# EDGAR Filing Document

**Accession Number:** 0000809981
**File Stem:** 0001752724-23-038100
**Filing Date:** 2023-2
**Character Count:** 199078
**Document Hash:** 82e12d61e22ab3e458121c9d2ea620b1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-038100.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-038100

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SIT U S GOVERNMENT SECURITIES FUND INC
- **CENTRAL INDEX KEY:** 0000809981
- **IRS NUMBER:** 411570831
- **STATE OF INCORPORATION:** MN
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04995
- **FILM NUMBER:** 23663790

**BUSINESS ADDRESS:**
- **STREET 1:** 3300 IDS CTR 80 S 8TH ST
- **CITY:** MINNEAPOLIS
- **STATE:** MN
- **ZIP:** 55402
- **BUSINESS PHONE:** 6123323223

**MAIL ADDRESS:**
- **STREET 1:** 3300 IDS CENTER, 80 SOUTH EIGHTH  ST
- **CITY:** MINNEAPOLIS
- **STATE:** MN
- **ZIP:** 55402-4130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SIT NEW BEGINNING U S GOVERNMENT SECURITIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEW BEGINNING U S GOVERNMENT SECURITIES FUND INC
- **DATE OF NAME CHANGE:** 19870601

## Series and Classes Contracts Data

### SIT U S GOVERNMENT SECURITIES FUND INC (Series ID: S000011654)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000032004 | Sit U.S. Government Securities Fund - Class S | SNGVX           |
| C000217198 | Sit U.S. Government Securities Fund - Class Y | SNGYX           |

## Nport-Ex

**SCHEDULE OF INVESTMENTS (Unaudited)** 

December 31, 2022

**Sit U.S. Government Securities Fund** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br> Amount ($)** | **Coupon Rate (%)** | **Maturity<br>Date** | **Fair<br>Value ($)** |
| **Mortgage Pass-Through Securities - 29.3%** | **Mortgage Pass-Through Securities - 29.3%** | **Mortgage Pass-Through Securities - 29.3%** |  |
| **Federal Home Loan Mortgage Corporation - 2.6%** | **Federal Home Loan Mortgage Corporation - 2.6%** | **Federal Home Loan Mortgage Corporation - 2.6%** | **Federal Home Loan Mortgage Corporation - 2.6%** |
| 26308 | 4.00 | 7/1/25 | 25965 |
| 319938 | 5.00 | 5/1/42 | 322252 |
| 979504 | 5.50 | 8/1/49 | 1011711 |
| 46882 | 5.82 | 10/1/37 | 47567 |
| 245208 | 6.50 | 12/1/34 | 249143 |
| 170623 | 6.88 | 2/17/31 | 174287 |
| 22595 | 7.00 | 8/1/27 | 22568 |
| 257237 | 7.00 | 4/1/28 | 258576 |
| 1997650 | 7.00 | 12/1/31 | 2060290 |
| 348265 | 7.00 | 2/1/37 | 350195 |
| 211020 | 7.00 | 4/1/37 | 223610 |
| 3045783 | 7.00 | 10/1/37 | 3185262 |
| 1596783 | 7.00 | 10/1/38 | 1698325 |
| 6334 | 7.38 | 12/17/24 | 6312 |
| 17169 | 7.50 | 1/1/31 | 17149 |
| 197583 | 7.50 | 1/1/32 | 206161 |
| 169416 | 7.50 | 8/1/32 | 171431 |
| 2670 | 7.95 | 10/1/25 | 2668 |
| 8921 | 8.00 | 5/1/31 | 8914 |
| 36752 | 8.00 | 11/1/36 | 38823 |
| 69769 | 8.00 | 1/1/37 | 74507 |
| 42724 | 8.50 | 6/20/27 | 44070 |
| 8865 | 8.50 | 12/1/29 | 8951 |
| 57669 | 8.50 | 3/1/31 | 60182 |
| 6574 | 9.00 | 3/20/27 | 6573 |
| 19369 | 9.00 | 2/17/31 | 19240 |
| 6972 | 9.00 | 5/1/31 | 6975 |
| 554 | 10.00 | 7/1/30 | 553 |
|  |  |  | 10302260 |
| **Federal National Mortgage Association - 13.3%** | **Federal National Mortgage Association - 13.3%** | **Federal National Mortgage Association - 13.3%** |  |
| 3100000 | 2.48 | 2/1/35 | 2481584 |
| 3100000 | 2.68 | 2/1/35 | 2535573 |
| 1642767 | 4.50 | 4/1/48 | 1617764 |
| 5183351 | 4.50 | 7/1/52 | 4994625 |
| 5222493 | 4.50 | 9/1/52 | 5032371 |
| 992135 | 5.00 | 9/1/43 | 1025094 |
| 7104571 | 5.00 | 2/1/49 | 7222236 |
| 388830 | 5.00 | 6/1/51 | 404138 |
| 1843975 | 5.00 | 7/1/52 | 1794659 |
| 329164 | 5.50 | 6/1/33 | 330502 |
| 3329645 | 5.50 | 12/1/41 | 3504174 |
| 964613 | 5.50 | 5/1/49 | 982005 |
| 507208 | 5.50 | 4/1/50 | 516559 |
| 794221 | 5.93 | 5/1/35 | 791789 |
| 60402 | 6.00 | 5/1/37 | 61375 |
| 48054 | 6.00 | 9/1/37 | 47872 |
| 1150949 | 6.00 | 4/1/38 | 1199412 |
| 387702 | 6.00 | 2/1/40 | 397708 |
| 3125454 | 6.00 | 5/1/41 | 3234043 |
| 2237239 | 6.00 | 7/1/52 | 2278394 |
| 666940 | 6.50 | 2/1/29 | 683676 |
| 94007 | 6.50 | 3/1/29 | 93195 |
| 102520 | 6.50 | 6/1/31 | 104181 |
| 45551 | 6.50 | 8/1/34 | 46279 |
| 73444 | 6.50 | 11/1/34 | 73227 |
| 155499 | 6.50 | 1/1/39 | 154991 |
| 662219 | 6.75 | 6/1/32 | 684957 |
| 473204 | 6.82 | 6/1/40 | 488861 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal**<br> **Amount ($)** | **Coupon Rate (%)** | **Maturity<br>Date** | **Fair**<br> **Value ($)** |
| 7494 | 7.00 | 2/1/26 | 7486 |
| 35447 | 7.00 | 9/1/27 | 35571 |
| 14606 | 7.00 | 10/1/27 | 14672 |
| 75235 | 7.00 | 11/1/27 | 76055 |
| 17181 | 7.00 | 1/1/28 | 17260 |
| 11285 | 7.00 | 10/1/32 | 11295 |
| 2188372 | 7.00 | 12/1/32 | 2306199 |
| 69503 | 7.00 | 7/1/33 | 71130 |
| 53553 | 7.00 | 7/1/34 | 54801 |
| 10238 | 7.00 | 12/1/37 | 10413 |
| 2631068 | 7.00 | 1/1/40 | 2743844 |
| 440815 | 7.00 | 9/1/47 | 426901 |
| 36809 | 7.50 | 4/1/32 | 36773 |
| 109195 | 7.50 | 1/1/34 | 112364 |
| 1896667 | 7.50 | 10/1/38 | 1993745 |
| 795773 | 7.50 | 11/1/38 | 839877 |
| 5085 | 7.85 | 7/20/30 | 5089 |
| 2508 | 8.00 | 8/20/25 | 2507 |
| 2400 | 8.00 | 7/20/28 | 2398 |
| 86280 | 8.00 | 1/1/32 | 88165 |
| 48208 | 8.00 | 11/1/37 | 51185 |
| 37139 | 8.17 | 11/15/31 | 38721 |
| 70133 | 8.50 | 1/1/37 | 71389 |
| 1055 | 9.00 | 6/15/25 | 1056 |
| 16102 | 9.00 | 5/15/28 | 16098 |
| 17230 | 9.00 | 7/1/31 | 17189 |
| 8571 | 9.50 | 8/1/24 | 8561 |
|  |  |  | 51841988 |
| **Government National Mortgage Association - 12.9%** | **Government National Mortgage Association - 12.9%** | **Government National Mortgage Association - 12.9%** | **Government National Mortgage Association - 12.9%** |
| 55479 | 4.00 | 12/15/24 | 54690 |
| 306734 | 4.00 | 10/20/30 | 308070 |
| 5667404 | 4.00 | 8/20/31 | 5607746 |
| 594813 | 4.00 | 12/20/31 | 598819 |
| 455232 | 4.25 | 10/20/31 | 462570 |
| 308281 | 4.25 | 3/20/37 | 303349 |
| 1457042 | 4.75 | 9/20/31 | 1501935 |
| 4985910 | 5.00 | 12/15/45 | 5247655 |
| 341145 | 5.00 | 7/20/49 | 339428 |
| 35872 | 5.50 | 9/15/25 | 35062 |
| 465100 | 5.50 | 5/15/29 | 485513 |
| 386152 | 5.50 | 7/20/37 | 407547 |
| 667188 | 5.50 | 7/20/62 | 671760 |
| 11920961 | 5.50 | 8/20/62 | 12002664 |
| 1242602 | 5.75 | 2/15/29 | 1266679 |
| 503241 | 5.75 | 10/20/31 | 518772 |
| 324060 | 6.00 | 9/15/33 | 333511 |
| 161986 | 6.00 | 2/20/47 | 170431 |
| 1906416 | 6.00 | 7/20/47 | 2013031 |
| 8663781 | 6.00 | 8/20/62 | 8790936 |
| 6363 | 6.25 | 12/15/23 | 6252 |
| 378650 | 6.25 | 4/15/29 | 390212 |
| 14310 | 6.50 | 11/15/23 | 14274 |
| 43501 | 6.50 | 4/15/24 | 43397 |
| 435170 | 6.50 | 2/20/28 | 440331 |
| 172003 | 6.50 | 2/20/29 | 171478 |
| 293748 | 6.50 | 7/20/34 | 303737 |
| 15599 | 6.50 | 12/20/38 | 15477 |
| 151020 | 6.50 | 1/20/39 | 155042 |
| 88473 | 6.50 | 2/20/39 | 92001 |
| 194184 | 6.50 | 4/20/39 | 202648 |
| 182207 | 6.50 | 6/20/39 | 192846 |

---

DECEMBER 31, 2022<sub>1</sub>

**SCHEDULE OF INVESTMENTS (Unaudited)** 

December 31, 2022

**Sit U.S. Government Securities Fund (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount ($)** | **Coupon Rate (%)** | **Maturity<br>Date** | **Fair**<br> **Value ($)** |
| 383323 | 6.50 | 8/20/39 | 405373 |
| 208033 | 6.50 | 4/20/43 | 213755 |
| 1962896 | 7.00 | 8/15/29 | 2034725 |
| 2203921 | 7.00 | 10/15/29 | 2284619 |
| 105754 | 7.00 | 10/15/36 | 105531 |
| 1904099 | 7.00 | 12/20/52 | 1955882 |
|  |  |  | 50147748 |
| **Small Business Administration - 0.5%** | **Small Business Administration - 0.5%** | **Small Business Administration - 0.5%** |  |
| 1239514 | 5.33 | 8/25/36 | 1185543 |
| 633186 | 5.33 | 9/25/36 | 605765 |
|  |  |  | 1791308 |
| **Total Mortgage Pass-Through Securities<br>(cost: $121,398,065)** | **Total Mortgage Pass-Through Securities<br>(cost: $121,398,065)** | **Total Mortgage Pass-Through Securities<br>(cost: $121,398,065)** | 114083304 |
| **U.S. Treasury / Federal Agency Securities - 0.8%** | **U.S. Treasury / Federal Agency Securities - 0.8%** | **U.S. Treasury / Federal Agency Securities - 0.8%** | **U.S. Treasury / Federal Agency Securities - 0.8%** |
| U.S. Treasury Notes: | U.S. Treasury Notes: | U.S. Treasury Notes: |  |
| 3000000 | 4.13 | 11/15/32 | 3072656 |
| **Total U.S. Treasury / Federal Agency Securities<br>(cost: $3,170,681)** | **Total U.S. Treasury / Federal Agency Securities<br>(cost: $3,170,681)** | **Total U.S. Treasury / Federal Agency Securities<br>(cost: $3,170,681)** | 3072656 |
| **Collateralized Mortgage Obligations - 68.2%** | **Collateralized Mortgage Obligations - 68.2%** | **Collateralized Mortgage Obligations - 68.2%** | **Collateralized Mortgage Obligations - 68.2%** |
| **Federal Home Loan Mortgage Corporation - 14.6%** | **Federal Home Loan Mortgage Corporation - 14.6%** | **Federal Home Loan Mortgage Corporation - 14.6%** | **Federal Home Loan Mortgage Corporation - 14.6%** |
| 7907154 | 3.31 | 5/25/23 <sup>1</sup> | 7846851 |
| 774362 | 4.78 | 7/25/32 <sup>1</sup> | 737661 |
| 3206663 | 5.00 | 11/25/50 | 3258845 |
| 5522798 | 5.00 | 11/25/50<sup>1</sup> | 5413699 |
| 231429 | 5.38 | 5/15/38<sup>1</sup> | 221492 |
| 5223987 | 5.50 | 6/25/51 | 5425539 |
| 1141535 | 6.00 | 1/15/33 | 1176535 |
| 1252969 | 6.00 | 5/15/36 | 1286871 |
| 810680 | 6.00 | 6/15/37 | 834679 |
| 1099688 | 6.00 | 9/15/42 | 1123277 |
| 2960935 | 6.00 | 9/25/52 | 3063706 |
| 9906 | 6.25 | 5/15/29 | 9822 |
| 9997 | 6.50 | 9/15/23 | 10017 |
| 6865 | 6.50 | 3/15/24 | 6894 |
| 212311 | 6.50 | 7/15/27 | 217451 |
| 188988 | 6.50 | 2/15/28 | 192276 |
| 297679 | 6.50 | 3/15/29 | 304573 |
| 8014 | 6.50 | 2/15/30 | 8153 |
| 237340 | 6.50 | 1/15/31 | 243621 |
| 471779 | 6.50 | 8/15/31 | 482153 |
| 125221 | 6.50 | 1/15/32 | 128817 |
| 43087 | 6.50 | 3/15/32 | 44777 |
| 291989 | 6.50 | 6/25/32 | 298931 |
| 127392 | 6.50 | 7/15/32 | 133039 |
| 2909229 | 6.50 | 5/15/33 | 3015747 |
| 632894 | 6.50 | 5/15/35 | 667089 |
| 295646 | 6.50 | 8/15/39 | 307137 |
| 884137 | 6.50 | 2/25/43 | 923475 |
| 372034 | 6.50 | 3/25/43 | 377808 |
| 529292 | 6.50 | 7/25/43 | 549472 |
| 706132 | 6.50 | 10/25/43 | 711032 |
| 260876 | 6.50 | 11/15/43 | 273511 |
| 1749717 | 6.50 | 8/15/45 | 1876435 |
| 278658 | 6.50 | 2/15/49 | 288835 |
| 1356 | 6.70 | 9/15/23 | 1356 |
| 254810 | 6.75 | 3/15/28 | 261935 |
| 224072 | 6.95 | 3/15/28 | 229384 |
| 345 | 7.00 | 3/25/23 | 343 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount ($)** | **Coupon Rate (%)** | **Maturity<br>Date** | **Fair<br>Value ($)** |
| 333 | 7.00 | 4/15/23 | 333 |
| 3099 | 7.00 | 7/15/23 | 3104 |
| 14450 | 7.00 | 1/15/24 | 14481 |
| 7753 | 7.00 | 3/15/24 | 7764 |
| 8097 | 7.00 | 8/15/25 | 8153 |
| 20930 | 7.00 | 9/15/26 | 21187 |
| 55136 | 7.00 | 6/15/29 | 57188 |
| 154069 | 7.00 | 8/15/29 | 159861 |
| 197445 | 7.00 | 10/20/29 | 206142 |
| 34456 | 7.00 | 1/15/30 | 36263 |
| 103012 | 7.00 | 10/15/30 | 108568 |
| 93373 | 7.00 | 7/15/31 | 97870 |
| 41839 | 7.00 | 4/15/32 | 43188 |
| 320406 | 7.00 | 5/15/32 | 339002 |
| 1565752 | 7.00 | 8/15/41 | 1601839 |
| 2934069 | 7.00 | 2/25/43 | 3005834 |
| 1975403 | 7.00 | 3/25/43 | 2084881 |
| 728242 | 7.00 | 7/25/43 | 769915 |
| 1073334 | 7.00 | 3/15/49 | 1168972 |
| 1792 | 7.50 | 3/15/23 | 1792 |
| 10513 | 7.50 | 4/15/23 | 10510 |
| 16517 | 7.50 | 9/20/26 | 16865 |
| 98606 | 7.50 | 3/15/28 | 102371 |
| 180905 | 7.50 | 9/15/29 | 190988 |
| 51275 | 7.50 | 12/15/29 | 53270 |
| 108352 | 7.50 | 6/15/30 | 114519 |
| 179839 | 7.50 | 8/15/30 | 189324 |
| 194208 | 7.50 | 9/15/30 | 207108 |
| 60051 | 7.50 | 11/15/30 | 63366 |
| 1776728 | 7.50 | 6/15/34 | 1934194 |
| 383974 | 7.50 | 2/25/42 | 392728 |
| 1166295 | 7.50 | 8/25/42 <sup>1</sup> | 1196323 |
| 636300 | 7.50 | 9/25/43 | 652727 |
| 2627 | 8.00 | 2/15/23 | 2622 |
| 2070 | 8.00 | 4/25/24 | 2079 |
| 49022 | 8.00 | 2/15/27 | 51072 |
| 82167 | 8.00 | 11/20/29 | 86695 |
| 87118 | 8.00 | 1/15/30 | 92708 |
| 33013 | 8.50 | 3/15/25 | 33930 |
| 15239 | 8.50 | 3/15/32 | 16356 |
|  |  |  | 57099330 |
| **Federal National Mortgage Association - 20.3%** | **Federal National Mortgage Association - 20.3%** | **Federal National Mortgage Association - 20.3%** | **Federal National Mortgage Association - 20.3%** |
| 246850 | 2.00 | 7/25/37 <sup>1</sup> | 219012 |
| 1274389 | 3.00 | 7/25/40 | 1257318 |
| 9576165 | 3.25 | 9/25/52 | 8954720 |
| 364449 | 3.26 | 8/25/43 <sup>1</sup> | 336183 |
| 1108170 | 4.00 | 9/25/43 | 1091555 |
| 164378 | 4.55 | 6/25/43 | 159389 |
| 1746118 | 4.92 | 2/25/42 <sup>1</sup> | 1706525 |
| 1930375 | 5.00 | 7/25/33 | 1926146 |
| 1543614 | 5.00 | 7/25/40 | 1534793 |
| 276962 | 5.00 | 11/25/41 | 277158 |
| 467183 | 5.00 | 6/25/43 | 458355 |
| 3388385 | 5.00 | 11/25/50 | 3398118 |
| 3964979 | 5.00 | 12/25/50 | 4016803 |
| 427475 | 5.00 | 1/25/51 | 427254 |
| 1181994 | 5.06 | 10/25/42 1 | 1199986 |
| 2106254 | 5.29 | 12/25/42 <sup>1</sup> | 2040778 |
| 512923 | 5.36 | 6/25/42 | 512323 |
| 537890 | 5.50 | 9/25/33 | 544284 |
| 2582056 | 5.50 | 6/25/40 | 2543945 |

---

**2**

**SCHEDULE OF INVESTMENTS (Unaudited)** 

December 31, 2022

**Sit U.S. Government Securities Fund (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount ($)** | **Coupon Rate (%)** | **Maturity<br>Date** | **Fair<br>Value ($)** |
| 692336 | 5.63 | 12/25/53<sup>1</sup> | 713584 |
| 289757 | 5.75 | 8/25/33 | 293336 |
| 547622 | 5.81 | 8/25/43 | 542658 |
| 685404 | 6.00 | 5/25/30 | 695845 |
| 120708 | 6.00 | 11/25/32 | 123682 |
| 235440 | 6.00 | 7/25/33 | 242057 |
| 1410719 | 6.00 | 5/25/36 | 1454060 |
| 186289 | 6.00 | 6/25/36 | 191061 |
| 695118 | 6.00 | 10/25/36 | 719618 |
| 1548029 | 6.00 | 11/25/43 | 1565917 |
| 644687 | 6.00 | 9/25/46 | 637839 |
| 803591 | 6.00 | 2/25/48 | 832101 |
| 179454 | 6.00 | 12/25/49 | 182051 |
| 725472 | 6.31 | 8/25/47 <sup>1</sup> | 724049 |
| 872517 | 6.47 | 9/25/37 <sup>1</sup> | 870806 |
| 125434 | 6.50 | 8/20/28 | 125935 |
| 761780 | 6.50 | 1/25/32 | 786793 |
| 119779 | 6.50 | 3/25/32 | 122445 |
| 200034 | 6.50 | 6/25/32 | 207424 |
| 164759 | 6.50 | 7/25/36 | 172903 |
| 35772 | 6.50 | 9/25/36 | 37241 |
| 1463558 | 6.50 | 11/25/41 | 1498928 |
| 158822 | 6.50 | 3/25/42 | 161687 |
| 1238538 | 6.50 | 5/25/42 | 1289264 |
| 1731074 | 6.50 | 7/25/42 | 1753714 |
| 202749 | 6.50 | 9/25/42 | 207319 |
| 501875 | 6.50 | 11/25/42 | 518912 |
| 2355968 | 6.50 | 12/25/43 | 2423982 |
| 86429 | 6.50 | 7/25/44 | 86479 |
| 160031 | 6.51 | 2/25/45 <sup>1</sup> | 167727 |
| 247842 | 6.69 | 9/25/37 <sup>1</sup> | 253350 |
| 257332 | 6.73 | 8/25/37 <sup>1</sup> | 258767 |
| 1438107 | 6.75 | 6/25/32 | 1516090 |
| 311417 | 6.75 | 4/25/37 | 314006 |
| 31853 | 6.85 | 12/18/27 | 32033 |
| 767055 | 6.97 | 6/19/41 <sup>1</sup> | 787430 |
| 1115 | 7.00 | 6/25/23 | 1114 |
| 67596 | 7.00 | 4/25/24 | 67488 |
| 66433 | 7.00 | 9/18/27 | 68295 |
| 720213 | 7.00 | 5/25/31 | 717568 |
| 1014269 | 7.00 | 12/25/33 | 1065093 |
| 103456 | 7.00 | 9/25/40 | 107690 |
| 380365 | 7.00 | 10/25/41 | 390989 |
| 113301 | 7.00 | 11/25/41 | 120297 |
| 227459 | 7.00 | 12/25/41 | 237533 |
| 745287 | 7.00 | 7/25/42 | 781238 |
| 1523262 | 7.00 | 2/25/44 | 1592083 |
| 64300 | 7.00 | 8/25/44 | 67593 |
| 816858 | 7.00 | 4/25/49 | 892104 |
| 14585 | 7.50 | 8/20/27 | 14993 |
| 155226 | 7.50 | 10/25/40 | 157681 |
| 1055574 | 7.50 | 11/25/40 | 1042119 |
| 607304 | 7.50 | 6/19/41 <sup>1</sup> | 623495 |
| 1035733 | 7.50 | 7/25/41 | 1032866 |
| 575033 | 7.50 | 8/25/41 | 592198 |
| 203782 | 7.50 | 11/25/41 | 219211 |
| 380177 | 7.50 | 1/25/42 | 401044 |
| 2699258 | 7.50 | 5/25/42 | 2864314 |
| 245702 | 7.50 | 6/25/42 | 258703 |
| 2431171 | 7.50 | 8/25/42<sup>1</sup> | 2625310 |
| 803756 | 7.50 | 2/25/44 | 844451 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount ($)** | **Coupon Rate (%)** | **Maturity<br>Date** | **Fair<br>Value ($)** |
| 334033 | 7.50 | 3/25/44 | 349261 |
| 534481 | 7.50 | 5/25/44 | 574613 |
| 34575 | 7.50 | 10/25/44 | 36699 |
| 3348608 | 7.50 | 1/25/48 | 3580128 |
| 15242 | 8.00 | 7/18/27 | 15733 |
| 241402 | 8.00 | 7/25/44 | 249229 |
| 301177 | 8.01 | 11/25/37<sup>1</sup> | 321792 |
| 149696 | 8.12 | 11/25/37<sup>1</sup> | 159718 |
| 30834 | 8.41 | 10/25/42<sup>1</sup> | 33147 |
| 2509 | 8.50 | 1/25/25 | 2550 |
| 274482 | 8.50 | 6/25/30 | 297057 |
| 30461 | 9.00 | 11/25/28 | 32184 |
| 220815 | 9.00 | 6/25/30 | 242591 |
| 40688 | 9.00 | 10/25/30 | 44637 |
| 46274 | 9.44 | 6/25/32 <sup>1</sup> | 49892 |
| 49525 | 9.50 | 11/25/31 | 54464 |
| 158443 | 9.50 | 12/25/41 | 171422 |
| 182825 | 9.64 | 6/25/44 <sup>1</sup> | 183567 |
| 674388 | 11.51 | 9/25/42 <sup>1</sup> | 773443 |
| 10245 | 22.93 | 3/25/39 <sup>1</sup> | 14240 |
|  |  |  | 79087575 |
| **Government National Mortgage Association - 32.3%** | **Government National Mortgage Association - 32.3%** | **Government National Mortgage Association - 32.3%** | **Government National Mortgage Association - 32.3%** |
| 1962001 | 4.73 | 5/20/51 <sup>1</sup> | 1953988 |
| 2415780 | 4.75 | 5/20/51 <sup>1</sup> | 2412120 |
| 5145454 | 4.83 | 8/20/51 <sup>1</sup> | 5112745 |
| 3980229 | 4.88 | 4/20/51 <sup>1</sup> | 3949659 |
| 2382757 | 4.90 | 7/20/51 <sup>1</sup> | 2357855 |
| 3033798 | 5.00 | 12/20/50 | 3058275 |
| 4175996 | 5.00 | 1/20/51 | 4209025 |
| 6518441 | 5.00 | 2/20/51 | 6402438 |
| 495405 | 5.50 | 9/20/39 | 507013 |
| 8473240 | 5.50 | 10/20/50 | 8747349 |
| 1804965 | 5.50 | 11/20/50 | 1892940 |
| 3171402 | 5.50 | 1/20/51 | 3280854 |
| 1962131 | 5.50 | 4/20/51 | 2054616 |
| 13068783 | 5.50 | 5/20/51 | 13557794 |
| 7940141 | 5.50 | 6/20/51 | 8166568 |
| 16030674 | 5.50 | 7/20/51 | 16525168 |
| 500751 | 5.50 | 10/20/51 | 522209 |
| 5690824 | 5.50 | 11/20/51 | 5844221 |
| 233800 | 5.52 | 4/20/48 <sup>1</sup> | 234975 |
| 3356264 | 5.61 | 4/20/40 <sup>1</sup> | 3430430 |
| 3821171 | 5.80 | 3/20/45 <sup>1</sup> | 3941612 |
| 7874839 | 5.85 | 2/20/51 <sup>1</sup> | 8353092 |
| 577534 | 5.94 | 10/20/40 <sup>1</sup> | 597745 |
| 335675 | 5.99 | 11/20/43<sup>1</sup> | 348523 |
| 1140520 | 6.00 | 11/20/33 | 1152403 |
| 357884 | 6.00 | 12/20/35 | 370074 |
| 222164 | 6.00 | 3/20/42 | 230327 |
| 293624 | 6.00 | 3/20/48 | 301547 |
| 1407051 | 6.00 | 3/20/49 | 1421966 |
| 447298 | 6.00 | 5/20/49 | 465906 |
| 1402414 | 6.12 | 1/20/39 <sup>1</sup> | 1461142 |
| 1161369 | 6.43 | 6/20/41 <sup>1</sup> | 1208559 |
| 228673 | 6.46 | 4/20/37 <sup>1</sup> | 232728 |
| 862833 | 6.50 | 7/20/32 | 859366 |
| 848546 | 6.50 | 2/20/37 | 869894 |
| 164114 | 6.50 | 9/16/38 | 167778 |
| 1426606 | 6.50 | 8/20/48 | 1492382 |
| 1017298 | 6.50 | 10/20/48 | 1055408 |
| 1028635 | 6.50 | 1/20/49 | 1042374 |

---

DECEMBER 31, 2022<sub>3</sub>

**SCHEDULE OF INVESTMENTS (Unaudited)** 

December 31, 2022

**Sit U.S. Government Securities Fund (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount ($)** | **Coupon Rate (%)** | **Maturity<br>Date** | **Fair**<br> **Value ($)** |
| 382755 | 6.52 | 7/20/39 <sup>1</sup> | 398210 |
| 368055 | 6.64 | 4/20/39 <sup>1</sup> | 386065 |
| 581415 | 6.84 | 8/20/40 <sup>1</sup> | 611499 |
| 269643 | 7.00 | 6/20/45 <sup>1</sup> | 281624 |
| 87265 | 7.00 | 9/16/33 | 88100 |
| 233081 | 7.00 | 5/20/42 | 246437 |
| 569652 | 7.00 | 10/20/48 | 599521 |
| 702827 | 7.00 | 11/20/48 | 738244 |
| 358696 | 7.09 | 2/20/45 <sup>1</sup> | 385708 |
| 722021 | 7.09 | 12/20/38 <sup>1</sup> | 765367 |
| 375197 | 7.16 | 12/20/33 <sup>1</sup> | 393215 |
| 957540 | 7.32 | 8/20/38<sup></sup> <sup>1</sup> | 1015741 |
|  |  |  | 125702799 |
| **Vendee Mortgage Trust - 1.0%** | **Vendee Mortgage Trust - 1.0%** | **Vendee Mortgage Trust - 1.0%** |  |
| 814595 | 5.98 | 3/15/25<sup></sup> <sup>1</sup> | 829139 |
| 295616 | 6.50 | 2/15/24 | 295976 |
| 1069150 | 6.50 | 8/15/31 | 1065428 |
| 519379 | 6.50 | 10/15/31 | 540049 |
| 333275 | 6.75 | 2/15/26 | 339973 |
| 403632 | 7.00 | 3/15/28 | 406463 |
| 84090 | 7.25 | 9/15/25 | 85730 |
| 212173 | 7.50 | 2/15/27 | 217295 |
| 82839 | 7.75 | 9/15/24 | 83612 |
| 36071 | 8.00 | 2/15/25 | 36251 |
| 44395 | 8.29 | 12/15/26 | 45407 |
|  |  |  | 3945323 |
| **Total Collateralized Mortgage Obligations<br>(cost: $288,019,093)** | **Total Collateralized Mortgage Obligations<br>(cost: $288,019,093)** | **Total Collateralized Mortgage Obligations<br>(cost: $288,019,093)** | 265835027 |
| **Asset-Backed Securities - 0.9%** | **Asset-Backed Securities - 0.9%** | **Asset-Backed Securities - 0.9%** |  |
| **Federal Home Loan Mortgage Corporation - 0.1%** | **Federal Home Loan Mortgage Corporation - 0.1%** | **Federal Home Loan Mortgage Corporation - 0.1%** | **Federal Home Loan Mortgage Corporation - 0.1%** |
| 293 | 6.09 | 9/25/29<sup></sup> <sup>1</sup> | 283 |
| 509481 | 7.16 | 7/25/29 | 523287 |
|  |  |  | 523570 |
| **Federal National Mortgage Association - 0.5%** | **Federal National Mortgage Association - 0.5%** | **Federal National Mortgage Association - 0.5%** | **Federal National Mortgage Association - 0.5%** |
| 351520 | 4.40 | 11/25/33 <sup>14</sup> | 334256 |
| 302495 | 4.45 | 9/26/33<sup></sup> <sup>14</sup> | 291461 |
| 8477 | 1 Mo. Libor + 0.17%, 4.56 | 11/25/32 <sup>1</sup> | 8335 |
| 86370 | 4.88 | 10/25/33 <sup>14</sup> | 80394 |
| 1303664 | 5.71 | 2/25/33<sup></sup> <sup>14</sup> | 1269994 |
| 1516 | 6.00 | 5/25/32<sup></sup> <sup>14</sup> | 1492 |
| 46512 | 6.09 | 10/25/31 <sup>14</sup> | 46769 |
| 1957 | 7.72 | 6/25/26<sup></sup> <sup>1</sup> | 1981 |
|  |  |  | 2034682 |
| **Small Business Administration - 0.3%** | **Small Business Administration - 0.3%** | **Small Business Administration - 0.3%** | **Small Business Administration - 0.3%** |
| 122969 | 5.78 | 8/1/27 | 122064 |
| 542232 | 5.87 | 7/1/28 | 536077 |
| 508661 | 6.02 | 8/1/28 | 505790 |
|  |  |  | 1163931 |
| **Total Asset-Backed Securities<br>(cost: $3,884,475)** | **Total Asset-Backed Securities<br>(cost: $3,884,475)** |  | 3722183 |
| **Put Options Purchased <sup>19</sup> - 0.9%<br>(cost: $4,052,232)** | **Put Options Purchased <sup>19</sup> - 0.9%<br>(cost: $4,052,232)** |  | 3412860 |

---

---

| | | |
|:---|:---|:---|
| **Quantity** | **Name of Issuer** | **Fair**<br> **Value ($)** |
| **Short-Term Securities - 0.5%** | **Short-Term Securities - 0.5%** |  |
| 1814468 | Fidelity Inst. Money<br>Mkt. Gvt. Fund, 4.06% | 1814468 |
| **(cost: $1,814,468)** | **(cost: $1,814,468)** |  |
| **Total Investments in Securities -100.6%<br>(cost: $422,339,014)** | **Total Investments in Securities -100.6%<br>(cost: $422,339,014)** | 391940498 |
| **Other Assets and Liabilities - (0.6)%** | **Other Assets and Liabilities - (0.6)%** | (2301464) |
| **Net Assets - 100.0%** | **Net Assets - 100.0%** | $389639034 |

---

------

<sup>1</sup> Variable rate security. Rate disclosed is as of December 31, 2022. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. 

<sup>14</sup> Step Coupon: A bond that pays a coupon rate that increases on a specified date(s). Rate disclosed is as of December 31, 2022.

Numeric footnotes not disclosed are not applicable to this Schedule of Investments.

**4**

**SCHEDULE OF INVESTMENTS (Unaudited)** 

December 31, 2022

**Sit U.S. Government Securities Fund (Continued)** 

<sup>19</sup> Options outstanding as of December 31, 2022 were as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Contracts** | **Exercise<br>Price ($)** | **Expiration<br>Date** | **Counterparty** | **Notional<br>Amount ($)** | **Cost/<br>Premiums ($)** | **Value ($)** |
|  Put Options Purchased - U.S. Treasury Futures: | Put Options Purchased - U.S. Treasury Futures: |  |  |  |  |  |  |
|  5-Year | 2287 | 106.75 | February 2023 | StoneX Financial, Inc. | 244137250 | 1727776 | 1036297 |
|  5-Year | 1000 | 107.25 | February 2023 | StoneX Financial, Inc. | 107250000 | 951971 | 617188 |
|  5-Year | 400 | 109.50 | February 2023 | StoneX Financial, Inc. | 43800000 | 591460 | 756250 |
|  5-Year | 400 | 110.25 | February 2023 | StoneX Financial, Inc. | 44100000 | 781025 | 1003125 |
|  Total |  |  |  |  | 439287250 | 4052232 | 3412860 |

---

A summary of the levels for the Fund's investments as of December 31, 2022 is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | **Investment in Securities** | **Investment in Securities** | |
|  | **Level 1**<br> Quoted<br>Prices ($) | **Level 2**<br> Other significant<br>observable inputs ($) | **Level 3**<br> Significant<br>unobservable inputs ($) | Total ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; Mortgage Pass-Through Securities |  | 114083304 |  | 114083304 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury / Federal Agency Securities |  | 3072656 |  | 3072656 |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations |  | 265835027 |  | 265835027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 3722183 |  | 3722183 |
| &nbsp;&nbsp;&nbsp;&nbsp; Put Options Purchased | 3412860 |  |  | 3412860 |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities | 1814468 |  |  | 1814468 |
|  Total: | 5227328 | 386713170 |  | 391940498 |

---

There were no transfers into or out of level 3 during the reporting period.

For additional information about significant accounting policies, including valuation of investments, refer to the Fund's most recent annual report.

DECEMBER 31, 2022<sub>5</sub>

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SIT U S GOVERNMENT SECURITIES FUND INC

- **b. Investment Company Act file number:** 811-04995

- **c. CIK number of Registrant:** 0000809981

- **d. LEI of Registrant:** 254900MGQV5RVCBUFN27

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

  - **Street Address 1:** 80 S. Eighth Street

  - **City:** Minneapolis

  - **State:** MN

  - **Foreign country:** US

  - **Zip / Postal Code:** 55402

  - **Telephone number:** 612-332-3223

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

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

- **b. EDGAR series identifier (if any):** S000011654

- **c. LEI of Series:** 254900MGQV5RVCBUFN27

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

- **a. Date of fiscal year-end:** 2023-03-31

- **b. Date as of which information is reported:** 2022-12-30

**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:** $394773917.06

**Total Liabilities:** $2602445.15

**Net Assets:** $392171471.91

**Cash Not Reported:** $475962.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 178.46278000 | **1-Year:** 20636.13284000 | **5-Year:** 122788.54742000 | **10-Year:** 41358.39745000 | **30-Year:** 493.53882000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000032004 | -0.65%               | 0.93%                | -0.12%               |
| Class ID C000217198 | -0.72%               | 1.05%                | -0.19%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-428370.33              | $-4348926.12                               |
| Month 2  | $-3772513.80             | $9636583.93                                |
| Month 3  | $-510641.25              | $-1388563.28                               |

**Designated Index Information**

- **Index Name:** U.S. Government: Intermediate

- **Index Identifier:** I00046US-USD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    884137 | PA      | $923475.07    | 0.24%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38378CCR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228673 | PA      | $232727.77    | 0.06%             | 2037-04-20      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 3620AFYX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55479 | PA      | $54690.21     | 0.01%             | 2024-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136AMQC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160031 | PA      | $167727.23    | 0.04%             | 2045-02-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 312914J21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1792 | PA      | $1791.63      | 0.00%             | 2023-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3132FCBE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359482 | PA      | $384044.71    | 0.10%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2004-T1                             | CUSIP: 31393XFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    364449 | PA      | $336182.73    | 0.09%             | 2043-08-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36178QHA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172003 | PA      | $171477.93    | 0.04%             | 2029-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                    | US 5 YEAR TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       400 | NC      | $1003125.20   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 36208NRM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1242602 | PA      | $1266678.80   | 0.32%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TCYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188988 | PA      | $192276.14    | 0.05%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38379NAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269642 | PA      | $281623.82    | 0.07%             | 2045-06-20      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128CD4D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211020 | PA      | $223609.80    | 0.06%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31371NNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75235 | PA      | $76054.59     | 0.02%             | 2027-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31381D5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37139 | PA      | $38721.05     | 0.01%             | 2031-11-15      | Fixed         | 8.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 36213M5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378650 | PA      | $390211.88    | 0.10%             | 2029-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224072 | PA      | $229383.52    | 0.06%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 36291SG20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35872 | PA      | $35062.09     | 0.01%             | 2025-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31386CGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8571 | PA      | $8561.28      | 0.00%             | 2024-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36176MN66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306734 | PA      | $308069.58    | 0.08%             | 2030-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY INVESTMENTS MONEY MARKET FUNDS - GOVERNMENT PORTFOLIO | FIDELITY GOVERNMENT PORT-I                                   | CUSIP: 316175108<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1338566 | NS      | $1338566.07   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                    | US 5 YEAR TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       400 | NC      | $756250.00    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31335AVM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2686300 | PA      | $2801217.63   | 0.71%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359UM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30461 | PA      | $32184.46     | 0.01%             | 2028-11-25      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2007-W9                               | CUSIP: 31396W6T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    257332 | PA      | $258766.62    | 0.07%             | 2037-08-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31410KDK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150949 | PA      | $1199411.88   | 0.31%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36176WKR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308281 | PA      | $303349.27    | 0.08%             | 2037-03-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382NJP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3115976 | PA      | $3148008.86   | 0.80%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137AERX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1565752 | PA      | $1601838.63   | 0.41%             | 2041-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128C6QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69769 | PA      | $74507.27     | 0.02%             | 2037-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382EGZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3821171 | PA      | $3941612.10   | 1.01%             | 2045-03-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2003-W1                               | CUSIP: 31392GWB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2106255 | PA      | $2040777.88   | 0.52%             | 2042-12-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Reference Remic                                    | Freddie Mac Reference REMIC                                  | CUSIP: 31397HPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    810680 | PA      | $834678.54    | 0.21%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382VNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2382757 | PA      | $2357855.28   | 0.60%             | 2051-07-20      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140MSBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5183351 | PA      | $4994624.65   | 1.27%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TPWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103012 | PA      | $108568.30    | 0.03%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382UHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    902896 | PA      | $924095.15    | 0.24%             | 2051-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 1997-1                                 | CUSIP: 911760KG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44395 | PA      | $45406.85     | 0.01%             | 2026-12-15      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382WKZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4385491 | PA      | $4529767.08   | 1.16%             | 2051-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128M2AB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245208 | PA      | $249142.82    | 0.06%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 3617F46L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2766948 | PA      | $2807557.98   | 0.72%             | 2062-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3138EQFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473204 | PA      | $488861.12    | 0.12%             | 2040-06-01      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382NJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145296 | PA      | $141766.02    | 0.04%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 31392PV28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127392 | PA      | $133039.50    | 0.03%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38376CLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    495405 | PA      | $507013.17    | 0.13%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2001-T12                            | CUSIP: 31392A5M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    575033 | PA      | $592198.17    | 0.15%             | 2041-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359X3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220815 | PA      | $242590.85    | 0.06%             | 2030-06-25      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166295 | PA      | $1196323.38   | 0.31%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2002-W3                               | CUSIP: 31392CT61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1463558 | PA      | $1498928.06   | 0.38%             | 2041-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136ASEF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1410719 | PA      | $1454060.47   | 0.37%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382QNX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2299984 | PA      | $2387005.30   | 0.61%             | 2051-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2002-W2                               | CUSIP: 31392CEN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1516 | PA      | $1491.77      | 0.00%             | 2032-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 2008-1                                 | CUSIP: 92261UAD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    814595 | PA      | $829139.07    | 0.21%             | 2025-03-15      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 3617FFWZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    667188 | PA      | $671760.32    | 0.17%             | 2062-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 3133TL4S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509481 | PA      | $523286.71    | 0.13%             | 2029-07-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2003-W2                                     | CUSIP: 31392JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1259782 | PA      | $1282037.31   | 0.33%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31403DBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11285 | PA      | $11295.47     | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38381RYN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886704 | PA      | $904207.01    | 0.23%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 31339MM70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125221 | PA      | $128817.15    | 0.03%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                    | US 5 YEAR TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1000 | NC      | $617188.00    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31371NR49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17181 | PA      | $17260.09     | 0.00%             | 2028-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31396X5L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    695118 | PA      | $719618.45    | 0.18%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140J55U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3125454 | PA      | $3234043.00   | 0.82%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 3622A2SJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1962896 | PA      | $2034725.27   | 0.52%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38380W5W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233800 | PA      | $234974.63    | 0.06%             | 2048-04-20      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TQE29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60051 | PA      | $63365.63     | 0.02%             | 2030-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98606 | PA      | $102371.01    | 0.03%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TD2H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254810 | PA      | $261934.71    | 0.07%             | 2028-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 31394YXK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1776728 | PA      | $1934194.09   | 0.49%             | 2034-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2002-W4                               | CUSIP: 31392DUA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    711086 | PA      | $762116.88    | 0.19%             | 2042-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140X4SM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1903642 | PA      | $1983677.27   | 0.51%             | 2040-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31393NTB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372034 | PA      | $377808.54    | 0.10%             | 2043-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38380VQ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293624 | PA      | $301546.74    | 0.08%             | 2048-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2007-W8                               | CUSIP: 31396XVY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    872517 | PA      | $870805.61    | 0.22%             | 2037-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359AMH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1115 | PA      | $1114.49      | 0.00%             | 2023-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36202EYG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15599 | PA      | $15476.68     | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 1994-1                                 | CUSIP: 911760DS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    295616 | PA      | $295976.01    | 0.08%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2007-W8                               | CUSIP: 31396XVZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    247842 | PA      | $253350.01    | 0.06%             | 2037-09-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2001-T10                            | CUSIP: 3139216C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9519 | PA      | $10015.01     | 0.00%             | 2041-12-25      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 313930SD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169416 | PA      | $171430.52    | 0.04%             | 2032-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38381AG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702827 | PA      | $738244.45    | 0.19%             | 2048-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2934069 | PA      | $3005833.93   | 0.77%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 36213M5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    465100 | PA      | $485512.89    | 0.12%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 313398SD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93373 | PA      | $97870.37     | 0.02%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137908 | PA      | $142194.85    | 0.04%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140X6CF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    964613 | PA      | $982005.11    | 0.25%             | 2049-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2003-W12                                    | CUSIP: 31393ELF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    164378 | PA      | $159389.00    | 0.04%             | 2043-06-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2002-W3                               | CUSIP: 31392CT20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    203782 | PA      | $219210.53    | 0.06%             | 2041-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120708 | PA      | $123682.38    | 0.03%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31335ATH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1997650 | PA      | $2060289.66   | 0.53%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31394PPQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    706132 | PA      | $711032.19    | 0.18%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31335PB46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42724 | PA      | $44070.43     | 0.01%             | 2027-06-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COASTAL SECURITIES                                             | Small Business Administration Pools                          | CUSIP: 831628CW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    633186 | PA      | $605764.94    | 0.15%             | 2036-09-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 1997-1                                 | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    212173 | PA      | $217294.85    | 0.06%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                                     | FHLMC-GNMA                                                   | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16517 | PA      | $16865.12     | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31416BV62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86280 | PA      | $88165.46     | 0.02%             | 2032-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382KBK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8473240 | PA      | $8747349.14   | 2.23%             | 2050-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38380FJF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1161369 | PA      | $1208558.91   | 0.31%             | 2041-06-20      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31371J6B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102520 | PA      | $104180.60    | 0.03%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                    | US 5 YEAR TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      2287 | NC      | $1036296.88   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 312916ZY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3099 | PA      | $3104.37      | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31398RGF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2582056 | PA      | $2543945.24   | 0.65%             | 2040-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TMAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197445 | PA      | $206142.26    | 0.05%             | 2029-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36179TC45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1906416 | PA      | $2013030.57   | 0.51%             | 2047-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38378CCQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164114 | PA      | $167778.43    | 0.04%             | 2038-09-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TPC49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108352 | PA      | $114519.04    | 0.03%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137APRB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295646 | PA      | $307137.38    | 0.08%             | 2039-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128M6J82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       554 | PA      | $553.50       | 0.00%             | 2030-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3132H3P72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319938 | PA      | $322252.36    | 0.08%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2004-T2                             | CUSIP: 31393X7A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1548029 | PA      | $1565916.77   | 0.40%             | 2043-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36179SW52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182207 | PA      | $192845.58    | 0.05%             | 2039-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38378DD77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222164 | PA      | $230326.81    | 0.06%             | 2042-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31412CEG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70133 | PA      | $71389.23     | 0.02%             | 2037-01-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136AC5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1238538 | PA      | $1289263.51   | 0.33%             | 2042-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 31395UEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632894 | PA      | $667088.85    | 0.17%             | 2035-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136AAQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1274389 | PA      | $1257317.74   | 0.32%             | 2040-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 312915PK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10513 | PA      | $10509.64     | 0.00%             | 2023-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 36241KWY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14310 | PA      | $14274.45     | 0.00%             | 2023-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31398TGG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246850 | PA      | $219011.55    | 0.06%             | 2037-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38378UAS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    957540 | PA      | $1015741.39   | 0.26%             | 2038-08-20      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31402QU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109195 | PA      | $112363.90    | 0.03%             | 2034-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36176MPG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2714503 | PA      | $2686197.97   | 0.68%             | 2031-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2004-W14                              | CUSIP: 31394BT79<br>LEI: 54930075XM5QLYOTLR22 | Long             | ABS-MBS          | USGSE             | US        |    241402 | PA      | $249229.13    | 0.06%             | 2044-07-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133T0C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1356 | PA      | $1355.52      | 0.00%             | 2023-09-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TKZ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9906 | PA      | $9822.18      | 0.00%             | 2029-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31403DTB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53553 | PA      | $54801.07     | 0.01%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140JADL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7104571 | PA      | $7222235.58   | 1.84%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31412LYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14606 | PA      | $14671.55     | 0.00%             | 2027-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31398R2C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1543614 | PA      | $1534792.74   | 0.39%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36176MPQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455232 | PA      | $462570.22    | 0.12%             | 2031-10-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31412FT37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60402 | PA      | $61375.41     | 0.02%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382UFP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1501475 | PA      | $1544113.00   | 0.39%             | 2051-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38374MVH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357884 | PA      | $370073.87    | 0.09%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140J5U80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727426 | PA      | $760166.93    | 0.19%             | 2040-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31394JD87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    529292 | PA      | $549472.31    | 0.14%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3138ETD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666940 | PA      | $683676.20    | 0.17%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136A7DA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720213 | PA      | $717567.79    | 0.18%             | 2031-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31381D4F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2508 | PA      | $2506.57      | 0.00%             | 2025-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38379EHD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375197 | PA      | $393215.02    | 0.10%             | 2033-12-20      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128C6M22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348265 | PA      | $350195.23    | 0.09%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31283HST3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8865 | PA      | $8950.86      | 0.00%             | 2029-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128PRVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26308 | PA      | $25964.65     | 0.01%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31371MRM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7494 | PA      | $7486.16      | 0.00%             | 2026-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2007-W3                               | CUSIP: 31396VQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    311417 | PA      | $314005.73    | 0.08%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2005-W1                               | CUSIP: 31394CB68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34575 | PA      | $36698.55     | 0.01%             | 2044-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2003-W6                                     | CUSIP: 31393BU94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202749 | PA      | $207319.05    | 0.05%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179839 | PA      | $189324.12    | 0.05%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31398T6K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103456 | PA      | $107689.55    | 0.03%             | 2040-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31381D2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16102 | PA      | $16097.73     | 0.00%             | 2028-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382MUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3649015 | PA      | $3686410.02   | 0.94%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41839 | PA      | $43187.54     | 0.01%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38381RZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520346 | PA      | $517759.05    | 0.13%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 2002-1                                 | CUSIP: 911760RP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1069150 | PA      | $1065428.14   | 0.27%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137FFNG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5522798 | PA      | $5413698.75   | 1.38%             | 2050-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382NJZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7874839 | PA      | $8353091.75   | 2.13%             | 2051-02-20      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31397NHK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10245 | PA      | $14239.79     | 0.00%             | 2039-03-25      | Variable      | 22.93%                | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2004-W1                                     | CUSIP: 31393U4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1014269 | PA      | $1065092.87   | 0.27%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3138X54Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992135 | PA      | $1025093.77   | 0.26%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 3622A2SY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2203921 | PA      | $2284619.25   | 0.58%             | 2029-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust                                        | CUSIP: 911760FE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     82839 | PA      | $83611.72     | 0.02%             | 2024-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36179SGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383323 | PA      | $405373.11    | 0.10%             | 2039-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 1995-3                                 | CUSIP: 911760GT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     84090 | PA      | $85730.44     | 0.02%             | 2025-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2004-W8                                     | CUSIP: 31394ALM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    182825 | PA      | $183566.74    | 0.05%             | 2044-06-25      | Variable      | 9.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 36291EKG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6363 | PA      | $6252.20      | 0.00%             | 2023-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31417VNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387702 | PA      | $397707.82    | 0.10%             | 2040-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 1996-1                                 | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    333275 | PA      | $339972.77    | 0.09%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133T93B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49022 | PA      | $51072.43     | 0.01%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31297EYR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57669 | PA      | $60182.44     | 0.02%             | 2031-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31392CR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3348608 | PA      | $3580127.99   | 0.91%             | 2048-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36179XNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1904099 | PA      | $1955881.87   | 0.50%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31283YK23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17169 | PA      | $17148.59     | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COASTAL SECURITIES                                             | Small Business Administration Pools                          | CUSIP: 831628CT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1239514 | PA      | $1185543.14   | 0.30%             | 2036-08-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137BA3H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231429 | PA      | $221492.04    | 0.06%             | 2038-05-15      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382U2H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7081467 | PA      | $7317820.07   | 1.87%             | 2051-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133T6BZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33013 | PA      | $33930.12     | 0.01%             | 2025-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 31392M6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320406 | PA      | $339001.54    | 0.09%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2002-W8                                     | CUSIP: 31392DQ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    245702 | PA      | $258703.28    | 0.07%             | 2042-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 312926FL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36752 | PA      | $38823.00     | 0.01%             | 2036-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31416BV47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36809 | PA      | $36773.29     | 0.01%             | 2032-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164759 | PA      | $172902.69    | 0.04%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137H8X97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2960935 | PA      | $3063705.65   | 0.78%             | 2052-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38378EVJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233081 | PA      | $246437.06    | 0.06%             | 2042-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3138ETQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662219 | PA      | $684957.15    | 0.17%             | 2032-06-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38381AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    569652 | PA      | $599521.28    | 0.15%             | 2048-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31286DAL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2670 | PA      | $2667.86      | 0.00%             | 2025-10-01      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38379QS97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581415 | PA      | $611499.07    | 0.16%             | 2040-08-20      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154069 | PA      | $159860.86    | 0.04%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 313399FX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333870 | PA      | $339957.90    | 0.09%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31392FLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501875 | PA      | $518911.61    | 0.13%             | 2042-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2003-W13                              | CUSIP: 31393C7C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     86370 | PA      | $80393.94     | 0.02%             | 2033-10-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31335PLB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6574 | PA      | $6572.65      | 0.00%             | 2027-03-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137B2FE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2909229 | PA      | $3015746.62   | 0.77%             | 2033-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382QRJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537701 | PA      | $557063.82    | 0.14%             | 2051-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2004-W15                                    | CUSIP: 31394BZ80<br>LEI: 549300KIT83OL5QXFU28 | Long             | ABS-MBS          | USGSE             | US        |     64300 | PA      | $67592.94     | 0.02%             | 2044-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2001-T1                             | CUSIP: 31358S4W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155226 | PA      | $157680.81    | 0.04%             | 2040-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2006-W3                               | CUSIP: 31396L7E4<br>LEI: 549300BSAMDSBFTN8J04 | Long             | ABS-MBS          | USGSE             | US        |    644687 | PA      | $637839.34    | 0.16%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136ARMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471292 | PA      | $471676.72    | 0.12%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2003-T4                             | CUSIP: 31393AV61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    302495 | PA      | $291461.29    | 0.07%             | 2033-09-26      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 3617KCC49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341145 | PA      | $339427.67    | 0.09%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31405AMZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73444 | PA      | $73227.03     | 0.02%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136BN2C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9576165 | PA      | $8954719.68   | 2.28%             | 2052-09-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38383DDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5690824 | PA      | $5844220.66   | 1.49%             | 2051-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382QQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1962001 | PA      | $1953988.29   | 0.50%             | 2051-05-20      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2002-W11                              | CUSIP: 31392EW63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8477 | PA      | $8334.54      | 0.00%             | 2032-11-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                             | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3072656.25   | 0.78%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                 | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137B4GY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7907154 | PA      | $7846851.20   | 2.00%             | 2023-05-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136AQC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86429 | PA      | $86479.48     | 0.02%             | 2044-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87118 | PA      | $92707.83     | 0.02%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38381VMS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447298 | PA      | $465905.66    | 0.12%             | 2049-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                                  | United States Small Business Administration                  | CUSIP: 83162CRX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    542232 | PA      | $536076.82    | 0.14%             | 2028-07-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2003-W4                               | CUSIP: 31393AP92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1181994 | PA      | $1199986.43   | 0.31%             | 2042-10-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31392GRW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119779 | PA      | $122445.01    | 0.03%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3138EMRU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388830 | PA      | $404138.03    | 0.10%             | 2051-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36176WKN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594813 | PA      | $598818.82    | 0.15%             | 2031-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 2001-3                                 | CUSIP: 911760RB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    519379 | PA      | $540049.27    | 0.14%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140MF3U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1843975 | PA      | $1794658.72   | 0.46%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TNHW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8014 | PA      | $8152.58      | 0.00%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36179SW45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161986 | PA      | $170430.45    | 0.04%             | 2047-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TR5C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237340 | PA      | $243620.88    | 0.06%             | 2031-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 31339NUU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43087 | PA      | $44776.58     | 0.01%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TMN93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82167 | PA      | $86694.58     | 0.02%             | 2029-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382WKV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4563716 | PA      | $4677581.04   | 1.19%             | 2051-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38378YTV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335675 | PA      | $348523.22    | 0.09%             | 2043-11-20      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                                  | United States Small Business Administration                  | CUSIP: 83162CRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    122969 | PA      | $122064.43    | 0.03%             | 2027-08-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133T6JB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8097 | PA      | $8152.56      | 0.00%             | 2025-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TMYQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51275 | PA      | $53269.60     | 0.01%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31396XT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301177 | PA      | $321792.24    | 0.08%             | 2037-11-25      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36202CZL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    435170 | PA      | $440330.78    | 0.11%             | 2028-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31381D5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1055 | PA      | $1055.62      | 0.00%             | 2025-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36179MA59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88473 | PA      | $92000.57     | 0.02%             | 2039-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36179NRA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194184 | PA      | $202648.35    | 0.05%             | 2039-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31410GJ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440815 | PA      | $426900.70    | 0.11%             | 2047-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2007-W1                               | CUSIP: 31396XD35<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |    725472 | PA      | $724048.82    | 0.18%             | 2047-08-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2002-T18                            | CUSIP: 31392GFR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2431171 | PA      | $2625310.48   | 0.67%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2002-W12                              | CUSIP: 31392GSN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1303664 | PA      | $1269994.06   | 0.32%             | 2033-02-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136BC5P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3964979 | PA      | $4016803.21   | 1.02%             | 2050-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382TZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4279425 | PA      | $4405115.06   | 1.12%             | 2051-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38379WEP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722021 | PA      | $765367.49    | 0.20%             | 2038-12-20      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382MUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    526981 | PA      | $522614.99    | 0.13%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137F8AV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3206663 | PA      | $3258844.66   | 0.83%             | 2050-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133T4NZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6865 | PA      | $6894.52      | 0.00%             | 2024-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35772 | PA      | $37240.63     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36202D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293748 | PA      | $303736.74    | 0.08%             | 2034-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2003-W6                                     | CUSIP: 31393BX59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30834 | PA      | $33147.46     | 0.01%             | 2042-10-25      | Variable      | 8.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136ANNW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685404 | PA      | $695844.60    | 0.18%             | 2030-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2009-W1                               | CUSIP: 31398F7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    179454 | PA      | $182050.67    | 0.05%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31402FJN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329164 | PA      | $330502.48    | 0.08%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2003-W12                                    | CUSIP: 31393ELQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    467183 | PA      | $458355.43    | 0.12%             | 2043-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2004-W2                                     | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    917987 | PA      | $958574.02    | 0.24%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382QLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3980229 | PA      | $3949658.82   | 1.01%             | 2051-04-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31396XR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149696 | PA      | $159718.14    | 0.04%             | 2037-11-25      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 31393J2B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1141535 | PA      | $1176535.44   | 0.30%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 3617FURS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11920961 | PA      | $12002664.08  | 3.06%             | 2062-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382LUB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3033798 | PA      | $3058274.62   | 0.78%             | 2050-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136B4DK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    816858 | PA      | $892103.82    | 0.23%             | 2049-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31402RXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69503 | PA      | $71129.98     | 0.02%             | 2033-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Reference Remic                                    | Freddie Mac Reference REMIC                                  | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1252969 | PA      | $1286871.08   | 0.33%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 36294SEF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105754 | PA      | $105531.16    | 0.03%             | 2036-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 3622AABQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4985910 | PA      | $5247655.23   | 1.34%             | 2045-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31393EF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537890 | PA      | $544283.60    | 0.14%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136AHHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692336 | PA      | $713583.51    | 0.18%             | 2053-12-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2003-W2                                     | CUSIP: 31392JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    745287 | PA      | $781237.49    | 0.20%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136B0UC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803591 | PA      | $832100.74    | 0.21%             | 2048-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31419GEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48208 | PA      | $51184.95     | 0.01%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2003-W17                                    | CUSIP: 31393UAK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    289757 | PA      | $293335.82    | 0.07%             | 2033-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359PW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15242 | PA      | $15733.31     | 0.00%             | 2027-07-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 36241LSR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43501 | PA      | $43396.76     | 0.01%             | 2024-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140HXN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $2481584.01   | 0.63%             | 2035-02-01      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2002-T4                             | CUSIP: 31392B6W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    148924 | PA      | $161406.51    | 0.04%             | 2041-12-25      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31358SMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40688 | PA      | $44637.39     | 0.01%             | 2030-10-25      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 1998-1                                 | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    403632 | PA      | $406463.30    | 0.10%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Pool                                             | CUSIP: 31334YEW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    979504 | PA      | $1011711.38   | 0.26%             | 2049-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382QJP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1962131 | PA      | $2054615.83   | 0.52%             | 2051-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383974 | PA      | $392728.31    | 0.10%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2004-W11                              | CUSIP: 31394AB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    534481 | PA      | $574613.49    | 0.15%             | 2044-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382QPX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2415780 | PA      | $2412119.79   | 0.62%             | 2051-05-20      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359QMM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14585 | PA      | $14993.24     | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359RAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31853 | PA      | $32033.25     | 0.01%             | 2027-12-18      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                          | Vendee Mortgage Trust 1995-1                                 | CUSIP: 911760FR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36071 | PA      | $36250.54     | 0.01%             | 2025-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                           | CUSIP: 3128HX6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1099688 | PA      | $1123277.34   | 0.29%             | 2042-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31371NME2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35447 | PA      | $35571.04     | 0.01%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38381BLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1028635 | PA      | $1042373.92   | 0.27%             | 2049-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38379VR22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382755 | PA      | $398209.73    | 0.10%             | 2039-07-20      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38374ECZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1140520 | PA      | $1152402.86   | 0.29%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382TZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1256345 | PA      | $1293244.79   | 0.33%             | 2051-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2002-T1                             | CUSIP: 31392A7D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49525 | PA      | $54464.46     | 0.01%             | 2031-11-25      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133T4UA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7753 | PA      | $7764.22      | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128DHB60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22595 | PA      | $22568.06     | 0.01%             | 2027-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38374B3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87265 | PA      | $88100.20     | 0.02%             | 2033-09-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31390AGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17230 | PA      | $17189.53     | 0.00%             | 2031-07-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2004-W1                                     | CUSIP: 31393U4N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2355968 | PA      | $2423981.77   | 0.62%             | 2043-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140HXMP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $2535572.80   | 0.65%             | 2035-02-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140X7AQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3329645 | PA      | $3504173.90   | 0.89%             | 2041-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38379LAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358696 | PA      | $385708.41    | 0.10%             | 2045-02-20      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31396PNE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46274 | PA      | $49892.49     | 0.01%             | 2032-06-25      | Variable      | 9.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761780 | PA      | $786792.62    | 0.20%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137FL2Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1073334 | PA      | $1168971.91   | 0.30%             | 2049-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 313929TP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197583 | PA      | $206160.71    | 0.05%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140QPTH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2237239 | PA      | $2278393.87   | 0.58%             | 2052-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31286DJ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46882 | PA      | $47566.99     | 0.01%             | 2037-10-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2002-W5                               | CUSIP: 31392DJ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1438107 | PA      | $1516090.36   | 0.39%             | 2032-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359QUS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66433 | PA      | $68295.41     | 0.02%             | 2027-09-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TVL20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15239 | PA      | $16355.77     | 0.00%             | 2032-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133T3TD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14450 | PA      | $14480.96     | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31394JY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    636300 | PA      | $652727.10    | 0.17%             | 2043-09-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359HPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67596 | PA      | $67488.26     | 0.02%             | 2024-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31392MEJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291989 | PA      | $298930.80    | 0.08%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140FUJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1642767 | PA      | $1617764.04   | 0.41%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38380AYF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    848546 | PA      | $869893.50    | 0.22%             | 2037-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TNBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34456 | PA      | $36263.19     | 0.01%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                            | CUSIP: 36208NRH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324060 | PA      | $333511.17    | 0.09%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31381D2R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2400 | PA      | $2398.55      | 0.00%             | 2028-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136BDJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427475 | PA      | $427254.16    | 0.11%             | 2051-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128M9NG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1596783 | PA      | $1698324.64   | 0.43%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2001-T5                             | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    607304 | PA      | $623494.63    | 0.16%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31335PLT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170623 | PA      | $174287.14    | 0.04%             | 2031-02-17      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137FLKW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278658 | PA      | $288834.84    | 0.07%             | 2049-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2003-W6                                     | CUSIP: 31393BX26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674388 | PA      | $773443.01    | 0.20%             | 2042-09-25      | Variable      | 11.51%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31378QEF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94007 | PA      | $93194.69     | 0.02%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TANK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212311 | PA      | $217450.77    | 0.06%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31395D3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186289 | PA      | $191061.31    | 0.05%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31413TBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48054 | PA      | $47872.25     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38380XX85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1426606 | PA      | $1492382.17   | 0.38%             | 2048-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31405Q2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45551 | PA      | $46278.83     | 0.01%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136A2JW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276962 | PA      | $277158.50    | 0.07%             | 2041-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55136 | PA      | $57188.51     | 0.01%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382WXZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5145454 | PA      | $5112744.50   | 1.30%             | 2051-08-20      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382MSV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3171402 | PA      | $3280854.01   | 0.84%             | 2051-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31335PMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19369 | PA      | $19240.08     | 0.00%             | 2031-02-17      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TKAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297679 | PA      | $304572.72    | 0.08%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 3133TGDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       293 | PA      | $282.97       | 0.00%             | 2029-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31392AJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380365 | PA      | $390988.64    | 0.10%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TM4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180905 | PA      | $190988.35    | 0.05%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31393DLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235440 | PA      | $242056.67    | 0.06%             | 2033-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36176MPL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1457042 | PA      | $1501934.94   | 0.38%             | 2031-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31392DBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200034 | PA      | $207424.09    | 0.05%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136BCZS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3388385 | PA      | $3398117.86   | 0.87%             | 2050-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136AMBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108170 | PA      | $1091554.56   | 0.28%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31393NTF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1975403 | PA      | $2084881.45   | 0.53%             | 2043-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 1996-W2                               | CUSIP: 31359KGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1957 | PA      | $1981.33      | 0.00%             | 2026-06-25      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31371NQE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10238 | PA      | $10413.52     | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TPN54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58380 | PA      | $62532.74     | 0.02%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137B66C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260876 | PA      | $273511.18    | 0.07%             | 2043-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133T1CA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9997 | PA      | $10016.59     | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31418MYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2188372 | PA      | $2306198.83   | 0.59%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2002-T4                             | CUSIP: 31392B6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    227459 | PA      | $237533.17    | 0.06%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2004-W2                                     | CUSIP: 31393XGU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    334033 | PA      | $349261.25    | 0.09%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137H0K23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5223987 | PA      | $5425538.61   | 1.38%             | 2051-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133T7ZF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20930 | PA      | $21187.48     | 0.01%             | 2026-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136A4ZP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158822 | PA      | $161686.94    | 0.04%             | 2042-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 3617FUVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1903779 | PA      | $1931719.55   | 0.49%             | 2062-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31418DPS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507208 | PA      | $516559.51    | 0.13%             | 2050-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382QQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3201876 | PA      | $3339194.10   | 0.85%             | 2051-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140J5EL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795773 | PA      | $839876.61    | 0.21%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3137BLU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1749717 | PA      | $1876435.18   | 0.48%             | 2045-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2003-W18                              | CUSIP: 31393UNR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    547622 | PA      | $542657.68    | 0.14%             | 2043-08-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2003-W16                              | CUSIP: 31393T4J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    351520 | PA      | $334255.78    | 0.09%             | 2033-11-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2001-T4                             | CUSIP: 31359SR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1035733 | PA      | $1032866.25   | 0.26%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38379VZ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3356264 | PA      | $3430429.56   | 0.87%             | 2040-04-20      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 312914PK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2627 | PA      | $2622.21      | 0.00%             | 2023-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31381D2Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5085 | PA      | $5089.39      | 0.00%             | 2030-07-20      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31335PEF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6334 | PA      | $6312.01      | 0.00%             | 2024-12-17      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38379QT21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1402414 | PA      | $1461142.27   | 0.37%             | 2039-01-20      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382QRG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7029223 | PA      | $7274531.15   | 1.85%             | 2051-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 3617FUSL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3993054 | PA      | $4051658.34   | 1.03%             | 2062-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 3617NHW68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386152 | PA      | $407547.30    | 0.10%             | 2037-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31394JD95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728242 | PA      | $769915.09    | 0.20%             | 2043-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2004-T3                             | CUSIP: 31393YU86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    803756 | PA      | $844451.04    | 0.22%             | 2044-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31392MEM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    774362 | PA      | $737660.89    | 0.19%             | 2032-07-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38378PS41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    368055 | PA      | $386065.40    | 0.10%             | 2039-04-20      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                                     | FHLMC-GNMA                                                   | CUSIP: 3129145M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       345 | PA      | $343.27       | 0.00%             | 2023-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae Trust 2003-W3                                     | CUSIP: 31392JYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    512923 | PA      | $512323.35    | 0.13%             | 2042-06-25      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359X3X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190277 | PA      | $207083.84    | 0.05%             | 2030-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5222493 | PA      | $5032370.83   | 1.28%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36176MPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503241 | PA      | $518772.00    | 0.13%             | 2031-10-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2001-W2                               | CUSIP: 313920XZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46512 | PA      | $46769.43     | 0.01%             | 2031-10-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113301 | PA      | $120296.67    | 0.03%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                           | Fannie Mae REMIC Trust 2002-W1                               | CUSIP: 31392CMS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1746118 | PA      | $1706525.20   | 0.44%             | 2042-02-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38383CPF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500751 | PA      | $522209.33    | 0.13%             | 2051-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36179NGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208033 | PA      | $213754.92    | 0.05%             | 2043-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36176MPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2952900 | PA      | $2921548.28   | 0.74%             | 2031-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                                     | FHLMC-GNMA                                                   | CUSIP: 3133T5ER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2070 | PA      | $2079.36      | 0.00%             | 2024-04-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                           | CUSIP: 36179MC73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151020 | PA      | $155042.25    | 0.04%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2000-T6                             | CUSIP: 31358SR37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1055574 | PA      | $1042119.01   | 0.27%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38373XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    862833 | PA      | $859366.24    | 0.22%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                                  | United States Small Business Administration                  | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    508661 | PA      | $505789.51    | 0.13%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38381RPL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1017298 | PA      | $1055408.33   | 0.27%             | 2048-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2001-T5                             | CUSIP: 31359SX96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    767055 | PA      | $787430.36    | 0.20%             | 2041-06-19      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 312915HW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       333 | PA      | $332.61       | 0.00%             | 2023-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359LMW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2509 | PA      | $2550.42      | 0.00%             | 2025-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 31287T3A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8921 | PA      | $8913.62      | 0.00%             | 2031-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3136BNGH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1930375 | PA      | $1926146.49   | 0.49%             | 2033-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2002-T12                            | CUSIP: 31392D7G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1988172 | PA      | $2102197.19   | 0.54%             | 2042-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 3140X4SN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1896667 | PA      | $1993744.68   | 0.51%             | 2038-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128CUQU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257237 | PA      | $258575.95    | 0.07%             | 2028-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31377UKR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794221 | PA      | $791789.09    | 0.20%             | 2035-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                        | Fannie Mae Grantor Trust 2004-T3                             | CUSIP: 31393YU78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    605275 | PA      | $633509.35    | 0.16%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31392CAW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380177 | PA      | $401043.98    | 0.10%             | 2042-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382NLX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3257170 | PA      | $3112662.68   | 0.79%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38375G5B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577534 | PA      | $597745.21    | 0.15%             | 2040-10-20      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 31359UUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125434 | PA      | $125935.17    | 0.03%             | 2028-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                              | CUSIP: 31417E5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155499 | PA      | $154990.73    | 0.04%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                            | CUSIP: 3139213J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84205 | PA      | $89972.72     | 0.02%             | 2030-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                           | CUSIP: 3133TPVW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135828 | PA      | $144575.60    | 0.04%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                        | CUSIP: 3128LXL73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6972 | PA      | $6975.26      | 0.00%             | 2031-05-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                     | CUSIP: 38382K2B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1804965 | PA      | $1892939.78   | 0.48%             | 2050-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** SIT U.S. GOVERNMENT SECURITIES FUND, INC.

**Signature:** Paul Rasmussen

**Name of Signer:** Paul Rasmussen

**Title:** VP, Treasurer & Chief Compliance Officer