# EDGAR Filing Document

**Accession Number:** 0001034106
**File Stem:** 0001034106-25-000017
**Filing Date:** 2025-8
**Character Count:** 173842
**Document Hash:** 41f1c8960db3e842f40ba2bec03ec941
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001034106-25-000017.hdr.sgml**: 20250822

**ACCESSION NUMBER**: 0001034106-25-000017

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250822

**DATE AS OF CHANGE**: 20250822

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FEDERATED HERMES CORE TRUST
- **CENTRAL INDEX KEY:** 0001034106

**ORGANIZATION NAME:**
- **EIN:** 232934777
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1212

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08519
- **FILM NUMBER:** 251243033

**BUSINESS ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561
- **BUSINESS PHONE:** 8003417400

**MAIL ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERATED CORE TRUST
- **DATE OF NAME CHANGE:** 20180601

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERATED CORE TRUST/PA
- **DATE OF NAME CHANGE:** 19971126

## Series and Classes Contracts Data

### Mortgage Core Fund (Series ID: S000009127)

| Class ID   | Class Name         | Ticker Symbol   |
|:---|:---|:---|
| C000024828 | Mortgage Core Fund |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Federated Hermes Core Trust

- **b. Investment Company Act file number:** 811-08519

- **c. CIK number of Registrant:** 0001034106

- **d. LEI of Registrant:** 254900HYFNGKM5PJOV84

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

  - **Street Address 1:** Federated Hermes Funds

  - **City:** Warrendale

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 15086-7561

  - **Telephone number:** 8003417400

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

- **a. Name of Series:** Mortgage Core Fund

- **b. EDGAR series identifier (if any):** S000009127

- **c. LEI of Series:** 254900WC9GWJKY8X3D48

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

- **a. Date of fiscal year-end:** 2025-12-31

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

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $5191730067.07

**Total Liabilities:** $602439891.60

**Net Assets:** $4589290175.47

**Delayed Delivery Securities:** $61057447.73

**Cash Not Reported:** $1721283.79

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -310.377262000000 | **1-Year:** -9633.969528000000 | **5-Year:** -10846.071370000000 | **10-Year:** -7470.591238000000 | **30-Year:** -1267.867554000000

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

- **3-Month:** -2.049902000000 | **1-Year:** -26.091451000000 | **5-Year:** -39.852981000000 | **10-Year:** -13.052030000000 | **30-Year:** -0.006948000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000024828 | 0.27%                | -1.03%               | 1.89%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-21848374.34            | $7052821.44                                |
| Month 2  | $-8212520.54             | $-56944196.49                              |
| Month 3  | $-0.06                   | $63866627.36                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US MBS index

- **Index Identifier:** LEHMMBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28505 | PA      | $29467.15     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHNM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62636 | PA      | $63329.65     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WUD96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2483 | PA      | $2563.26      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WVM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15690 | PA      | $16160.11     | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WWVW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4624 | PA      | $4863.39      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1GB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36421 | PA      | $36840.30     | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1V27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    515369 | PA      | $520708.71    | 0.01%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1WT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217072 | PA      | $219566.34    | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2F64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106794 | PA      | $110427.45    | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132CWQ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33346930 | PA      | $31302769.69  | 0.68%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136B5ZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4766016 | PA      | $4673493.17   | 0.10%             | 2049-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136BPCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  75662039 | PA      | $74352646.67  | 1.62%             | 2052-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136BQME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38555536 | PA      | $37724463.67  | 0.82%             | 2048-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136BRMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38238509 | PA      | $38070160.14  | 0.83%             | 2054-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371H2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       263 | PA      | $270.88       | 0.00%             | 2029-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371NFP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82473 | PA      | $89423.21     | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138A3J24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9070 | PA      | $9025.99      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31390MUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27651 | PA      | $29081.01     | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707505 | PA      | $715600.51    | 0.02%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36150 | PA      | $37359.64     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DP37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178921 | PA      | $184326.70    | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QHC45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18930906 | PA      | $15731679.28  | 0.34%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QN2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18467359 | PA      | $16671925.22  | 0.36%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 106344200 | PA      | $92196518.91  | 2.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XNTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16974825 | PA      | $14709124.11  | 0.32%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31417YT72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4539 | PA      | $4519.32      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418D4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28650024 | PA      | $26795299.26  | 0.58%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36182AJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279122 | PA      | $275175.81    | 0.01%             | 2043-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36202FAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255826 | PA      | $259142.81    | 0.01%             | 2039-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36207TRK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1437 | PA      | $1475.79      | 0.00%             | 2029-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209DR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15557 | PA      | $15987.70     | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210JUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3970 | PA      | $4054.28      | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211NGL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4806 | PA      | $4965.21      | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  47500000 | PA      | $42751862.00  | 0.93%             | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGYS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55659 | PA      | $57447.58     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHMH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9374 | PA      | $9817.88      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329JE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174759 | PA      | $176796.41    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1WV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17777 | PA      | $18720.10     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust           | Home Partners of America 2022-1 Trust            | CUSIP: 43730NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14505934 | PA      | $14387257.67  | 0.31%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A43G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1061138 | PA      | $1073367.52   | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A5DW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379269 | PA      | $338293.81    | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DNMP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33172277 | PA      | $28904275.62  | 0.63%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DPBR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12127327 | PA      | $10255990.71  | 0.22%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20564949 | PA      | $16415412.90  | 0.36%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64528721 | PA      | $58194613.64  | 1.27%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BKRQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  60317018 | PA      | $56212861.42  | 1.22%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BNTC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12591513 | PA      | $11770161.10  | 0.26%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 145000000 | PA      | $147339299.50 | 3.21%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Fannie Mae Connecticut Avenue Securities         | CUSIP: 207942AB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10400000 | PA      | $10849195.76  | 0.24%             | 2043-06-25      | Floating      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KLS57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  36903418 | PA      | $29422555.98  | 0.64%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31368HKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3310 | PA      | $3476.31      | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136BPAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24132735 | PA      | $23520530.63  | 0.51%             | 2052-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371HE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3050 | PA      | $3105.28      | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGZP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52181 | PA      | $52782.58     | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WNX58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100637 | PA      | $101802.99    | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                               | CUSIP: 3137HBQA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18236033 | PA      | $18170271.64  | 0.40%             | 2054-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389E6Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19431 | PA      | $20084.00     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WVRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8026 | PA      | $8526.10      | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329HV99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3459 | PA      | $3612.99      | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138A1V57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3305 | PA      | $3287.61      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240242 | PA      | $248284.59    | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2PC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170105 | PA      | $171800.83    | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  60645957 | PA      | $48465847.01  | 1.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31408F6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67486 | PA      | $69718.03     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140AHRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9174241 | PA      | $9327470.98   | 0.20%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140AXY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11436577 | PA      | $11219032.52  | 0.24%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140FNJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639346 | PA      | $622015.57    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QMEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5278688 | PA      | $4912911.41   | 0.11%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 282084458 | PA      | $224901820.11 | 4.90%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DV7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6552247 | PA      | $5236296.17   | 0.11%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24189765 | PA      | $24280316.95  | 0.53%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24000000 | PA      | $22309764.00  | 0.49%             | 2054-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae                                       | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50000000 | PA      | $47838400.00  | 1.04%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18870 | PA      | $19507.29     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XLR34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8711829 | PA      | $7911129.02   | 0.17%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XMJN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43697092 | PA      | $38143226.56  | 0.83%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XNVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45657150 | PA      | $37941324.50  | 0.83%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410EDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1926 | PA      | $2027.77      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGWV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9775 | PA      | $10106.45     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGZ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2965 | PA      | $2996.72      | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410K4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22286 | PA      | $23772.15     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31413QTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42319 | PA      | $45150.31     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31413UUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       167 | PA      | $177.55       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31415WZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23104 | PA      | $24330.01     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae                                       | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  55000000 | PA      | $51112644.00  | 1.11%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       641 | PA      | $647.87       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132E0CA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19365592 | PA      | $15421748.67  | 0.34%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132E0S52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17768205 | PA      | $15465459.70  | 0.34%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69867 | PA      | $72210.24     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHRF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61624 | PA      | $62318.41     | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WKGF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53514 | PA      | $55414.02     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WWVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83892 | PA      | $88784.98     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WKFU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160841 | PA      | $169124.22    | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WKYX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68317 | PA      | $70765.74     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X6TS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82348 | PA      | $81937.87     | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A3AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35584 | PA      | $35988.37     | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WLKH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32600 | PA      | $32959.05     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WUGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       950 | PA      | $980.98       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DNMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21630170 | PA      | $18231640.20  | 0.40%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DTZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24699430 | PA      | $21413499.64  | 0.47%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWGR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20277407 | PA      | $20340640.45  | 0.44%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20229947 | PA      | $20893813.35  | 0.46%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                   | CHL Mortgage Pass-Through Trust 2005-21          | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411817 | PA      | $231425.12    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae                                       | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50000000 | PA      | $44182960.00  | 0.96%             | 2054-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BMYP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5578176 | PA      | $5365711.42   | 0.12%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BT2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16394535 | PA      | $15734226.89  | 0.34%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WVNH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9758 | PA      | $10152.04     | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X6R69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6212 | PA      | $6182.50      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X6VW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4022 | PA      | $4002.72      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329HV57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5865 | PA      | $6114.60      | 0.00%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KN4U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15801599 | PA      | $13220093.72  | 0.29%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KPQV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20404946 | PA      | $19042036.56  | 0.41%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae                                       | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30000000 | PA      | $27232440.00  | 0.59%             | 2054-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WG2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       296 | PA      | $299.03       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132E0WQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  48971285 | PA      | $45776858.46  | 1.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133AAE57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5640054 | PA      | $4739788.91   | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHNZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140358 | PA      | $145084.29    | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WLQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21961 | PA      | $22209.33     | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WM2L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33282 | PA      | $33661.47     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WVN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19546 | PA      | $20391.44     | 0.00%             | 2031-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329JWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        52 | PA      | $51.84        | 0.00%             | 2025-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329K4X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19972 | PA      | $19850.99     | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133CXZR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14808068 | PA      | $14521118.79  | 0.32%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133CXZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13818380 | PA      | $13550794.39  | 0.30%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2HQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1059 | PA      | $1128.08      | 0.00%             | 2038-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2UN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39326 | PA      | $39772.38     | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KKYV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4173286 | PA      | $3312954.43   | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133WCWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6891185 | PA      | $6908195.06   | 0.15%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136B5JV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6412393 | PA      | $6319663.09   | 0.14%             | 2049-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136BRTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12047512 | PA      | $11962092.64  | 0.26%             | 2054-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31374TRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1884 | PA      | $1917.52      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                               | CUSIP: 3137HC3H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  36787021 | PA      | $36405160.77  | 0.79%             | 2054-04-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A4WE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20916 | PA      | $21615.32     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A4YK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6677 | PA      | $7221.74      | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132D6EC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8192236 | PA      | $8362378.28   | 0.18%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11532785 | PA      | $10617566.66  | 0.23%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2279 | PA      | $2318.30      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371NWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414239 | PA      | $436885.43    | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                               | CUSIP: 3137FUQ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6384146 | PA      | $6296416.64   | 0.14%             | 2050-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31383B3T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3059 | PA      | $3125.08      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416WFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394989 | PA      | $391206.23    | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20712089 | PA      | $20330313.36  | 0.44%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329H3L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9252 | PA      | $9563.22      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1HV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431587 | PA      | $443925.06    | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419525 | PA      | $424401.70    | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36179X5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33357764 | PA      | $34059924.88  | 0.74%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31386PZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15534 | PA      | $15922.09     | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389FHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8171 | PA      | $8368.37      | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2ZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215454 | PA      | $217824.95    | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132AAYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503657 | PA      | $450974.79    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20371937 | PA      | $16184951.50  | 0.35%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DNFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23774177 | PA      | $20693063.03  | 0.45%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36179YDK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36659409 | PA      | $36888896.75  | 0.80%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209MTA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2801 | PA      | $2843.19      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DPZE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3090092 | PA      | $2826603.29   | 0.06%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DV6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42222546 | PA      | $33768975.52  | 0.74%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31390CF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3744 | PA      | $3962.68      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140A1VM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4664318 | PA      | $4744612.73   | 0.10%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWJN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24570876 | PA      | $25398310.44  | 0.55%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19935358 | PA      | $20267076.88  | 0.44%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620A1ZV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68109 | PA      | $67444.72     | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 3622ABRS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33569032 | PA      | $29658851.06  | 0.65%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140N2VL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11199481 | PA      | $9690290.79   | 0.21%             | 2053-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QNC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2206211 | PA      | $1835440.89   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XFM65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20161600 | PA      | $17000111.84  | 0.37%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XFQS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6567784 | PA      | $5252817.67   | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36296JDL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97306 | PA      | $99832.08     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Government National Mortgage Association         | CUSIP: 38383U6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5879636 | PA      | $5832510.23   | 0.13%             | 2052-10-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust               | Progress Residential 2023-SFR2 Trust             | CUSIP: 74331GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3511976.04   | 0.08%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WQ2E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    553245 | PA      | $535817.81    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31382DU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2279 | PA      | $2327.88      | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387H6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7961 | PA      | $8240.18      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XG6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1804397 | PA      | $1701682.15   | 0.04%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XGZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25484724 | PA      | $23882695.46  | 0.52%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XKMP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15524473 | PA      | $14117032.09  | 0.31%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31411FRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15076 | PA      | $15987.22     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31419ATE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110050 | PA      | $108976.59    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36176M4Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278634 | PA      | $275173.34    | 0.01%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329HWV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       872 | PA      | $899.60       | 0.00%             | 2030-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91821 | PA      | $97479.47     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132E0SG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21650469 | PA      | $18946071.89  | 0.41%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BAGH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8597829 | PA      | $8098784.27   | 0.18%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2JX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       877 | PA      | $934.86       | 0.00%             | 2038-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A9LS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10996 | PA      | $10912.86     | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BKRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4059885 | PA      | $4096016.76   | 0.09%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KKU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13077809 | PA      | $10867726.09  | 0.24%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31127993 | PA      | $31583803.01  | 0.69%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209RZK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1852 | PA      | $1899.73      | 0.00%             | 2030-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DMQC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10288973 | PA      | $8926592.38   | 0.19%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6924991 | PA      | $6081619.46   | 0.13%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620AR3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60906 | PA      | $60241.92     | 0.00%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620C2GA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58526 | PA      | $57848.84     | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136BRME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34414658 | PA      | $34071168.84  | 0.74%             | 2054-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136BTFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15571754 | PA      | $15561658.50  | 0.34%             | 2054-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36212UCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4048 | PA      | $4214.31      | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36225A7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1871 | PA      | $1921.17      | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31374TW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1059 | PA      | $1092.78      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                               | CUSIP: 3137FQQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12854424 | PA      | $12671260.13  | 0.28%             | 2050-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 3622ACC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15257521 | PA      | $13918960.19  | 0.30%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust               | Navient Private Education Refi Loan Trust 2020-H | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3146612 | PA      | $2940656.02   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust               | Navient Private Education Refi Loan Trust 2020-F | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2157328 | PA      | $2012567.35   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust               | Progress Residential 2022-SFR4 Trust             | CUSIP: 74332XAC5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |  14808453 | PA      | $14814534.83  | 0.32%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389AXM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1495 | PA      | $1543.46      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389K3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15888 | PA      | $16619.31     | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8272 | PA      | $8699.74      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387H6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3109 | PA      | $3229.75      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US 5YR NOTE (CBT) SEP25                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1115 | NC      | $1251458.16   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DPZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3410274 | PA      | $3216593.71   | 0.07%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13120485 | PA      | $12583842.84  | 0.27%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387NSV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1227 | PA      | $1269.72      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31388LYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $532.51       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389XQ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10256 | PA      | $10713.74     | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140A1ET0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11319358 | PA      | $11700542.12  | 0.25%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389AMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4201 | PA      | $4436.70      | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389PR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18151 | PA      | $19142.91     | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103205 | PA      | $109490.94    | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146052 | PA      | $150866.13    | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133B0SD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38743444 | PA      | $32438145.66  | 0.71%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KL3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6609249 | PA      | $5962554.20   | 0.13%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MRAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19283170 | PA      | $18103655.15  | 0.39%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MRE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13896676 | PA      | $12532585.45  | 0.27%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MAWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22530796 | PA      | $19667149.45  | 0.43%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QNQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17478261 | PA      | $14000705.56  | 0.31%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QRV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23473422 | PA      | $21881720.21  | 0.48%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140X7UJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2702069 | PA      | $2270765.13   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132CXCN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28233480 | PA      | $25939989.63  | 0.57%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132D6C40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24593183 | PA      | $24548367.04  | 0.53%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DN2Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30134962 | PA      | $29758088.63  | 0.65%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DPBQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8829625 | PA      | $7387130.19   | 0.16%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133WCPB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19260818 | PA      | $19300857.58  | 0.42%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136AWQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2242383 | PA      | $2194582.22   | 0.05%             | 2047-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XDYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9842438 | PA      | $7887216.91   | 0.17%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4831822 | PA      | $4627626.78   | 0.10%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22350835 | PA      | $20906845.54  | 0.46%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29056997 | PA      | $25400197.00  | 0.55%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJS20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40151187 | PA      | $36360533.81  | 0.79%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 105296587 | PA      | $84115957.71  | 1.83%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XKJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21813492 | PA      | $21421396.52  | 0.47%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XKKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12862647 | PA      | $10359709.96  | 0.23%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XLPJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23703997 | PA      | $20772720.69  | 0.45%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XLTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18805900 | PA      | $15609581.69  | 0.34%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QFS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24316406 | PA      | $20207057.47  | 0.44%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QNKY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10641419 | PA      | $8570709.15   | 0.19%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XMN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21605892 | PA      | $21808304.20  | 0.48%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410CHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166166 | PA      | $171827.71    | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QSKY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5371088 | PA      | $5277060.64   | 0.11%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140W1SM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44274047 | PA      | $42563497.01  | 0.93%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31413EY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41074 | PA      | $43145.65     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416L5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256792 | PA      | $270652.19    | 0.01%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136B6ZQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10880268 | PA      | $10700851.52  | 0.23%             | 2059-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371KA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12624 | PA      | $13412.43     | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                               | CUSIP: 3137HAQH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11914407 | PA      | $11549880.11  | 0.25%             | 2049-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                               | CUSIP: 3137HH4K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26730110 | PA      | $26572132.46  | 0.58%             | 2054-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7551092 | PA      | $7311718.42   | 0.16%             | 2037-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36202EYL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61456 | PA      | $63435.67     | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DPG36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9066925 | PA      | $7866357.90   | 0.17%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37841478 | PA      | $31943130.84  | 0.70%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1398703 | PA      | $1384090.82   | 0.03%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620AM4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39490 | PA      | $39001.40     | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620C3BR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500234 | PA      | $483330.47    | 0.01%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210MTM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2771 | PA      | $2815.89      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210U5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11068 | PA      | $11301.19     | 0.00%             | 2030-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211BU77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3805 | PA      | $3899.45      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  61109230 | PA      | $51526850.23  | 1.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6589201 | PA      | $5572438.68   | 0.12%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36290TNT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43296 | PA      | $44905.52     | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36295FJM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36831 | PA      | $38232.52     | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387WGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59822 | PA      | $63235.37     | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389XNG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68091 | PA      | $71163.41     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21521289 | PA      | $18631265.86  | 0.41%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13418231 | PA      | $13439108.19  | 0.29%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Government National Mortgage Association         | CUSIP: 38384MM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16813014 | PA      | $16760247.83  | 0.37%             | 2054-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2022-3                  | CUSIP: 46654UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26571126 | PA      | $22588571.60  | 0.49%             | 2052-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132E0B92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42879118 | PA      | $34562087.34  | 0.75%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132E0CV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22437648 | PA      | $21570758.09  | 0.47%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust               | Progress Residential 2022-SFR2 Trust             | CUSIP: 74332VAG0<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $13639284.40  | 0.30%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                   | Sequoia Mortgage Trust 2012-6                    | CUSIP: 81744NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1319151 | PA      | $1131921.62   | 0.02%             | 2042-12-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132E0VL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31795748 | PA      | $26472109.65  | 0.58%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133ADUS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20738223 | PA      | $16553724.68  | 0.36%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US ULTRA BOND CBT SEP25                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       120 | NC      | $179718.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                   | US 2YR NOTE (CBT) SEP25                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       669 | NC      | $439211.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29784375 | PA      | $24899889.76  | 0.54%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XBR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11054693 | PA      | $9973024.05   | 0.22%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BGDZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1537210 | PA      | $1443182.06   | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BKHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8176770 | PA      | $7868522.22   | 0.17%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149184 | PA      | $155786.57    | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50467 | PA      | $52164.51     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BXU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17251485 | PA      | $17041126.00  | 0.37%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133CWYT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14573205 | PA      | $14330151.91  | 0.31%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133D1NJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26882327 | PA      | $26433980.53  | 0.58%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KH3D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16643832 | PA      | $13825908.43  | 0.30%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KJWS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7089695 | PA      | $5701251.95   | 0.12%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136BRNL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19073209 | PA      | $18964661.35  | 0.41%             | 2053-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140KDMR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17239154 | PA      | $13787623.41  | 0.30%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140LVSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11580089 | PA      | $9628680.81   | 0.21%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371G6Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4948 | PA      | $5001.37      | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371J5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1047 | PA      | $1114.11      | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QL7B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  57446330 | PA      | $48097232.73  | 1.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QMZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15591401 | PA      | $13019873.82  | 0.28%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XCAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4319328 | PA      | $3973855.05   | 0.09%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XD5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5319229 | PA      | $4287486.88   | 0.09%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                               | CUSIP: 3137BVXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8798725 | PA      | $8670834.60   | 0.19%             | 2047-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                               | CUSIP: 3137HC4T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8093795 | PA      | $8042185.92   | 0.18%             | 2054-04-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QUGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17445884 | PA      | $17205894.44  | 0.37%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XCQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35566785 | PA      | $29889618.33  | 0.65%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XKMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33863171 | PA      | $30750823.91  | 0.67%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XMC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32633177 | PA      | $26048549.03  | 0.57%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                               | CUSIP: 3137HDLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37595190 | PA      | $37539221.54  | 0.82%             | 2054-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31382F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       840 | PA      | $853.73       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XN5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  91085191 | PA      | $72535500.57  | 1.58%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31415VKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23229 | PA      | $24497.36     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26405812 | PA      | $20978702.24  | 0.46%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2024797 | PA      | $1683249.22   | 0.04%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XGCF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7797536 | PA      | $7188485.77   | 0.16%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJEM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16818711 | PA      | $15758407.50  | 0.34%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XN3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35567286 | PA      | $28357278.09  | 0.62%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XRCL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  58348575 | PA      | $50932517.56  | 1.11%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31425YQN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29730109 | PA      | $30243390.62  | 0.66%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                      | Freddie Mac STACR REMIC Trust 2023-DNA1          | CUSIP: 35564KP37<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | USGSE             | US        |   1956253 | PA      | $1988770.13   | 0.04%             | 2043-03-25      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387FEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4051 | PA      | $4275.65      | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389K5Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19080 | PA      | $20169.53     | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389XCN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80648 | PA      | $85492.10     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138A2CK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6360 | PA      | $6334.90      | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410SQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15537 | PA      | $16355.71     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31417Y6Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457726 | PA      | $463056.10    | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138A4Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12441 | PA      | $12376.23     | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138AAL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316745 | PA      | $327528.00    | 0.01%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31402QSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454676 | PA      | $468592.58    | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31406TC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13401 | PA      | $13792.76     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7056519 | PA      | $7082934.76   | 0.15%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32007764 | PA      | $32198130.58  | 0.70%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31409JYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64744 | PA      | $68025.84     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140AQ3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13790077 | PA      | $13522854.74  | 0.29%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36181BRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    544461 | PA      | $507335.50    | 0.01%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36201CNF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36856 | PA      | $37975.03     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140AVRH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7221245 | PA      | $7100808.73   | 0.15%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140KGSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7547841 | PA      | $6383153.65   | 0.14%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36179YAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24325162 | PA      | $24477437.56  | 0.53%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36179YMH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34308482 | PA      | $32868719.85  | 0.72%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140KNGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13163462 | PA      | $11062311.23  | 0.24%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MAEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4831744 | PA      | $4057481.63   | 0.09%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MX2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5683662 | PA      | $5469399.63   | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140N3AF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14243767 | PA      | $13725724.50  | 0.30%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36208E4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3178 | PA      | $3208.20      | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620A94G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140884 | PA      | $139384.15    | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QFFF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30887092 | PA      | $25648026.13  | 0.56%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QM2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20907991 | PA      | $19248774.64  | 0.42%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6843193 | PA      | $5742329.09   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QNC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9599054 | PA      | $8311828.61   | 0.18%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QNUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55821785 | PA      | $47016183.02  | 1.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XDQA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27371478 | PA      | $21745897.73  | 0.47%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211PA86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21504 | PA      | $22171.02     | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211SAT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8755 | PA      | $8990.66      | 0.00%             | 2030-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XDRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30010896 | PA      | $24939207.92  | 0.54%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XFRA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11662272 | PA      | $9684118.78   | 0.21%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36212P5E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       866 | PA      | $897.07       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36225BLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3729 | PA      | $3805.24      | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XH7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30794701 | PA      | $30498591.90  | 0.66%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4310077 | PA      | $3746106.72   | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36200XHQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7428 | PA      | $7686.63      | 0.00%             | 2031-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36201XQG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40715 | PA      | $42277.86     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJGS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8959032 | PA      | $9028965.58   | 0.20%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJUE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  66746238 | PA      | $56092210.52  | 1.22%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209R5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27318 | PA      | $28174.77     | 0.00%             | 2030-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620AS3K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    808498 | PA      | $780343.02    | 0.02%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XMC20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20105168 | PA      | $16029557.04  | 0.35%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XMSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23205906 | PA      | $21415094.22  | 0.47%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410UYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11352 | PA      | $12085.03     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31415RGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106754 | PA      | $110562.12    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241KXB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83355 | PA      | $85448.73     | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Government National Mortgage Association         | CUSIP: 38383VL30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25197397 | PA      | $24796315.08  | 0.54%             | 2053-02-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210A5T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1326 | PA      | $1361.30      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36213UR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26327 | PA      | $27167.33     | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416AJP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9621 | PA      | $10143.03     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416BXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67199 | PA      | $66649.75     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38353215 | PA      | $39069307.88  | 0.85%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31419JTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7105 | PA      | $7070.54      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit | Ford Credit Auto Owner Trust 2023-REV1           | CUSIP: 34535QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20562000 | PA      | $20875302.17  | 0.45%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25275180 | PA      | $23051833.63  | 0.50%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 145000000 | PA      | $144943290.50 | 3.16%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2HA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8564 | PA      | $8864.12      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federated Government Obligations Fund    | Federated Hermes Government Obligations Fund     | CUSIP: 608919718<br>LEI: 254900VAJ9169N7JRF45 | Long             | STIV             | RF                | US        | 127099836 | NS      | $127099835.50 | 2.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Sequoia Mortgage Trust                   | Sequoia Mortgage Trust 2013-2                    | CUSIP: 81745MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2311939 | PA      | $1960408.02   | 0.04%             | 2043-02-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US 10YR NOTE (CBT)SEP25                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       665 | NC      | $1056449.72   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                   | US 10YR ULTRA FUT SEP25                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       100 | NC      | $264597.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1609208 | PA      | $1548544.20   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DSMD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23268531 | PA      | $21449874.17  | 0.47%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BB3X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8556659 | PA      | $8262969.03   | 0.18%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KNHL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30448788 | PA      | $25284067.23  | 0.55%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 3617BRAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7485098 | PA      | $6893915.97   | 0.15%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3617GSY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2611824 | PA      | $2448143.79   | 0.05%             | 2048-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                | CUSIP: 3136BSCM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28102629 | PA      | $27840953.93  | 0.61%             | 2054-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371LR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228140 | PA      | $238303.36    | 0.01%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241K5Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188993 | PA      | $191049.28    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241LPY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1343758 | PA      | $1300271.59   | 0.03%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36181LUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351591 | PA      | $327617.09    | 0.01%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36197FN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6072352 | PA      | $5598442.91   | 0.12%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31385HUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4475 | PA      | $4706.09      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31401HUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       353 | PA      | $370.48       | 0.00%             | 2033-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36207TSJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4862 | PA      | $4985.47      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36208QTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2852 | PA      | $2891.05      | 0.00%             | 2029-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209EVF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5605 | PA      | $5754.99      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209JLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1961 | PA      | $2017.14      | 0.00%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209PNM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2502 | PA      | $2538.89      | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379691 | PA      | $375624.12    | 0.01%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210AXX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2086 | PA      | $2141.53      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241KY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114977 | PA      | $113991.35    | 0.00%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36295QHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83686 | PA      | $82763.70     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36296QH85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125238 | PA      | $128496.52    | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Government National Mortgage Association         | CUSIP: 38384QRD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8681188 | PA      | $8613468.90   | 0.19%             | 2053-09-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | J.P. Morgan Mortgage Trust 2022-6                | CUSIP: 46655KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5008963 | PA      | $4258205.40   | 0.09%             | 2052-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241LS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    642673 | PA      | $620844.64    | 0.01%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust      | GS Mortgage-Backed Securities Trust 2023-PJ1     | CUSIP: 36267TAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31242372 | PA      | $27590919.86  | 0.60%             | 2053-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140AXJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9059692 | PA      | $8887360.13   | 0.19%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140N6T28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18926918 | PA      | $18194188.99  | 0.40%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust               | Navient Private Education Refi Loan Trust 2020-G | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4498233 | PA      | $4190141.21   | 0.09%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust               | Progress Residential 2023-SFR2 Trust             | CUSIP: 74331GAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5650000 | PA      | $5478271.36   | 0.12%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QNEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30822335 | PA      | $24718677.41  | 0.54%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QNLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15504666 | PA      | $12291387.68  | 0.27%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QNZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2967431 | PA      | $2789237.64   | 0.06%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140X97F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10442984 | PA      | $9060211.00   | 0.20%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust               | Progress Residential 2022-SFR1 Trust             | CUSIP: 74333YAJ7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |  16726000 | PA      | $15841458.87  | 0.35%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I            | RFMSI Series 2005-SA3 Trust                      | CUSIP: 76111XWD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93204 | PA      | $88041.32     | 0.00%             | 2035-08-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36296XJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230258 | PA      | $232743.11    | 0.01%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust         | SMB Private Education Loan Trust 2020-B          | CUSIP: 78449XAB8<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   5706885 | PA      | $5724654.18   | 0.12%             | 2053-07-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SMB Private Education Loan Trust         | SMB Private Education Loan Trust 2018-A          | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   2651631 | PA      | $2647472.07   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XCAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29464609 | PA      | $25498696.58  | 0.56%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHXF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27057004 | PA      | $22738167.58  | 0.50%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36179YFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  65433184 | PA      | $64590489.20  | 1.41%             | 2053-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | J.P. Morgan Mortgage Trust 2022-4                | CUSIP: 46655GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5589800 | PA      | $4751984.79   | 0.10%             | 2052-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XLNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22071076 | PA      | $17576255.42  | 0.38%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XNTQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4204724 | PA      | $4042272.53   | 0.09%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31417Y3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24580 | PA      | $24453.18     | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37892085 | PA      | $30305536.17  | 0.66%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416868 | PA      | $412274.80    | 0.01%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Government National Mortgage Association         | CUSIP: 38384CKA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4516866 | PA      | $4507708.04   | 0.10%             | 2053-08-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust               | Progress Residential 2024-SFR1 Trust             | CUSIP: 74331QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13400000 | PA      | $12675877.40  | 0.28%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132E0EC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9988051 | PA      | $8362546.78   | 0.18%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QNL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33758904 | PA      | $28085470.23  | 0.61%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410GF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166322 | PA      | $171919.42    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210JJ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5862 | PA      | $6039.96      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-22

**Name of Applicant:** Federated Hermes Core Trust

**Signature:** Stephen Van Meter

**Name of Signer:** Federated Hermes Core Trust

**Title:** Chief Compliance Officer