71    | 0.08%             | 2044-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382PJ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2327278 | PA      | $297996.71    | 0.04%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382GEN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4358372 | PA      | $556466.95    | 0.08%             | 2050-06-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                       | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 106000000 | PA      | $105426646.00 | 15.37%            | 2048-10-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202D4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1742 | PA      | $1838.23      | 0.00%             | 2034-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BJZC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17535872 | PA      | $2434543.34   | 0.35%             | 2048-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36205UAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1193238 | PA      | $1219028.63   | 0.18%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136A2UT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    984246 | PA      | $46990.56     | 0.01%             | 2041-08-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38384MU88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16407766 | PA      | $3531451.90   | 0.51%             | 2051-03-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38378T3B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3401491 | PA      | $346969.28    | 0.05%             | 2043-07-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202D2X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3493 | PA      | $3685.37      | 0.00%             | 2033-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BCJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509561 | PA      | $81231.79     | 0.01%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137HDFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6887047 | PA      | $6020216.42   | 0.88%             | 2054-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 3617YU3Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4771462 | PA      | $3893950.98   | 0.57%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -49000000 | PA      | $-46179609.00 | -6.73%            | 2055-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DMC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15711 | PA      | $16718.12     | 0.00%             | 2031-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136A2HP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186746 | PA      | $183580.01    | 0.03%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296YTP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26057 | PA      | $28319.81     | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137HD5M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13891025 | PA      | $1001498.43   | 0.15%             | 2046-11-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BLUE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20568589 | PA      | $2714577.81   | 0.40%             | 2050-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382UAZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7621176 | PA      | $323157.22    | 0.05%             | 2048-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1529852 | PA      | $186562.61    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                               | CUSIP: 31325VMJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14614449 | PA      | $1623855.29   | 0.24%             | 2044-11-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 3YR NOTE (CBT) DEC25                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -59 | NC      | $1652.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36178DLK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2407739 | PA      | $2261600.00   | 0.33%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137BS3L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10636448 | PA      | $1197073.86   | 0.17%             | 2046-09-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36291J7H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3081 | PA      | $3090.18      | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38381YMW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3696882 | PA      | $257709.78    | 0.04%             | 2036-09-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36241KZ68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1037293 | PA      | $1058700.10   | 0.15%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137FUHY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2781901 | PA      | $386850.00    | 0.06%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 3620C02U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386338 | PA      | $385569.43    | 0.06%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36295WZF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20072 | PA      | $20994.81     | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379AR77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3953390 | PA      | $443323.79    | 0.06%             | 2044-03-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382L2E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4138508 | PA      | $590068.64    | 0.09%             | 2050-11-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38382CFF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2216502 | PA      | $366630.16    | 0.05%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202CXA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       105 | PA      | $106.81       | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379AG79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3600835 | PA      | $416574.01    | 0.06%             | 2044-03-16      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379GQP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6831173 | PA      | $555669.12    | 0.08%             | 2044-09-16      | Floating      | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38376WKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2191837 | PA      | $109373.26    | 0.02%             | 2040-02-16      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137F8DK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3808276 | PA      | $450862.39    | 0.07%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136B6UL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6405952 | PA      | $764796.39    | 0.11%             | 2049-10-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36176XKP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5103560 | PA      | $4793797.69   | 0.70%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                  | CUSIP: 3140FXD58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780938 | PA      | $796261.82    | 0.12%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                                    | KIND Trust 2021-KIND                                             | CUSIP: 482606AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991720 | PA      | $988068.29    | 0.14%             | 2038-08-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136B8K81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5540436 | PA      | $713225.64    | 0.10%             | 2050-03-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38383RA72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1492538 | PA      | $1348891.60   | 0.20%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Credit Card ABS Master Trust | Continental Finance Credit Card ABS Master Trust                 | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1015478.60   | 0.15%             | 2032-12-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202D6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9936 | PA      | $10562.65     | 0.00%             | 2034-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137FQUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8196021 | PA      | $906848.44    | 0.13%             | 2049-12-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                  | CUSIP: 3140QTUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7874389 | PA      | $8209263.44   | 1.20%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR ULTRA FUT DEC25                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -197 | NC      | $-228297.39   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137H22E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24294268 | PA      | $2775722.11   | 0.40%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                   | Western Alliance Bank                                            | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   1703253 | PA      | $1794454.76   | 0.26%             | 2059-07-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38376XKB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    726021 | PA      | $741546.91    | 0.11%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 3622A2RL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3301385 | PA      | $3366616.74   | 0.49%             | 2036-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38383XKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29158073 | PA      | $1750066.10   | 0.26%             | 2053-04-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BHD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13807500 | PA      | $2364945.48   | 0.34%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36178FDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284131 | PA      | $266657.30    | 0.04%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0606A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -26000000 | PA      | $-26562900.00 | -3.87%            | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136AFG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3192765 | PA      | $342236.98    | 0.05%             | 2043-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                               | CUSIP: 36202DFY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       506 | PA      | $531.47       | 0.00%             | 2030-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                          | US Bank C&I Credit-Linked Notes Series 2025-2                    | CUSIP: 90355PAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2001521.00   | 0.29%             | 2032-09-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38384A3D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8170048 | PA      | $1140206.31   | 0.17%             | 2050-09-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296JGD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79166 | PA      | $84816.12     | 0.01%             | 2039-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136BRH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33114651 | PA      | $4202052.24   | 0.61%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                               | CUSIP: 3137AKVS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661736 | PA      | $21589.71     | 0.00%             | 2041-05-15      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136ATKS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2924111 | PA      | $549851.38    | 0.08%             | 2046-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38379BMC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8455908 | PA      | $850806.69    | 0.12%             | 2044-04-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36296KP63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29191 | PA      | $31239.08     | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136AUDF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107246 | PA      | $78285.86     | 0.01%             | 2046-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36290NK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8343 | PA      | $8351.51      | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36295HTA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16154 | PA      | $16400.88     | 0.00%             | 2037-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                | CUSIP: 3136AUTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15525418 | PA      | $1272103.25   | 0.19%             | 2046-12-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                         | CUSIP: 38378JUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10078810 | PA      | $503866.91    | 0.07%             | 2041-03-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 3620AC4V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220534 | PA      | $220246.47    | 0.03%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                | CUSIP: 36201EBW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25066 | PA      | $25583.40     | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-28

**Name of Applicant:** DEUTSCHE DWS INCOME TRUST

**Signature:** Diane Kenneally

**Name of Signer:** Diane Kenneally

**Title:** Treasurer and Chief Financial Officer