# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-25-027886
**Filing Date:** 2025-11
**Character Count:** 164094
**Document Hash:** 3e836df0c7e6ca0bc95ef431a5a7678b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-027886.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0001410368-25-027886

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251121

**DATE AS OF CHANGE**: 20251121

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GOLDMAN SACHS TRUST
- **CENTRAL INDEX KEY:** 0000822977

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05349
- **FILM NUMBER:** 251505254

**BUSINESS ADDRESS:**
- **STREET 1:** 71  SOUTH WACKER DRIVE
- **STREET 2:** C/O GOLDMAN SACHS & CO
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60606
- **BUSINESS PHONE:** 3126554400

**MAIL ADDRESS:**
- **STREET 1:** 200 WEST STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10282

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19910711

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19900104

## Series and Classes Contracts Data

### Goldman Sachs Government Income Fund (Series ID: S000009304)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000025394 | Institutional   | GSOIX           |
| C000025395 | Service         | GSOSX           |
| C000025396 | Class A         | GSGOX           |
| C000025398 | Class C         | GSOCX           |
| C000058953 | Class R         | GSORX           |
| C000058954 | Investor Shares | GSOTX           |
| C000161287 | Class R6 Shares | GSOUX           |
| C000202035 | Class P Shares  | GGTPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GOLDMAN SACHS TRUST

- **b. Investment Company Act file number:** 811-05349

- **c. CIK number of Registrant:** 0000822977

- **d. LEI of Registrant:** S2FHCT8U6D2VORP0J605

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

  - **Street Address 1:** 71  SOUTH WACKER DRIVE

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-655-4400

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

- **a. Name of Series:** Goldman Sachs Government Income Fund

- **b. EDGAR series identifier (if any):** S000009304

- **c. LEI of Series:** LY03WWZZ885PZ7XM7X15

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $194310074.05

**Total Liabilities:** $65369455.35

**Net Assets:** $128940618.70

**Delayed Delivery Securities:** $412914.93

**Cash Not Reported:** $2219495.33

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -76.31000000 | **1-Year:** -1185.11000000 | **5-Year:** -5053.23000000 | **10-Year:** -2354.42000000 | **30-Year:** -172.85000000

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

- **3-Month:** -0.12000000 | **1-Year:** -1.48000000 | **5-Year:** -1.07000000 | **10-Year:** -0.37000000 | **30-Year:** -0.04000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000161287 | -0.46%               | 1.38%                | 0.83%                |
| Class ID C000058954 | -0.47%               | 1.38%                | 0.82%                |
| Class ID C000025395 | -0.43%               | 1.26%                | 0.87%                |
| Class ID C000025396 | -0.41%               | 1.28%                | 0.80%                |
| Class ID C000025398 | -0.55%               | 1.29%                | 0.74%                |
| Class ID C000058953 | -0.43%               | 1.26%                | 0.86%                |
| Class ID C000202035 | -0.46%               | 1.38%                | 0.83%                |
| Class ID C000025394 | -0.39%               | 1.31%                | 0.91%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1535.71                | $-1005897.82                               |
| Month 2  | $143761.49               | $1313956.48                                |
| Month 3  | $81431.36                | $624786.02                                 |

### Schedule of Portfolio Investments

| Name                                           | Title                                                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138W7WP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19100 | PA      | $17663.07     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36290NBS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2815 | PA      | $2871.73      | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4870000 | PA      | $4309189.06   | 3.34%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31401DNK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159653 | PA      | $162029.41    | 0.13%             | 2033-05-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MKQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28741 | PA      | $26710.42     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    697822 | PA      | $624295.63    | 0.48%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4559 | PA      | $4593.97      | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36208CFB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2187 | PA      | $2207.34      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138NXRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9545 | PA      | $8959.58      | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                  | TYSN 2023-CRNR Mortgage Trust                                                                 | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $163595.89    | 0.13%             | 2033-12-10      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CB62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6067 | PA      | $6096.48      | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36201SQC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14618 | PA      | $15060.74     | 0.01%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    852475 | PA      | $895575.74    | 0.69%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3133KGR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    942029 | PA      | $846487.65    | 0.66%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MJGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13323 | PA      | $12378.43     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CNY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       886 | PA      | $896.99       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36291GXG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7540 | PA      | $7720.96      | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BR247831  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247831  IRS USD P F  3.80536 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2800000 | OU      | $-22721.44    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 31296LVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4170 | PA      | $4238.98      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138069 | PA      | $133520.66    | 0.10%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179N5W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1619 | PA      | $1567.37      | 0.00%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                             | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160838 | PA      | $162026.74    | 0.13%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: SR236074  IRS USD R F  4.57424 2 CCPOIS / Short: SR236074  IRS USD P V 00MSOFR 1 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7450000 | OU      | $28323.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2544007 | PA      | $2072924.11   | 1.61%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138ERH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54208 | PA      | $51921.21     | 0.04%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       960 | PA      | $963.73       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31418BZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23368 | PA      | $22549.53     | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WRNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22470 | PA      | $20762.74     | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31417G4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355674 | PA      | $328612.17    | 0.25%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1636425 | PA      | $1391037.37   | 1.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: SR234635  IRS USD R F  4.09811 2 CCPOIS / Short: SR234635  IRS USD P V 00MSOFR 1 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   4640000 | OU      | $28272.91     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1048317 | PA      | $940014.92    | 0.73%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36210AT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50843 | PA      | $52784.81     | 0.04%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3132AD6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220437 | PA      | $216918.05    | 0.17%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116626 | PA      | $112278.41    | 0.09%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31371KA50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16180 | PA      | $16957.40     | 0.01%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3132GVL67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4493 | PA      | $4133.09      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128M4EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1013 | PA      | $1031.06      | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31418EEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152763 | PA      | $149016.78    | 0.12%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                             | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22351 | PA      | $24004.80     | 0.02%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36213X3S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7379 | PA      | $7569.07      | 0.01%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    620351 | PA      | $593495.11    | 0.46%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 31283Y5M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6625 | PA      | $6659.56      | 0.01%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36209Q3H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27824 | PA      | $28482.16     | 0.02%             | 2029-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43943 | PA      | $43584.66     | 0.03%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31418CCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9633 | PA      | $9226.26      | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CME3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       126 | PA      | $126.51       | 0.00%             | 2029-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CEF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       842 | PA      | $844.46       | 0.00%             | 2027-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140HBH76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225138 | PA      | $216464.71    | 0.17%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138W1LY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6048 | PA      | $5600.53      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179MQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1131 | PA      | $1098.35      | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                    | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E                                     | CUSIP: 59020UJR7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     16386 | PA      | $15795.27     | 0.01%             | 2029-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CL20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4391 | PA      | $4426.00      | 0.00%             | 2029-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31417MFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5530 | PA      | $5542.40      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust 2024-BIO                                                                             | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $424010.17    | 0.33%             | 2041-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                             | CUSIP: 3136A1MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146228 | PA      | $147292.74    | 0.11%             | 2041-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MRK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46350 | PA      | $43186.55     | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36200NTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86735 | PA      | $89850.25     | 0.07%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WVN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28050 | PA      | $25876.13     | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2415 | PA      | $2430.50      | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138NYAR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13034 | PA      | $11976.57     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31410GDN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2128 | PA      | $2170.17      | 0.00%             | 2033-06-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WPGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23033 | PA      | $21323.89     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36201SSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4916 | PA      | $5054.42      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CCG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       923 | PA      | $928.20       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust 2024-MGP                                                | CUSIP: 95003TAS2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $298693.22    | 0.23%             | 2041-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36200N3F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56742 | PA      | $58890.26     | 0.05%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5372 | PA      | $5397.72      | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BR247833  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247833  IRS USD P F  3.25306 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   3360000 | OU      | $10093.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2021-8                                                             | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57136 | PA      | $52891.07     | 0.04%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138EPK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369559 | PA      | $368972.02    | 0.29%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    680000 | PA      | $524237.50    | 0.41%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36295PZ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18514 | PA      | $18916.66     | 0.01%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140Q8G58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336924 | PA      | $324154.36    | 0.25%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4326 | PA      | $4379.72      | 0.00%             | 2030-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US 2YR NOTE (CBT) DEC25                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       119 | NC      | $6236.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Madison Avenue Trust                           | MAD Commercial Mortgage Trust 2025-11MD                                                       | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419000 | PA      | $417790.91    | 0.32%             | 2042-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31407KRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63650 | PA      | $65127.08     | 0.05%             | 2035-09-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10193 | PA      | $9943.38      | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WMWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64089 | PA      | $59295.76     | 0.05%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1828 | PA      | $1776.53      | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust 2024-PAT                                                                             | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $149973.79    | 0.12%             | 2041-03-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US ULTRA BOND CBT DEC25                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         6 | NC      | $-4574.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CEP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2345 | PA      | $2352.26      | 0.00%             | 2027-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1670000 | PA      | $1661519.54   | 1.29%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31403BAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65461 | PA      | $67341.07     | 0.05%             | 2033-10-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury STRIPS Coupon                                                                   | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    440000 | PA      | $318336.77    | 0.25%             | 2033-08-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31416NFG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2739 | PA      | $2745.03      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WWKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19660 | PA      | $18206.71     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2417812.50   | 1.88%             | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US 5YR NOTE (CBT) DEC25                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -96 | NC      | $3761.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank5                                          | BANK5 2025-5YR17                                                                              | CUSIP: 06211GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $412107.16    | 0.32%             | 2058-11-15      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                                      | CUSIP: 38382XAA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1077221 | PA      | $896867.06    | 0.70%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                         | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    913932 | PA      | $731752.12    | 0.57%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138W4AP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10807 | PA      | $9981.01      | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Scholar Funding Trust                          | Scholar Funding Trust 2013-A                                                                  | CUSIP: 80705XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760728 | PA      | $748864.96    | 0.58%             | 2045-01-30      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31417KUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1218 | PA      | $1187.40      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12081 | PA      | $11357.89     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140JS3X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636330 | PA      | $625697.98    | 0.49%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138NXMW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3824 | PA      | $3511.73      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140QEXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2238830 | PA      | $1930301.15   | 1.50%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WVH46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15892 | PA      | $14642.43     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345262 | PA      | $309337.73    | 0.24%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36200KFF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6300 | PA      | $6444.25      | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14530 | PA      | $14717.64     | 0.01%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31417GFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87788 | PA      | $81191.81     | 0.06%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179U6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1636628 | PA      | $1468179.54   | 1.14%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury STRIPS Coupon                                                                   | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    440000 | PA      | $365026.77    | 0.28%             | 2030-08-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6049921.80   | 4.69%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                 | BSTN Commercial Mortgage Trust 2025-1C                                                        | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $256593.81    | 0.20%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                                                                    | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1721595.60   | 1.34%             | 2055-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CEL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         7 | PA      | $6.91         | 0.00%             | 2027-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138M6P76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4736 | PA      | $4407.78      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                             | BMO 2023-C4 Mortgage Trust                                                                    | CUSIP: 05610CAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $229925.98    | 0.18%             | 2056-02-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MRXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13090 | PA      | $12135.25     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2019-BNK24                                                                               | CUSIP: 06540VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $565298.35    | 0.44%             | 2062-11-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                            | CUSIP: 3137B4PT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28277 | PA      | $29561.12     | 0.02%             | 2036-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1260000 | PA      | $1292484.38   | 1.00%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| LCH Ltd.                                       | Long: SR247830  IRS USD R F  3.37935 2 CCPOIS / Short: SR247830  IRS USD P V 00MSOFR 1 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5070000 | OU      | $-546.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5707 | PA      | $5772.36      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1170000 | PA      | $1161407.81   | 0.90%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WN5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54206 | PA      | $50144.70     | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2543819 | PA      | $2071883.47   | 1.61%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                             | CUSIP: 3136BUZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284168 | PA      | $283214.84    | 0.22%             | 2055-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BR248759  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR248759  IRS USD P F  3.29368 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   6580000 | OU      | $3553.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WQQ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9968 | PA      | $9250.56      | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                 | MSWF Commercial Mortgage Trust 2023-2                                                         | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $108096.55    | 0.08%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit       | Ford Credit Auto Owner Trust 2025-REV2                                                        | CUSIP: 34536BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $301565.75    | 0.23%             | 2038-02-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128KLSB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9958 | PA      | $10168.94     | 0.01%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust 2025-1                                                    | CUSIP: 30167MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69690 | PA      | $69731.11     | 0.05%             | 2027-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128M7LA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $1.81         | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 3622ABJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    477959 | PA      | $409580.44    | 0.32%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 31297KFM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26993 | PA      | $27486.65     | 0.02%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3437 | PA      | $3475.38      | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3132GTYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3106 | PA      | $2857.23      | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WMKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16413 | PA      | $15360.84     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BR219534  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR219534  IRS USD P F  3.49000 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     10000 | OU      | $-5.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRV Trust                                      | IRV Trust 2025-200P                                                                           | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $408877.52    | 0.32%             | 2047-03-14      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CCU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2025 | PA      | $2035.52      | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31417GAX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174470 | PA      | $161426.13    | 0.13%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                    | Houston Galleria Mall Trust 2025-HGLR                                                         | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $154967.24    | 0.12%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138Y16W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334003 | PA      | $330833.86    | 0.26%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 312943UP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       522 | PA      | $524.49       | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140QQUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589551 | PA      | $610382.32    | 0.47%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    794807 | PA      | $734195.93    | 0.57%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust Series 2024-3                                                        | CUSIP: 46657QAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333878 | PA      | $303444.67    | 0.24%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31391NCY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10896 | PA      | $11167.82     | 0.01%             | 2032-11-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                  | BLP Commercial Mortgage Trust 2024-IND2                                                       | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213486 | PA      | $213632.17    | 0.17%             | 2041-03-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Bank5                                          | BANK5 2024-5YR11                                                                              | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $210272.66    | 0.16%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CA97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2070 | PA      | $2077.33      | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619053 | PA      | $598085.53    | 0.46%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury STRIPS Coupon                                                                   | CUSIP: 912833XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1791200 | PA      | $1533677.04   | 1.19%             | 2029-11-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MR5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3516 | PA      | $3261.44      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128P7LU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39475 | PA      | $39592.72     | 0.03%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7012 | PA      | $7067.39      | 0.01%             | 2029-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3372 | PA      | $3279.75      | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury STRIPS Coupon                                                                   | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $706809.05    | 0.55%             | 2031-11-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2021-LTV2                                                          | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449527 | PA      | $378058.10    | 0.29%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3132GEV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1918 | PA      | $1956.33      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2092 | PA      | $2037.12      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140XK6T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    835876 | PA      | $718335.01    | 0.56%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128M7EX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       715 | PA      | $730.27       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MHKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5254 | PA      | $4886.42      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351950 | PA      | $356083.37    | 0.28%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2302884 | PA      | $1979771.26   | 1.54%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411010 | PA      | $416093.31    | 0.32%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36202SBG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3093 | PA      | $3145.55      | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493990 | PA      | $499791.13    | 0.39%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137447 | PA      | $132527.37    | 0.10%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138AMBC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       580 | PA      | $581.95       | 0.00%             | 2036-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140QNCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2524511 | PA      | $2045623.64   | 1.59%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    680000 | PA      | $511168.75    | 0.40%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36202KYL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       460 | PA      | $460.20       | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MP2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3120 | PA      | $2904.84      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1347 | PA      | $1351.40      | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US LONG BOND(CBT) DEC25                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         8 | NC      | $3390.49      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank5                                          | BANK5 2025-5YR15                                                                              | CUSIP: 065924AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $259960.01    | 0.20%             | 2058-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2187 | PA      | $2214.18      | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36201SSM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8399 | PA      | $8626.11      | 0.01%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36291NPZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10178 | PA      | $10513.60     | 0.01%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust 2021-7                                                               | CUSIP: 03464JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369880 | PA      | $321792.92    | 0.25%             | 2066-10-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31416CCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       608 | PA      | $608.30       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 31297KC91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12957 | PA      | $13194.51     | 0.01%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: SR239730  IRS USD R F  3.37296 2 CCPOIS / Short: SR239730  IRS USD P V 00MSOFR 1 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2900000 | OU      | $-90.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5959 | PA      | $5945.61      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                          | Arroyo Mortgage Trust 2022-1                                                                  | CUSIP: 042855AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142283 | PA      | $137198.94    | 0.11%             | 2056-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31418MUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98049 | PA      | $98271.75     | 0.08%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust 2024-PMDW                                                                           | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $152613.45    | 0.12%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MFW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5669 | PA      | $5248.01      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138A46M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6071 | PA      | $6094.06      | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128M9NX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7011 | PA      | $6448.84      | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31417GL20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98685 | PA      | $91333.00     | 0.07%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2826914.10   | 2.19%             | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140JAEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611934 | PA      | $620069.64    | 0.48%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36200NXX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65605 | PA      | $68128.00     | 0.05%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust  | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                              | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $127523.72    | 0.10%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2022-B37 Mortgage Trust                                                             | CUSIP: 08161QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $106450.05    | 0.08%             | 2055-11-15      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145776 | PA      | $140342.46    | 0.11%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 3622ABJ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273434 | PA      | $234315.79    | 0.18%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund | Goldman Sachs Financial Square Government Fund                                                | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | EC               | RF                | US        |   1998565 | NS      | $1998565.41   | 1.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust                                                           | CUSIP: 30166XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $201335.00    | 0.16%             | 2029-07-16      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138W3FS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28889 | PA      | $26879.31     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20057 | PA      | $19565.75     | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2634960.90   | 2.04%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3132DMKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1381469 | PA      | $1366134.75   | 1.06%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MRD24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5203 | PA      | $4840.83      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 31334XD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39545 | PA      | $36783.63     | 0.03%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust 2025-5C4                                                | CUSIP: 949931AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $314259.05    | 0.24%             | 2058-05-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2020-BNK29                                                                               | CUSIP: 06541TBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $525141.23    | 0.41%             | 2053-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX 2022-J2 Trust                                                                             | CUSIP: 67115QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193961 | PA      | $174655.69    | 0.14%             | 2052-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit       | Ford Credit Auto Owner Trust 2024-REV1                                                        | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325000 | PA      | $332474.01    | 0.26%             | 2036-08-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $913710.90    | 0.71%             | 2055-10-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MN5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22870 | PA      | $21333.39     | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $471037.50    | 0.37%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6469 | PA      | $6509.99      | 0.01%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WXWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14406 | PA      | $13308.71     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140Q9CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221871 | PA      | $213323.83    | 0.17%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                | Durst Commercial Mortgage Trust 2025-151                                                      | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $305214.14    | 0.24%             | 2042-08-10      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WMZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12401 | PA      | $11516.14     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BR236075  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR236075  IRS USD P F  3.84826 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5780000 | OU      | $-5918.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31402N2R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141204 | PA      | $145371.42    | 0.11%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                     | ROCK Trust 2024-CNTR                                                                          | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $463482.17    | 0.36%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307084 | PA      | $310882.46    | 0.24%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445246 | PA      | $440642.70    | 0.34%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                                                                    | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1000000 | PA      | $-940307.60   | -0.73%            | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury STRIPS Coupon                                                                   | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    440000 | PA      | $361127.10    | 0.28%             | 2030-11-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                                                                     | CUSIP: 31342A6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70989 | PA      | $72373.22     | 0.06%             | 2033-09-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3132HRPU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5889 | PA      | $5434.88      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WHGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27389 | PA      | $26233.82     | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1033398.40   | 0.80%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust 2020-3                                                               | CUSIP: 03465LAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $140738.85    | 0.11%             | 2065-04-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2906 | PA      | $2928.12      | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                | Barclays Dryrock Issuance Trust                                                               | CUSIP: 06742LBF9<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |    275000 | PA      | $274447.80    | 0.21%             | 2031-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                  | ECMC Group Student Loan Trust 2018-2                                                          | CUSIP: 26829GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    697483 | PA      | $686513.15    | 0.53%             | 2068-09-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11548 | PA      | $11695.33     | 0.01%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36290XLG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7217 | PA      | $7400.00      | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CKX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4610 | PA      | $4657.94      | 0.00%             | 2029-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140Q8QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391611 | PA      | $376769.00    | 0.29%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    570000 | PA      | $563943.75    | 0.44%             | 2040-05-15      | Fixed         | 4.38%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128M7P91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26130 | PA      | $26645.93     | 0.02%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2021-BNK37                                                                               | CUSIP: 06540LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $534244.48    | 0.41%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8498 | PA      | $8139.08      | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust 2017-4                                                              | CUSIP: 89173UAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1030153 | PA      | $978478.98    | 0.76%             | 2057-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36206JCT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1073 | PA      | $1074.43      | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bank5                                          | BANK5 2024-5YR10                                                                              | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $205967.77    | 0.16%             | 2057-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MQTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15235 | PA      | $14200.70     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CPN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23997 | PA      | $24288.99     | 0.02%             | 2030-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC    | BBCMS Mortgage Trust 2025-5C36                                                                | CUSIP: 05556CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $312686.55    | 0.24%             | 2058-08-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3132DPHR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151590 | PA      | $157230.23    | 0.12%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36201U5P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9756 | PA      | $10022.74     | 0.01%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140EWUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30154 | PA      | $28882.50     | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140Q9ME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140312 | PA      | $134818.42    | 0.10%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                     | BFLD Commercial Mortgage Trust 2024-UNIV                                                      | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $450650.76    | 0.35%             | 2041-11-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                                                                    | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $4962457.80   | 3.85%             | 2055-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140GRYD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15738 | PA      | $15639.55     | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MPDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16821 | PA      | $15543.76     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226059 | PA      | $228854.69    | 0.18%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7940000 | PA      | $7464220.35   | 5.79%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1612 | PA      | $1628.07      | 0.00%             | 2029-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                                                                    | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2014839.80   | 1.56%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    814588 | PA      | $800565.20    | 0.62%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BR234637  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR234637  IRS USD P F  3.59995 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  19050000 | OU      | $-61133.36    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       350 | PA      | $355.93       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX 2021-NQM4 Trust                                                                           | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384871 | PA      | $330455.13    | 0.26%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2021-BNK31                                                                               | CUSIP: 06541ABP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $214649.06    | 0.17%             | 2054-02-15      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                                                                    | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3000000 | PA      | $-2679549.30  | -2.08%            | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140QQGB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762524 | PA      | $779414.66    | 0.60%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1630000 | PA      | $1414534.38   | 1.10%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36290QX75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6045 | PA      | $6161.87      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3132GFKT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61450 | PA      | $62770.46     | 0.05%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust      | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3                             | CUSIP: 06427DAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $148631.21    | 0.12%             | 2050-02-15      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $2148890.63   | 1.67%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                         | US 10YR NOTE (CBT)DEC25                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        57 | NC      | $8367.05      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138EP2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45192 | PA      | $45105.56     | 0.03%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179QDZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1984 | PA      | $1920.70      | 0.00%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank5                                          | BANK5 2024-5YR12                                                                              | CUSIP: 06644XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $420707.94    | 0.33%             | 2057-12-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7559 | PA      | $7632.85      | 0.01%             | 2030-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       567 | PA      | $551.26       | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36213FHY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220226 | PA      | $227031.25    | 0.18%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64149 | PA      | $65542.92     | 0.05%             | 2035-02-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 31292MA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2801 | PA      | $2734.94      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173550 | PA      | $171902.11    | 0.13%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3133KQDS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277954 | PA      | $287775.44    | 0.22%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179V4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109835 | PA      | $101459.51    | 0.08%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3133KNGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4015931 | PA      | $3255528.45   | 2.52%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140L7CR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5854 | PA      | $5730.31      | 0.00%             | 2051-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2189 | PA      | $2203.53      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -10000000 | PA      | $-8059375.00  | -6.25%            | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust         | Santander Drive Auto Receivables Trust 2025-1                                                 | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275000 | PA      | $275941.23    | 0.21%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138W02A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1623 | PA      | $1565.62      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93484 | PA      | $92769.94     | 0.07%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2024-BNK47                                                                               | CUSIP: 06540GAV0<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $106338.22    | 0.08%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31417FY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44971 | PA      | $41639.47     | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                                                                    | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1000000 | PA      | $-994690.50   | -0.77%            | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138W02X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5037 | PA      | $4657.24      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                             | BMO 2023-C7 Mortgage Trust                                                                    | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $323074.99    | 0.25%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury STRIPS Coupon                                                                   | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    360000 | PA      | $235167.29    | 0.18%             | 2035-08-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36202K3W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        29 | PA      | $29.06        | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138MNJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5997 | PA      | $5602.39      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1770000 | PA      | $1417106.25   | 1.10%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust 2021-C59                                                | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $450157.53    | 0.35%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138M0XQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60000 | PA      | $60044.20     | 0.05%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138WHBX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3899 | PA      | $3867.52      | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4085937.60   | 3.17%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31418C6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791841 | PA      | $779942.33    | 0.60%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1694421.88   | 1.31%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 31296LKE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       221 | PA      | $224.28       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128LXFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5999 | PA      | $6112.85      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                         | Federal Home Loan Banks                                                                       | CUSIP: 3130AS2U2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   3620000 | PA      | $3496196.00   | 2.71%             | 2032-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8085300 | PA      | $8090985.02   | 6.27%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury                         | U.S. Treasury STRIPS Coupon                                                                   | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    470000 | PA      | $373329.92    | 0.29%             | 2031-08-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2000000 | PA      | $-1884609.40  | -1.46%            | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31371HDV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       667 | PA      | $673.72       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BR236073  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR236073  IRS USD P F  3.52786 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1300000 | OU      | $-6257.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CUK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17536 | PA      | $17795.66     | 0.01%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138NYHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9755 | PA      | $9026.10      | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $581812.50    | 0.45%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                                                                    | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $969722.50    | 0.75%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6450000 | PA      | $6524578.13   | 5.06%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150264 | PA      | $145001.96    | 0.11%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CN77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3128 | PA      | $3168.08      | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC    | BBCMS Mortgage Trust 2025-5C34                                                                | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $471700.31    | 0.37%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BR239731  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR239731  IRS USD P F  3.97712 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    770000 | OU      | $-6852.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                            | CUSIP: 3133TTRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51376 | PA      | $52750.76     | 0.04%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1570 | PA      | $1582.98      | 0.00%             | 2029-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: SR234636  IRS USD R F  3.36762 2 CCPOIS / Short: SR234636  IRS USD P V 00MSOFR 1 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  18070000 | OU      | $29632.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC    | BBCMS Mortgage Trust 2024-C24                                                                 | CUSIP: 07336VAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $131429.12    | 0.10%             | 2057-02-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140J7R98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153700 | PA      | $148115.45    | 0.11%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CKJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17280 | PA      | $17453.94     | 0.01%             | 2029-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1027 | PA      | $1038.25      | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     13000 | PA      | $12002.66     | 0.01%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6052800 | PA      | $5261680.16   | 4.08%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36225CNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7132 | PA      | $7221.94      | 0.01%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                             | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94243 | PA      | $102593.96    | 0.08%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2000000 | PA      | $-1684843.80  | -1.31%            | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2269 | PA      | $2310.94      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31417GMA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7740 | PA      | $7149.81      | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1754 | PA      | $1782.87      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Jersey Economic Development Authority      | NEW JERSEY ST ECON DEV AUTH LEASE REVENUE                                                     | CUSIP: 645913AA2<br>LEI: 5493006JS6QWDVU4R678 | Long             | DBT              | MUN               | US        |   2000000 | PA      | $2102503.00   | 1.63%             | 2029-02-15      | Fixed         | 7.42%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust   | American Express Credit Account Master Trust                                                  | CUSIP: 02582JKR0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $408060.68    | 0.32%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US 10YR ULTRA FUT DEC25                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -89 | NC      | $-103059.97   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3140Q8KG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110895 | PA      | $106899.99    | 0.08%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 31417FU63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140961 | PA      | $130433.21    | 0.10%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138W0FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15186 | PA      | $14050.02     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust Series 2024-VIS1                                                     | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199493 | PA      | $201670.99    | 0.16%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6220000 | PA      | $6475117.22   | 5.02%             | 2031-05-31      | Fixed         | 4.62%                 | No            |                  1 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust 2024-XL5                                                         | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158515 | PA      | $158508.35    | 0.12%             | 2041-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138ANZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28358 | PA      | $28393.11     | 0.02%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                              | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728656 | PA      | $591954.81    | 0.46%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5000000 | PA      | $-4849609.50  | -3.76%            | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $842421.90    | 0.65%             | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 31292L6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19801 | PA      | $18298.69     | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BR247832  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247832  IRS USD P F  3.06188 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3570000 | OU      | $2905.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 312941Z42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1575 | PA      | $1607.02      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1380000 | PA      | $1380646.88   | 1.07%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 31296NDL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       665 | PA      | $676.05       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48494 | PA      | $49124.16     | 0.04%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                                         | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1983359.40   | 1.54%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                                         | CUSIP: 3132L5TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4528 | PA      | $4418.52      | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                                           | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    287600 | PA      | $286431.63    | 0.22%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                               | CUSIP: 3138LSR85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7502 | PA      | $7031.97      | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                            | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123401 | PA      | $119655.61    | 0.09%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                            | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207643 | PA      | $207178.30    | 0.16%             | 2055-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                             | CUSIP: 36210KDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12525 | PA      | $12727.92     | 0.01%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                                           | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4100000 | PA      | $3420296.88   | 2.65%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  1 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust 2024-VLT5                                                        | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $203663.50    | 0.16%             | 2046-11-13      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-04

**Name of Applicant:** GOLDMAN SACHS TRUST

**Signature:** Peter Fortner

**Name of Signer:** Peter Fortner

**Title:** Vice President