# EDGAR Filing Document

**Accession Number:** 0000356476
**File Stem:** 0001145549-23-010276
**Filing Date:** 2023-2
**Character Count:** 127940
**Document Hash:** 7b08ad51335ddec184cb1a63957ebb1f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-010276.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-010276

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EMPOWER FUNDS, INC.
- **CENTRAL INDEX KEY:** 0000356476
- **IRS NUMBER:** 840876044
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03364
- **FILM NUMBER:** 23670707

**BUSINESS ADDRESS:**
- **STREET 1:** 8515 E ORCHARD ROAD
- **CITY:** GREENWOOD VILLAGE
- **STATE:** CO
- **ZIP:** 80111
- **BUSINESS PHONE:** 303-737-3000

**MAIL ADDRESS:**
- **STREET 1:** 8515 E ORCHARD ROAD
- **CITY:** GREENWOOD VILLAGE
- **STATE:** CO
- **ZIP:** 80111

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GREAT-WEST FUNDS INC
- **DATE OF NAME CHANGE:** 20121005

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAXIM SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Empower U.S. Government Securities Fund (Series ID: S000023750)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000069827 | Investor Class      | MXGMX           |
| C000155776 | Institutional Class | MXDQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** EMPOWER FUNDS, INC.

- **b. Investment Company Act file number:** 811-03364

- **c. CIK number of Registrant:** 0000356476

- **d. LEI of Registrant:** RUYOMHMDMSPQ01U66388

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

  - **Street Address 1:** 8515 E Orchard Road

  - **City:** Greenwood Village

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80111

  - **Telephone number:** 866-831-7129

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

- **a. Name of Series:** Empower U.S. Government Securities Fund

- **b. EDGAR series identifier (if any):** S000023750

- **c. LEI of Series:** MGP9SH5QCE78CHDK6O93

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $600820234.74

**Total Liabilities:** $13420468.38

**Net Assets:** $587399766.36

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 217.382931072460 | **1-Year:** 7237.197085532868 | **5-Year:** 88608.549391844305 | **10-Year:** 130319.492909080597 | **30-Year:** 749.307236120725

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000069827 | -1.59%               | 3.53%                | -0.85%               |
| Class ID C000155776 | -1.70%               | 3.59%                | -0.73%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-42670679.46            | $-3647477.83                               |
| Month 2  | $-46777755.88            | $25210623.13                               |
| Month 3  | $-52206125.85            | $-549804.95                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** MGP9SH5QCE78CHDK6O93

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIGROUP GLOBAL MARKETS INC REPO                      | CITIGROUP GLOBAL MARKETS INC REPO SLRPD 4.300% 01/03/2023 | CUSIP: 744900241<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |   1458732 | PA      | $1458732.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE CIB REPO                               | CREDIT AGRICOLE CIB REPO SLRPD 4.300% 01/03/2023          | CUSIP: 744900242<br>LEI: 1VUV7VQFKUOQSJ21A208 | Long             | RA               | CORP              | US        |   1458732 | PA      | $1458732.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES INC REPO.                              | BOFA SECURITIES INC REPO. SLRPD 4.300% 01/03/2023         | CUSIP: 744900250<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        |   1458732 | PA      | $1458732.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC REPO                          | JP MORGAN SECURITIES LLC REPO SLRPA 4.260% 01/03/2023     | CUSIP: 744900200<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |    290793 | PA      | $290793.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC REPO                       | RBC DOMINION SECURITIES INC REPO SLRPD 4.300% 01/03/2023  | CUSIP: 744900253<br>LEI: 549300QJJX6CVVUXLE15 | Long             | RA               | CORP              | US        |   1458732 | PA      | $1458732.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                    | DTAOT 2021-1A D                                           | CUSIP: 23344GAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | NS      | $1841884.80   | 0.31%             | 2026-11-16      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG A41394                                                 | CUSIP: 3128K1RP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10685 | NS      | $10924.39     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G08732                                                 | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    537195 | NS      | $479790.64    | 0.08%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 255580                                                 | CUSIP: 31371L2M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40413 | NS      | $41740.96     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHMS K070 A2                                              | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2050000 | NS      | $1948812.62   | 0.33%             | 2027-11-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K073 A2                                              | CUSIP: 3137FETN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1750000 | NS      | $1665169.98   | 0.28%             | 2028-01-25      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BW3913                                                 | CUSIP: 3140MVK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3558530 | NS      | $3339135.98   | 0.57%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain Clo Ltd/Llc                               | BLUEM 2018-2A B                                           | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | NS      | $577489.20    | 0.10%             | 2031-08-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2022-5             | EART 2022-5A A2                                           | CUSIP: 30167FAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3160000 | NS      | $3159607.21   | 0.54%             | 2025-01-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G05792                                                 | CUSIP: 3128M7XV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283295 | NS      | $281082.52    | 0.05%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG J17506                                                 | CUSIP: 3128PXKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195271 | NS      | $189207.42    | 0.03%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD1545                                                 | CUSIP: 3132DNWE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3478635 | NS      | $3169948.55   | 0.54%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 256102                                                 | CUSIP: 31371MNT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20934 | NS      | $21718.54     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AJ9278                                                 | CUSIP: 3138E2JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587328 | NS      | $549772.45    | 0.09%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 734947                                                 | CUSIP: 31402QP88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21617 | NS      | $22094.15     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB4377                                                 | CUSIP: 3140QP2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3511776 | NS      | $3295265.59   | 0.56%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST           | ACAR 2021-4 D                                             | CUSIP: 02530TAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | NS      | $1420003.36   | 0.24%             | 2028-02-14      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA1491                                                 | CUSIP: 31418AUR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290775 | NS      | $261093.06    | 0.04%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN DIRECT AUTO RECEIVABLES TRUST                  | ODART 2021-1A D                                           | CUSIP: 682687AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | NS      | $1334013.12   | 0.23%             | 2030-11-14      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FM5103                                                 | CUSIP: 3140X8U54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3207974 | NS      | $2659695.96   | 0.45%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS0755                                                 | CUSIP: 3140XFZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2695274 | NS      | $2403901.05   | 0.41%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                 | SDART 2021-3 D                                            | CUSIP: 80287EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | NS      | $1019154.29   | 0.17%             | 2027-09-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 930942                                                 | CUSIP: 31412PHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112214 | NS      | $114149.62    | 0.02%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AA9346                                                 | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89794 | NS      | $88674.50     | 0.02%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 1.5 02/15/30                                            | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | NS      | $5965312.50   | 1.02%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNA 2016-M5 A2                                            | CUSIP: 3136AR5S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1850000 | NS      | $1718700.14   | 0.29%             | 2026-04-25      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB1388                                                 | CUSIP: 3140QLRJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3936352 | NS      | $3340564.48   | 0.57%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS0754                                                 | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2845091 | NS      | $2537687.43   | 0.43%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 931307                                                 | CUSIP: 31412PU82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108216 | NS      | $107180.15    | 0.02%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG C64912                                                 | CUSIP: 31287QN56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8550 | NS      | $8540.97      | 0.00%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MA7535                                                 | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2021964 | NS      | $1810133.80   | 0.31%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 31 LTD                                         | KKR 31A B                                                 | CUSIP: 48254NAE1<br>LEI: 5493005MGEI63K1CMN61 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | NS      | $1893508.00   | 0.32%             | 2034-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG A11963                                                 | CUSIP: 31296LFC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37691 | NS      | $38521.74     | 0.01%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR QC1333                                                 | CUSIP: 3133AKPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1655234 | NS      | $1351210.92   | 0.23%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5          | SDART 2022-5 C                                            | CUSIP: 80287HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | NS      | $869984.01    | 0.15%             | 2028-10-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RA6016                                                 | CUSIP: 3133KMVH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2206150 | NS      | $1872459.84   | 0.32%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 255498                                                 | CUSIP: 31371LX38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74444 | NS      | $76920.19     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FM1129                                                 | CUSIP: 3140X4HF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3315606 | NS      | $2982655.75   | 0.51%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 990906                                                 | CUSIP: 31415VYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50994 | NS      | $52763.63     | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA1179                                                 | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278627 | NS      | $251852.15    | 0.04%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MA8099                                                 | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7104006 | NS      | $6536501.17   | 1.11%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MA8199                                                 | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3546941 | NS      | $3259115.65   | 0.55%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO 2021-16 LTD                               | MCLO 2021-16A A2                                          | CUSIP: 56580KAE5<br>LEI: 549300VP041FQCCCOP44 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | NS      | $1876016.00   | 0.32%             | 2034-04-17      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| United States Department of Veterans Affairs           | VENDE 1996-3 1Z                                           | CUSIP: 911760HW9<br>LEI: 549300MGSV36CLTS9L88 | Long             | ABS-O            | USGA              | US        |    255310 | NS      | $256696.69    | 0.04%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD1692                                                 | CUSIP: 3132DN2Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3222111 | NS      | $3201170.10   | 0.54%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 747633                                                 | CUSIP: 31403FSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89705 | NS      | $92501.20     | 0.02%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD1638                                                 | CUSIP: 3132DNZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3255562 | NS      | $3210540.14   | 0.55%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR QE6388                                                 | CUSIP: 3133BGCZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3095924 | NS      | $2992257.07   | 0.51%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BV9958                                                 | CUSIP: 3140MQB40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3444134 | NS      | $3241358.08   | 0.55%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FM4765                                                 | CUSIP: 3140X8JK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3870024 | NS      | $3194221.40   | 0.54%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST                           | WOSAT 2021-A D                                            | CUSIP: 98163HAF6<br>LEI: 5493001ZFJU3487OFZ50 | Long             | ABS-O            | CORP              | US        |    500000 | NS      | $451129.50    | 0.08%             | 2027-11-15      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG Q09004                                                 | CUSIP: 3132GUKR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234236 | NS      | $219508.99    | 0.04%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 625062                                                 | CUSIP: 31389GMK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33239 | NS      | $33180.50     | 0.01%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB4290                                                 | CUSIP: 3140QPXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2524722 | NS      | $2489806.93   | 0.42%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AB5209                                                 | CUSIP: 31417BYF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059643 | NS      | $996256.24    | 0.17%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD0559                                                 | CUSIP: 3132DMTQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1967168 | NS      | $1630988.40   | 0.28%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735224                                                 | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26950 | NS      | $27800.20     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB4827                                                 | CUSIP: 3140QQLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3307434 | NS      | $3187682.96   | 0.54%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS1158                                                 | CUSIP: 3140XGJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2786302 | NS      | $2565876.80   | 0.44%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995752                                                 | CUSIP: 31416CEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269169 | NS      | $266453.88    | 0.05%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 1477                                                   | CUSIP: 36202BUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       293 | NS      | $292.47       | 0.00%             | 2023-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2           | WLAKE 2021-2A D                                           | CUSIP: 96042RAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | NS      | $683046.00    | 0.12%             | 2026-12-15      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA0562                                                 | CUSIP: 31417YTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179464 | NS      | $177907.49    | 0.03%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA4541                                                 | CUSIP: 31418EBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2886682 | NS      | $2510300.95   | 0.43%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 786358                                                 | CUSIP: 3622AB5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3281046 | NS      | $3187583.48   | 0.54%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Res Mtg T                                     | CRMSI 2006-2 A6                                           | CUSIP: 17310EAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         4 | NS      | $4.05         | 0.00%             | 2036-09-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG C91891                                                 | CUSIP: 3128P8C41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411576 | NS      | $382244.54    | 0.07%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD1673                                                 | CUSIP: 3132DN2E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3380813 | NS      | $3176344.92   | 0.54%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FSPC T-34 A1V                                             | CUSIP: 3133985T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |    133374 | NS      | $131427.07    | 0.02%             | 2031-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR QD7594                                                 | CUSIP: 3133B5NK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3208119 | NS      | $2735058.69   | 0.47%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K064 A2                                              | CUSIP: 3137BXQY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1750000 | NS      | $1665335.88   | 0.28%             | 2027-03-25      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BV4147                                                 | CUSIP: 3140MHTD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3110104 | NS      | $2743343.37   | 0.47%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AE0411                                                 | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68867 | NS      | $68270.42     | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SB8084                                                 | CUSIP: 3132D56V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1033578 | NS      | $921890.01    | 0.16%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G00300                                                 | CUSIP: 31283GKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       566 | NS      | $566.46       | 0.00%             | 2025-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G04691                                                 | CUSIP: 3128M6RL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39098 | NS      | $39893.68     | 0.01%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RC1421                                                 | CUSIP: 3133L7SJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1127557 | NS      | $1032893.40   | 0.18%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 250111                                                 | CUSIP: 31371EYG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       609 | NS      | $613.79       | 0.00%             | 2024-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 630429                                                 | CUSIP: 31389NLJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22156 | NS      | $22699.74     | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BM3635                                                 | CUSIP: 3140J8BD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4421379 | NS      | $4138749.28   | 0.70%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BV9956                                                 | CUSIP: 3140MQB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3392108 | NS      | $3182626.45   | 0.54%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG Q26367                                                 | CUSIP: 3132M6W48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669967 | NS      | $642446.30    | 0.11%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 5238 BC                                               | CUSIP: 3137H8F22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3326133 | NS      | $3176147.73   | 0.54%             | 2049-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                | CARMX 2020-4 D                                            | CUSIP: 14316HAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | NS      | $912676.20    | 0.16%             | 2027-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB4404                                                 | CUSIP: 3140QP3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2628153 | NS      | $2591807.67   | 0.44%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS3231                                                 | CUSIP: 3140XJSV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3985343 | NS      | $3289442.21   | 0.56%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL0962                                                 | CUSIP: 3138EHB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269231 | NS      | $266895.00    | 0.05%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AS2983                                                 | CUSIP: 3138WCJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166575 | NS      | $160187.30    | 0.03%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 890445                                                 | CUSIP: 31410LHW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471911 | NS      | $453272.86    | 0.08%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                 | SDART 2021-2 D                                            | CUSIP: 80286XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | NS      | $841446.99    | 0.14%             | 2027-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                    | DTAOT 2019-3A D                                           | CUSIP: 26253KAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1991667 | NS      | $1965651.60   | 0.33%             | 2025-04-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG C09020                                                 | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131426 | NS      | $123134.72    | 0.02%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 685335                                                 | CUSIP: 31400ELQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95728 | NS      | $99043.09     | 0.02%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB3035                                                 | CUSIP: 3140QNLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4016894 | NS      | $3295406.08   | 0.56%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FM1153                                                 | CUSIP: 3140X4H74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294855 | NS      | $1215319.23   | 0.21%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FM7151                                                 | CUSIP: 3140XA5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1495110 | NS      | $1219999.07   | 0.21%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K078 A2                                              | CUSIP: 3137FGR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2000000 | NS      | $1942437.60   | 0.33%             | 2028-06-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 597374                                                 | CUSIP: 31387XT70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35153 | NS      | $36615.75     | 0.01%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BR0773                                                 | CUSIP: 3140KX2F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3577989 | NS      | $2966507.26   | 0.51%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BV9959                                                 | CUSIP: 3140MQB57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3448714 | NS      | $3243987.73   | 0.55%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 889307                                                 | CUSIP: 31410KAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54029 | NS      | $55173.55     | 0.01%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                           | T 2.375 02/15/42                                          | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10600000 | NS      | $8093265.58   | 1.38%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG C91432                                                 | CUSIP: 3128P7SV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351342 | NS      | $340610.39    | 0.06%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 4769 QL                                               | CUSIP: 3137FEGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3059965 | NS      | $2793766.99   | 0.48%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB2804                                                 | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3143140 | NS      | $2679654.00   | 0.46%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS2656                                                 | CUSIP: 3140XH5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6817802 | NS      | $6568838.94   | 1.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST           | ACAR 2021-1 D                                             | CUSIP: 02528BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | NS      | $1885877.20   | 0.32%             | 2027-03-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K154 A2                                              | CUSIP: 3137FDES7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6000000 | NS      | $5604058.80   | 0.95%             | 2032-04-25      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CA4464                                                 | CUSIP: 3140QB6A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625388 | NS      | $588871.55    | 0.10%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 15-2019 LTD / LLC                  | HLM 15A-19 A1R                                            | CUSIP: 40439DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4950000 | NS      | $4770795.15   | 0.81%             | 2035-01-22      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                           | T 3 02/15/48                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6400000 | NS      | $5245750.02   | 0.89%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RA7773                                                 | CUSIP: 3133KPT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3965907 | NS      | $3721398.51   | 0.63%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K095 A1                                              | CUSIP: 3137FNAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1255841 | NS      | $1184464.16   | 0.20%             | 2028-11-25      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AU3735                                                 | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412715 | NS      | $375009.45    | 0.06%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG A37326                                                 | CUSIP: 31297TD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40814 | NS      | $41726.70     | 0.01%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AH6788                                                 | CUSIP: 3138A8RJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251750 | NS      | $248843.30    | 0.04%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FM9318                                                 | CUSIP: 3140XDK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2930498 | NS      | $2613727.78   | 0.44%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS0610                                                 | CUSIP: 3140XFVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2769543 | NS      | $2470126.84   | 0.42%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AB4053                                                 | CUSIP: 31417AQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375651 | NS      | $360745.82    | 0.06%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS1949                                                 | CUSIP: 3140XHEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3690496 | NS      | $3462516.16   | 0.59%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS2946                                                 | CUSIP: 3140XJHY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3230552 | NS      | $3188248.63   | 0.54%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MA7705                                                 | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7285505 | NS      | $6313604.75   | 1.07%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                           | T 2.75 11/15/47                                           | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | NS      | $3900195.31   | 0.66%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4             | EART 2022-4A D                                            | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | NS      | $1421606.70   | 0.24%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G08015                                                 | CUSIP: 3128MJAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66809 | NS      | $69052.54     | 0.01%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K737 A2                                              | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1750000 | NS      | $1625913.63   | 0.28%             | 2026-10-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BV4145                                                 | CUSIP: 3140MHTB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3542709 | NS      | $3136563.32   | 0.53%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BW0044                                                 | CUSIP: 3140MRBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3167662 | NS      | $3137396.87   | 0.53%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA4437                                                 | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4711449 | NS      | $3841947.82   | 0.65%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 3.875 11/30/29                                          | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9900000 | NS      | $9833484.38   | 1.67%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS2966                                                 | CUSIP: 3140XJJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3132009 | NS      | $3109720.16   | 0.53%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MA7766                                                 | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7653134 | NS      | $6414152.02   | 1.09%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                           | T 3 08/15/48                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | NS      | $8211718.80   | 1.40%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIII LTD                            | BLUEM 2021-33A B                                          | CUSIP: 09630MAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | NS      | $1997406.60   | 0.34%             | 2034-11-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| DRYDEN 50 Senior Loan Fund                             | DRSLF 2017-50A B                                          | CUSIP: 262431AD1<br>LEI: 5493008NBEE3C4AF3K95 | Long             | ABS-CBDO         | CORP              | US        |    800000 | NS      | $774915.20    | 0.13%             | 2030-07-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BF0130                                                 | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1085001 | NS      | $991300.96    | 0.17%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 888016                                                 | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93046 | NS      | $96256.04     | 0.02%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                    | DTAOT 2021-3A D                                           | CUSIP: 23344QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | NS      | $1971304.66   | 0.34%             | 2027-05-17      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD0618                                                 | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2938244 | NS      | $2601512.92   | 0.44%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RA5257                                                 | CUSIP: 3133KLZW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4043504 | NS      | $3298741.88   | 0.56%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNA 2018-M2 A2                                            | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1674222 | NS      | $1559026.64   | 0.27%             | 2028-01-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AO7976                                                 | CUSIP: 3138LY2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92592 | NS      | $89414.79     | 0.02%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AT1713                                                 | CUSIP: 3138WN3X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425587 | NS      | $387248.00    | 0.07%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BO3218                                                 | CUSIP: 3140JXSG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470997 | NS      | $442030.80    | 0.08%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BW0024                                                 | CUSIP: 3140MRA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3821053 | NS      | $3593985.44   | 0.61%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS3201                                                 | CUSIP: 3140XJRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4001333 | NS      | $3273098.52   | 0.56%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AC5445                                                 | CUSIP: 31417SBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266973 | NS      | $269871.16    | 0.05%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA0633                                                 | CUSIP: 31417YV38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121568 | NS      | $121902.64    | 0.02%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG C91887                                                 | CUSIP: 3128P8CY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276735 | NS      | $257014.60    | 0.04%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR QE4386                                                 | CUSIP: 3133BD2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3457398 | NS      | $3252585.37   | 0.55%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 932279                                                 | CUSIP: 31412QXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146641 | NS      | $148494.20    | 0.03%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA4512                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2434787 | NS      | $2065753.93   | 0.35%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                    | DTAOT 2020-3A D                                           | CUSIP: 26253AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1625000 | NS      | $1518007.24   | 0.26%             | 2026-06-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD1382                                                 | CUSIP: 3132DNRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3548248 | NS      | $3328388.60   | 0.57%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR QE6387                                                 | CUSIP: 3133BGCY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2973537 | NS      | $2871025.36   | 0.49%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K078 AM                                              | CUSIP: 3137FGR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1750000 | NS      | $1698052.48   | 0.29%             | 2028-06-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AJ1405                                                 | CUSIP: 3138ASR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211257 | NS      | $202875.75    | 0.03%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BV4143                                                 | CUSIP: 3140MHS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1851233 | NS      | $1642984.71   | 0.28%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 20-R LTD                   | OCT20 2019-4A A1R                                         | CUSIP: 67576WAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | NS      | $1376634.00   | 0.23%             | 2031-05-12      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G02109                                                 | CUSIP: 3128LXKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51146 | NS      | $53204.45     | 0.01%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G16189                                                 | CUSIP: 3128MFC22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254659 | NS      | $245291.59    | 0.04%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 255111                                                 | CUSIP: 31371LKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52373 | NS      | $54023.15     | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K074 A2                                              | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1950000 | NS      | $1876857.84   | 0.32%             | 2028-01-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BQ1463                                                 | CUSIP: 3140KLTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    712631 | NS      | $606696.25    | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BQ1498                                                 | CUSIP: 3140KLUY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668820 | NS      | $568165.88    | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FM2741                                                 | CUSIP: 3140X6BK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3027234 | NS      | $2966151.77   | 0.50%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2022-1             | EART 2022-1A D                                            | CUSIP: 30167JAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2465000 | NS      | $2226605.17   | 0.38%             | 2028-06-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G04316                                                 | CUSIP: 3128M6DV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16473 | NS      | $17083.28     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                    | EART 2021-3A D                                            | CUSIP: 30166AAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2110000 | NS      | $1914843.57   | 0.33%             | 2027-06-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G01994                                                 | CUSIP: 3128LXGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141406 | NS      | $144570.03    | 0.02%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG C91761                                                 | CUSIP: 3128P75W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317235 | NS      | $305815.61    | 0.05%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG A91541                                                 | CUSIP: 312939WA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398293 | NS      | $402706.29    | 0.07%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR QD9178                                                 | CUSIP: 3133B7FT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3333610 | NS      | $2939700.31   | 0.50%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD8107                                                 | CUSIP: 3132DWAG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1572024 | NS      | $1338236.14   | 0.23%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 357628                                                 | CUSIP: 31376KHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37900 | NS      | $39137.40     | 0.01%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K069 A2                                              | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2820000 | NS      | $2669520.01   | 0.45%             | 2027-09-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 614339                                                 | CUSIP: 31388TPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45473 | NS      | $46433.38     | 0.01%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AS0518                                                 | CUSIP: 3138W9SG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271168 | NS      | $246731.35    | 0.04%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735925                                                 | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146666 | NS      | $149778.91    | 0.03%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                | FHLB 5.75 06/12/26                                        | CUSIP: 3133XG6E9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    500000 | NS      | $522932.22    | 0.09%             | 2026-06-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 256060                                                 | CUSIP: 31371MMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74525 | NS      | $77619.70     | 0.01%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 256712                                                 | CUSIP: 31371NDR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33715 | NS      | $35197.99     | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BJ0626                                                 | CUSIP: 3140H1VU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612756 | NS      | $567684.94    | 0.10%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 744328                                                 | CUSIP: 31403B4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28050 | NS      | $28644.33     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BV4197                                                 | CUSIP: 3140MHUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2993363 | NS      | $2640356.62   | 0.45%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BW8537                                                 | CUSIP: 3140N1PX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3333846 | NS      | $3210868.65   | 0.55%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB2558                                                 | CUSIP: 3140QMZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3184301 | NS      | $2701468.87   | 0.46%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BW0037                                                 | CUSIP: 3140MRBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3377789 | NS      | $3260922.46   | 0.56%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MA8200                                                 | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7076562 | NS      | $6696862.61   | 1.14%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 2660                                                   | CUSIP: 36202C5V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       634 | NS      | $639.88       | 0.00%             | 2028-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                           | T 2.875 05/15/52                                          | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23200000 | NS      | $18589000.00  | 3.16%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS1854                                                 | CUSIP: 3140XHBY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3655733 | NS      | $3223779.29   | 0.55%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS1948                                                 | CUSIP: 3140XHEW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3674393 | NS      | $3447410.60   | 0.59%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 962073                                                 | CUSIP: 31414CJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105332 | NS      | $109227.50    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 CN5422                                                 | CUSIP: 3617F5AX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3216919 | NS      | $3201940.86   | 0.55%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NCUA Guaranteed Notes Trust 2010-R1                    | NGN 2010-R1 1A                                            | CUSIP: 62888VAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |         0 | NS      | $0.00         | 0.00%             | 2020-10-07      | Floating      | 0.60%                 | No            |                  2 | On Loan: No      |
| United States Department of Veterans Affairs           | VENDE 1993-3 1                                            | CUSIP: 911760DA1<br>LEI: 549300MGSV36CLTS9L88 | Long             | ABS-O            | USGA              | US        |     40189 | NS      | $39749.90     | 0.01%             | 2023-09-15      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR QE4385                                                 | CUSIP: 3133BD2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3440767 | NS      | $3238191.17   | 0.55%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RB5141                                                 | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2329300 | NS      | $1963451.82   | 0.33%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 256059                                                 | CUSIP: 31371MMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55188 | NS      | $57126.22     | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BO6225                                                 | CUSIP: 3140K14K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466381 | NS      | $411988.59    | 0.07%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FM4717                                                 | CUSIP: 3140X8G35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1496937 | NS      | $1276324.34   | 0.22%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS0818                                                 | CUSIP: 3140XF4C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2456349 | NS      | $2253570.30   | 0.38%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG A97040                                                 | CUSIP: 312945ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124976 | NS      | $120153.99    | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG C01754                                                 | CUSIP: 31292H5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28892 | NS      | $29832.10     | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD1741                                                 | CUSIP: 3132DN5A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3218389 | NS      | $3203430.61   | 0.55%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                | FHLB 2.125 03/10/23                                       | CUSIP: 313382AX1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1500000 | NS      | $1493736.90   | 0.25%             | 2023-03-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corporation                 | FR QE6386                                                 | CUSIP: 3133BGCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3380351 | NS      | $3263395.90   | 0.56%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR QE8508                                                 | CUSIP: 3133BJNZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3263786 | NS      | $3151265.75   | 0.54%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD 2021-62A                                  | ABS FLOAT SER.2021-62A CL.B                               | CUSIP: 00192WAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2650000 | NS      | $2534234.75   | 0.43%             | 2034-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Apidos Clo Xxxvii Ltd / Llc                            | APID 2021-37A B                                           | CUSIP: 03769HAC1<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | NS      | $2503797.40   | 0.43%             | 2034-10-23      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2022-35 CK                                            | CUSIP: 3136BNBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3291034 | NS      | $3157337.90   | 0.54%             | 2047-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K061 A2                                              | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3550000 | NS      | $3397237.82   | 0.58%             | 2026-11-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD1454                                                 | CUSIP: 3132DNTK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3485917 | NS      | $3381265.61   | 0.58%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNA 2018-M3 A2                                            | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3663684 | NS      | $3370149.23   | 0.57%             | 2030-02-25      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AZ4795                                                 | CUSIP: 3138YWKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341159 | NS      | $325676.05    | 0.06%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BV4137                                                 | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3163533 | NS      | $2701549.70   | 0.46%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K067 A2                                              | CUSIP: 3137FAWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4925000 | NS      | $4668137.12   | 0.79%             | 2027-07-25      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K073 AM                                              | CUSIP: 3137FETP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2500000 | NS      | $2380647.75   | 0.41%             | 2028-01-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB3034                                                 | CUSIP: 3140QNLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3930365 | NS      | $3231734.96   | 0.55%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB3110                                                 | CUSIP: 3140QNN40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6451529 | NS      | $5541565.82   | 0.94%             | 2047-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 562725                                                 | CUSIP: 31386GD67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32210 | NS      | $32723.10     | 0.01%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL1102                                                 | CUSIP: 3138EHGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481128 | NS      | $462121.76    | 0.08%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB3954                                                 | CUSIP: 3140QPMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2120328 | NS      | $1985870.69   | 0.34%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS0816                                                 | CUSIP: 3140XF4A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2845917 | NS      | $2610895.01   | 0.44%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB4373                                                 | CUSIP: 3140QP2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7105540 | NS      | $6692962.15   | 1.14%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS2906                                                 | CUSIP: 3140XJGQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3162451 | NS      | $3118716.36   | 0.53%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AB2469                                                 | CUSIP: 31416XW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107137 | NS      | $106208.44    | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 786374                                                 | CUSIP: 3622AB6K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3212512 | NS      | $3181995.12   | 0.54%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 888416                                                 | CUSIP: 31410GAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66260 | NS      | $67664.57     | 0.01%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AD5491                                                 | CUSIP: 31418TC54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160717 | NS      | $162748.13    | 0.03%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 786258                                                 | CUSIP: 3622ABZX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3506760 | NS      | $3318506.95   | 0.56%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Department of Veterans Affairs           | VENDE 2002-1 1A                                           | CUSIP: 911760RE8<br>LEI: 549300MGSV36CLTS9L88 | Long             | ABS-O            | USGA              | US        |    201138 | NS      | $202938.74    | 0.03%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST               | AMCAR 2019-3 D                                            | CUSIP: 03066NAG9<br>LEI: 5493003R0K8V08JVGR27 | Long             | ABS-O            | CORP              | US        |    450000 | NS      | $432650.03    | 0.07%             | 2025-09-18      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                           | T 3.25 05/15/42                                           | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13500000 | NS      | $11835703.13  | 2.01%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST                           | DRIVE 2021-2 D                                            | CUSIP: 262104AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | NS      | $1105721.40   | 0.19%             | 2029-03-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G02264                                                 | CUSIP: 3128LXQR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61255 | NS      | $63969.46     | 0.01%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G15601                                                 | CUSIP: 3128MENS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172539 | NS      | $164246.65    | 0.03%             | 2029-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G08737                                                 | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1061558 | NS      | $950200.78    | 0.16%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RA5900                                                 | CUSIP: 3133KMRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2991313 | NS      | $2648585.22   | 0.45%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RA6310                                                 | CUSIP: 3133KNAK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3316238 | NS      | $3020292.76   | 0.51%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K084 A2                                              | CUSIP: 3137FJZ93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1750000 | NS      | $1680624.23   | 0.29%             | 2028-10-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB3914                                                 | CUSIP: 3140QPK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3557775 | NS      | $3337331.65   | 0.57%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS1310                                                 | CUSIP: 3140XGN47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1407236 | NS      | $1291142.97   | 0.22%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MA7883                                                 | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7041818 | NS      | $6479139.87   | 1.10%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-4               | CAALT 2021-4 C                                            | CUSIP: 22535BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220000 | NS      | $1107151.22   | 0.19%             | 2031-02-18      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG A37876                                                 | CUSIP: 31297TXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81751 | NS      | $83579.54     | 0.01%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR QF0455                                                 | CUSIP: 3133BMQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3306905 | NS      | $3192899.66   | 0.54%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RA7778                                                 | CUSIP: 3133KPUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6143019 | NS      | $5920595.50   | 1.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555677                                                 | CUSIP: 31385XJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59349 | NS      | $61083.63     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AH7196                                                 | CUSIP: 3138A87J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375457 | NS      | $372201.49    | 0.06%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AP9560                                                 | CUSIP: 3138MDTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303485 | NS      | $283949.75    | 0.05%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BH7626                                                 | CUSIP: 3140GWPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1501324 | NS      | $1432907.47   | 0.24%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-1 LTD                              | CGMS 2021-1A A2                                           | CUSIP: 14316MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | NS      | $1893572.00   | 0.32%             | 2034-04-17      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G08106                                                 | CUSIP: 3128MJDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117461 | NS      | $122187.23    | 0.02%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BU0971                                                 | CUSIP: 3140M2CH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3484619 | NS      | $2867414.13   | 0.49%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB1791                                                 | CUSIP: 3140QL7D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2277775 | NS      | $1933734.35   | 0.33%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G08269                                                 | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12229 | NS      | $12695.60     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RA5662                                                 | CUSIP: 3133KMJF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2910129 | NS      | $2577839.39   | 0.44%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2022-42 BA                                            | CUSIP: 3136BNQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3324514 | NS      | $3190982.79   | 0.54%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K062 AM                                              | CUSIP: 3137BUX78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2000000 | NS      | $1912406.40   | 0.33%             | 2026-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS0605                                                 | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3248091 | NS      | $2765624.83   | 0.47%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 984277                                                 | CUSIP: 31415MM28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145566 | NS      | $150440.11    | 0.03%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 615069                                                 | CUSIP: 31388UJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102483 | NS      | $105058.86    | 0.02%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AH5580                                                 | CUSIP: 3138A7FW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164246 | NS      | $162349.21    | 0.03%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AW8597                                                 | CUSIP: 3138XYRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304707 | NS      | $292251.04    | 0.05%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 745347                                                 | CUSIP: 31403DBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23992 | NS      | $24851.84     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ncua Gtd Nts Tst 2                                     | NGN 2010-R2 2A                                            | CUSIP: 62888UAB6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |         0 | NS      | $0.00         | 0.00%             | 2020-11-08      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                 | SDART 2021-4 D                                            | CUSIP: 80285VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | NS      | $1151313.38   | 0.20%             | 2027-10-15      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CA4716                                                 | CUSIP: 3140QCG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1296694 | NS      | $1220955.39   | 0.21%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB3236                                                 | CUSIP: 3140QNS29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3721982 | NS      | $3266111.38   | 0.56%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FM4238                                                 | CUSIP: 3140X7V89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648433 | NS      | $642814.31    | 0.11%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS3116                                                 | CUSIP: 3140XJPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3342351 | NS      | $3312841.20   | 0.56%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 3.875 11/30/27                                          | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | NS      | $4972656.25   | 0.85%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association               | G2 2691                                                   | CUSIP: 36202C7C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       986 | NS      | $1001.90      | 0.00%             | 2028-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 785379                                                 | CUSIP: 3622AA2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3139209 | NS      | $2663465.70   | 0.45%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.125 11/15/32                                          | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9800000 | NS      | $10000593.75  | 1.70%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-1           | WLAKE 2022-1A D                                           | CUSIP: 96042WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | NS      | $3038063.49   | 0.52%             | 2027-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST           | ACAR 2021-3 D                                             | CUSIP: 025286AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | NS      | $1856611.40   | 0.32%             | 2027-11-15      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHMS K071 A2                                              | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1680000 | NS      | $1595333.88   | 0.27%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AE0481                                                 | CUSIP: 31419ARB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215976 | NS      | $218703.50    | 0.04%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K069 AM                                              | CUSIP: 3137FBU87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2000000 | NS      | $1878120.40   | 0.32%             | 2027-09-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735227                                                 | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45295 | NS      | $46782.69     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BF0174                                                 | CUSIP: 3140FXFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168138 | NS      | $1029802.07   | 0.18%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB2858                                                 | CUSIP: 3140QNE81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3268588 | NS      | $2786604.32   | 0.47%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS1341                                                 | CUSIP: 3140XGP37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3146873 | NS      | $2877381.10   | 0.49%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                    | EART 2021-1A D                                            | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | NS      | $1093823.87   | 0.19%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SD1275                                                 | CUSIP: 3132DNMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3314582 | NS      | $3195083.90   | 0.54%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR RB5142                                                 | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2291771 | NS      | $1992791.86   | 0.34%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KJ41 A2                                              | CUSIP: 3137H8H87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6775000 | NS      | $6249014.75   | 1.06%             | 2031-02-25      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 620128                                                 | CUSIP: 31389A4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81612 | NS      | $83614.94     | 0.01%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AH8824                                                 | CUSIP: 3138AAYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31457 | NS      | $30209.94     | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 739821                                                 | CUSIP: 31402V4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96404 | NS      | $97516.73     | 0.02%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN BO5210                                                 | CUSIP: 3140K0YG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315063 | NS      | $279549.46    | 0.05%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS0970                                                 | CUSIP: 3140XGCG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2706853 | NS      | $2475048.53   | 0.42%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN FS2147                                                 | CUSIP: 3140XHL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3391054 | NS      | $3181567.68   | 0.54%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                           | T 2.5 02/15/45                                            | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4200000 | NS      | $3161976.55   | 0.54%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-17

**Name of Applicant:** GREAT-WEST FUNDS INC

**Signature:** /s/Kelly New

**Name of Signer:** Kelly New

**Title:** Treasurer, Great-West Funds, Inc.