# EDGAR Filing Document

**Accession Number:** 0000802716
**File Stem:** 0001752724-23-040997
**Filing Date:** 2023-2
**Character Count:** 201841
**Document Hash:** c577ed588e23a8b34539f67a1e5169e9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-040997.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-040997

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VICTORY PORTFOLIOS
- **CENTRAL INDEX KEY:** 0000802716
- **IRS NUMBER:** 316364605
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04852
- **FILM NUMBER:** 23670781

**BUSINESS ADDRESS:**
- **STREET 1:** 4900 TIEDEMAN ROAD
- **CITY:** BROOKLYN
- **STATE:** OH
- **ZIP:** 44144
- **BUSINESS PHONE:** 6144708000

**MAIL ADDRESS:**
- **STREET 1:** 4900 TIEDEMAN ROAD
- **CITY:** BROOKLYN
- **STATE:** OH
- **ZIP:** 44144

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SOCIETY FUNDS
- **DATE OF NAME CHANGE:** 19940906

## Series and Classes Contracts Data

### Victory INCORE Fund for Income (Series ID: S000000792)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000002344 | Class A      | IPFIX           |
| C000002345 | Class C      | VFFCX           |
| C000002346 | Class R      | GGIFX           |
| C000098399 | Class I      | VFFIX           |
| C000111273 | Class Y      | VFFYX           |
| C000155524 | Class R6     | VFFRX           |
| C000219862 | Member Class | VFFMX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Victory Portfolios

- **b. Investment Company Act file number:** 811-04852

- **c. CIK number of Registrant:** 0000802716

- **d. LEI of Registrant:** 549300V07N3HJP1EW330

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

  - **Street Address 1:** 4900 Tiedeman Road 4th Floor

  - **City:** Brooklyn

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 44144

  - **Telephone number:** 800-539-3863

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

- **a. Name of Series:** Victory INCORE Fund for Income

- **b. EDGAR series identifier (if any):** S000000792

- **c. LEI of Series:** 549300Q6NPQ3FQP3QL05

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

- **a. Date of fiscal year-end:** 2023-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $431186797.03

**Total Liabilities:** $468130.18

**Net Assets:** $430718666.85

**Currency Risk Metrics (dv01):**

- 

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

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

**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 C000111273 | -0.33%               | 1.06%                | -0.12%               |
| Class ID C000098399 | -0.33%               | 1.07%                | -0.12%               |
| Class ID C000002344 | -0.36%               | 1.19%                | -0.28%               |
| Class ID C000002345 | -0.43%               | 1.13%                | -0.36%               |
| Class ID C000155524 | -0.33%               | 1.07%                | -0.12%               |
| Class ID C000219862 | -0.34%               | 1.06%                | -0.13%               |
| Class ID C000002346 | -0.36%               | 1.05%                | -0.14%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1074985.44             | $-2209046.82                               |
| Month 2  | $-952603.98              | $4661284.04                                |
| Month 3  | $-1466866.22             | $-781984.49                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206DFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2215 | PA      | $2276.60      | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38381RFT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3661395 | PA      | $3842635.52   | 0.89%             | 2049-02-20      | Variable      | 7.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAA46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1137966 | PA      | $1199475.79   | 0.28%             | 2031-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    767246 | PA      | $798854.52    | 0.19%             | 2030-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2TX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1022210 | PA      | $1064068.95   | 0.25%             | 2035-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BCN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28506 | PA      | $29397.44     | 0.01%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225BSP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    732770 | PA      | $787010.90    | 0.18%             | 2031-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179RXJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52462 | PA      | $55397.13     | 0.01%             | 2046-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36209ECY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19052 | PA      | $18467.39     | 0.00%             | 2028-06-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211YCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16692 | PA      | $15717.76     | 0.00%             | 2029-11-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2A85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    978777 | PA      | $1030375.81   | 0.24%             | 2034-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241L5Z5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2315699 | PA      | $2453116.90   | 0.57%             | 2036-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36296UKB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5657 | PA      | $5641.00      | 0.00%             | 2023-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202C4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13277 | PA      | $13498.28     | 0.00%             | 2028-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225B5Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    242755 | PA      | $251352.19    | 0.06%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DQN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1180249 | PA      | $1228352.19   | 0.29%             | 2031-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622ABKU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7208329 | PA      | $7209750.82   | 1.67%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DNM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13906 | PA      | $14344.32     | 0.00%             | 2031-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36241KZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    630568 | PA      | $667687.14    | 0.16%             | 2035-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36212FRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23772 | PA      | $23740.44     | 0.01%             | 2030-05-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DEX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5748 | PA      | $5847.42      | 0.00%             | 2029-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202ESK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52549 | PA      | $52608.95     | 0.01%             | 2038-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36179RXL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    131756 | PA      | $131497.03    | 0.03%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200S6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    116490 | PA      | $118205.23    | 0.03%             | 2031-09-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36225BUB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    539488 | PA      | $567912.77    | 0.13%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225AUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26883 | PA      | $26909.10     | 0.01%             | 2023-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36291SLD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    112125 | PA      | $115027.10    | 0.03%             | 2024-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225AVG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       876 | PA      | $901.14       | 0.00%             | 2027-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DDP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    280777 | PA      | $288611.98    | 0.07%             | 2029-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36210QY48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        73 | PA      | $73.35        | 0.00%             | 2029-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DS36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66370 | PA      | $69229.45     | 0.02%             | 2032-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225ATS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        40 | PA      | $41.17        | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1486403 | PA      | $1564908.22   | 0.36%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DQC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    245503 | PA      | $253390.27    | 0.06%             | 2031-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203DFL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        91 | PA      | $93.50        | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1228893 | PA      | $1291090.85   | 0.30%             | 2032-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211PNA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19735 | PA      | $19314.20     | 0.00%             | 2029-08-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36224WM59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        88 | PA      | $88.20        | 0.00%             | 2023-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36204MBL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2433 | PA      | $2500.49      | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DPS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    936648 | PA      | $972631.02    | 0.23%             | 2031-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179SEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17737 | PA      | $18730.23     | 0.00%             | 2046-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DAR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7434 | PA      | $7593.27      | 0.00%             | 2029-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36297F3B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    501566 | PA      | $510481.97    | 0.12%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DGR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17999 | PA      | $18630.35     | 0.00%             | 2030-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211HAR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20249 | PA      | $19695.57     | 0.00%             | 2029-05-20      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36193SQY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       633 | PA      | $658.74       | 0.00%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2QC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1342444 | PA      | $1401162.62   | 0.33%             | 2034-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36291SLZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     63398 | PA      | $64989.47     | 0.02%             | 2025-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622ABMF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11250402 | PA      | $11706539.35  | 2.72%             | 2045-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179RLU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59753 | PA      | $63102.31     | 0.01%             | 2045-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211PFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        39 | PA      | $38.83        | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6242783 | PA      | $6437518.65   | 1.49%             | 2032-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DBY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10274 | PA      | $10497.95     | 0.00%             | 2029-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36176SE55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    152831 | PA      | $161328.83    | 0.04%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G2 | CUSIP: 36202C7A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4704 | PA      | $4759.84      | 0.00%             | 2028-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179N6A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10726 | PA      | $11326.75     | 0.00%             | 2044-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CVX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11641 | PA      | $11772.30     | 0.00%             | 2027-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36209K6X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44306 | PA      | $45108.76     | 0.01%             | 2028-06-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DBW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26426 | PA      | $27530.88     | 0.01%             | 2029-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DDN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25699 | PA      | $26543.59     | 0.01%             | 2029-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225AXS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8445 | PA      | $8680.16      | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36209XLB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24543 | PA      | $24627.54     | 0.01%             | 2028-08-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AABP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1342376 | PA      | $1428456.24   | 0.33%             | 2032-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36241LH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4721 | PA      | $4813.54      | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2FK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1477385 | PA      | $1537080.02   | 0.36%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3620A9YC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    887211 | PA      | $897303.80    | 0.21%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DRH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    396352 | PA      | $408085.46    | 0.09%             | 2032-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DTF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1935677 | PA      | $2020161.86   | 0.47%             | 2032-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225BEL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    517963 | PA      | $532399.25    | 0.12%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DBH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42043 | PA      | $42773.94     | 0.01%             | 2029-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622ABAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    843003 | PA      | $883213.79    | 0.21%             | 2034-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AANR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5714351 | PA      | $6119623.33   | 1.42%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179UAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2127 | PA      | $2245.89      | 0.00%             | 2048-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2D66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1321770 | PA      | $1370958.26   | 0.32%             | 2039-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A3CM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     99476 | PA      | $105334.36    | 0.02%             | 2040-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DTE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     96490 | PA      | $100563.28    | 0.02%             | 2032-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202EUR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1889594 | PA      | $1897543.30   | 0.44%             | 2038-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAX82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2046409 | PA      | $2166634.57   | 0.50%             | 2034-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2Q96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1270008 | PA      | $1341255.74   | 0.31%             | 2038-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAD35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    862316 | PA      | $903410.26    | 0.21%             | 2049-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200TCB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7080 | PA      | $6971.19      | 0.00%             | 2031-08-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BSN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    240683 | PA      | $248133.17    | 0.06%             | 2032-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179S2U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13999 | PA      | $14719.76     | 0.00%             | 2047-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DMT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    122271 | PA      | $128779.41    | 0.03%             | 2031-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BMG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    912572 | PA      | $943377.63    | 0.22%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225AR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1306 | PA      | $1343.57      | 0.00%             | 2027-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36213BJW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    647969 | PA      | $647616.29    | 0.15%             | 2031-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202D3G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    250835 | PA      | $255982.50    | 0.06%             | 2034-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G2 | CUSIP: 36202C5T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    650926 | PA      | $656268.33    | 0.15%             | 2028-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    393402 | PA      | $403191.18    | 0.09%             | 2030-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36224PWK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       111 | PA      | $113.60       | 0.00%             | 2023-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4739518 | PA      | $5026602.51   | 1.17%             | 2038-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36209A5W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25987 | PA      | $24427.06     | 0.01%             | 2028-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LE44<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5368703 | PA      | $5518335.18   | 1.28%             | 2032-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAAT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4800953 | PA      | $5017501.04   | 1.16%             | 2038-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38378MH99<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    589687 | PA      | $610380.16    | 0.14%             | 2038-12-20      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206PUM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1230 | PA      | $1263.94      | 0.00%             | 2026-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DUV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1349801 | PA      | $1398572.35   | 0.32%             | 2032-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36241KMZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2074288 | PA      | $2228173.40   | 0.52%             | 2032-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241KHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    436530 | PA      | $458864.19    | 0.11%             | 2035-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36241KH92<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    706493 | PA      | $738177.01    | 0.17%             | 2034-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AARD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2248338 | PA      | $2289341.76   | 0.53%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36210JA32<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19123 | PA      | $18541.20     | 0.00%             | 2028-11-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36210H2M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22663 | PA      | $23073.18     | 0.01%             | 2028-10-20      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DJA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53201 | PA      | $55781.11     | 0.01%             | 2030-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202BWH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       291 | PA      | $290.73       | 0.00%             | 2024-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LWC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1126814 | PA      | $1181621.28   | 0.27%             | 2035-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DPC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    300909 | PA      | $314220.71    | 0.07%             | 2031-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200GSZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    209342 | PA      | $210860.28    | 0.05%             | 2032-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179UMQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5051 | PA      | $5313.12      | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DNL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    401420 | PA      | $418670.76    | 0.10%             | 2031-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36201JVT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     30687 | PA      | $29631.32     | 0.01%             | 2032-03-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAGK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2745358 | PA      | $2857505.99   | 0.66%             | 2041-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36207B3Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       295 | PA      | $303.58       | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DUK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1032381 | PA      | $1056935.24   | 0.25%             | 2032-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203UXZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       132 | PA      | $135.23       | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179MX96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44947 | PA      | $47436.47     | 0.01%             | 2043-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202D4A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    393472 | PA      | $415463.14    | 0.10%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206JQ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3824 | PA      | $3930.84      | 0.00%             | 2025-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4835 | PA      | $5037.42      | 0.00%             | 2029-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BMH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    928984 | PA      | $952603.18    | 0.22%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179RN39<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1103 | PA      | $1164.48      | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36205RXZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       774 | PA      | $795.63       | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622A3BC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    761250 | PA      | $777591.57    | 0.18%             | 2031-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G2 | CUSIP: 36202DEL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    224909 | PA      | $231958.15    | 0.05%             | 2029-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179TNW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    163073 | PA      | $172189.21    | 0.04%             | 2047-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179REC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2974 | PA      | $3140.71      | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2C67<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1027619 | PA      | $1069534.37   | 0.25%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DM73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12948 | PA      | $13361.54     | 0.00%             | 2031-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36207ECG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       262 | PA      | $269.02       | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206MBW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       185 | PA      | $190.65       | 0.00%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622ABFK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1328940 | PA      | $1332351.50   | 0.31%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202FAV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    505164 | PA      | $513769.26    | 0.12%             | 2039-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225B7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    375205 | PA      | $397601.46    | 0.09%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179UK35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4554 | PA      | $4807.43      | 0.00%             | 2049-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LNH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    556361 | PA      | $587771.90    | 0.14%             | 2038-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36241KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    579017 | PA      | $603605.11    | 0.14%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DU82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    920530 | PA      | $971944.97    | 0.23%             | 2032-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206UXQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2442 | PA      | $2509.70      | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36241KVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2026-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAB60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    935391 | PA      | $978758.57    | 0.23%             | 2039-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2Q54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    909666 | PA      | $949121.01    | 0.22%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38378TLP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    575880 | PA      | $604104.14    | 0.14%             | 2039-02-20      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2XR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1780073 | PA      | $1886021.28   | 0.44%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622A3BA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    723868 | PA      | $763482.60    | 0.18%             | 2035-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BBD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8458 | PA      | $8734.86      | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2DB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1036092 | PA      | $1075673.07   | 0.25%             | 2032-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179QWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54736 | PA      | $57802.23     | 0.01%             | 2044-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DBK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2480 | PA      | $2540.80      | 0.00%             | 2029-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CWC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14631 | PA      | $14750.93     | 0.00%             | 2027-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A22M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    879388 | PA      | $931277.40    | 0.22%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2VA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    305471 | PA      | $321298.87    | 0.07%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2V90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     62740 | PA      | $64884.65     | 0.02%             | 2035-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225B3E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3689391 | PA      | $3909456.73   | 0.91%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36213NGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    357400 | PA      | $357033.33    | 0.08%             | 2033-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DCS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6058 | PA      | $6126.30      | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38378HJB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    388962 | PA      | $410065.06    | 0.10%             | 2034-10-20      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36213LYL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11256 | PA      | $11296.69     | 0.00%             | 2031-06-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DWX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    413508 | PA      | $436602.37    | 0.10%             | 2033-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36212P5H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        42 | PA      | $42.18        | 0.00%             | 2030-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203LG48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       116 | PA      | $115.56       | 0.00%             | 2023-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225AG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       427 | PA      | $430.51       | 0.00%             | 2025-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CUT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7245 | PA      | $7320.98      | 0.00%             | 2027-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200SFX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     84828 | PA      | $85585.85     | 0.02%             | 2031-11-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DA68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2112 | PA      | $2131.66      | 0.00%             | 2029-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2EN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1024427 | PA      | $1076830.46   | 0.25%             | 2037-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2RB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2577519 | PA      | $2680868.69   | 0.62%             | 2033-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211TFN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14793 | PA      | $14611.09     | 0.00%             | 2029-09-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3837H1U90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    106867 | PA      | $106616.53    | 0.02%             | 2029-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAF33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2241714 | PA      | $2304193.81   | 0.53%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36200TNP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    164294 | PA      | $164167.87    | 0.04%             | 2033-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BM88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1024 | PA      | $1023.81      | 0.00%             | 2026-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36207MZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        10 | PA      | $10.28        | 0.00%             | 2026-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LE51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    822784 | PA      | $845716.37    | 0.20%             | 2025-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179SGR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38513 | PA      | $40670.76     | 0.01%             | 2046-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DV32<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    479529 | PA      | $496811.04    | 0.12%             | 2033-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2SH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2686678 | PA      | $2799819.89   | 0.65%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36290SBA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1865 | PA      | $1886.28      | 0.00%             | 2023-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36204JN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       135 | PA      | $138.83       | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DUW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    337995 | PA      | $346912.91    | 0.08%             | 2032-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211HDJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52102 | PA      | $53027.59     | 0.01%             | 2029-07-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2E57<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1574873 | PA      | $1618767.00   | 0.38%             | 2036-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200SKJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23410 | PA      | $22808.30     | 0.01%             | 2031-11-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36208NJU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1114 | PA      | $1144.60      | 0.00%             | 2027-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36219CTQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10310 | PA      | $10296.68     | 0.00%             | 2027-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAB86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    344958 | PA      | $357298.09    | 0.08%             | 2036-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DQP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     62869 | PA      | $64992.51     | 0.02%             | 2031-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179SU21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1282 | PA      | $1353.55      | 0.00%             | 2039-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200S3K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28185 | PA      | $27305.67     | 0.01%             | 2031-07-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LDF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    157674 | PA      | $162068.76    | 0.04%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DUU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2203544 | PA      | $2260187.63   | 0.52%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225BZ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    414164 | PA      | $428423.78    | 0.10%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2NU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    531532 | PA      | $537295.83    | 0.12%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241K3Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1682708 | PA      | $1763962.87   | 0.41%             | 2035-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38382MP86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3907611 | PA      | $4118357.85   | 0.96%             | 2051-01-20      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 383739LD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     89054 | PA      | $88890.89     | 0.02%             | 2031-03-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203HA43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       139 | PA      | $138.39       | 0.00%             | 2023-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36201EWP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98466 | PA      | $100094.94    | 0.02%             | 2032-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36213BSQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44880 | PA      | $44855.85     | 0.01%             | 2023-07-01      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202C6G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54367 | PA      | $56637.59     | 0.01%             | 2028-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DL90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10407 | PA      | $10843.55     | 0.00%             | 2031-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAF41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2982160 | PA      | $3065276.57   | 0.71%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DFY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47723 | PA      | $49317.27     | 0.01%             | 2030-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225B5F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    959890 | PA      | $960078.47    | 0.22%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LFB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6925439 | PA      | $7276602.51   | 1.69%             | 2034-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203EBV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       533 | PA      | $533.17       | 0.00%             | 2023-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAEN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1419491 | PA      | $1469352.29   | 0.34%             | 2039-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAKW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1416171 | PA      | $1500818.48   | 0.35%             | 2041-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DQA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1258 | PA      | $1310.39      | 0.00%             | 2031-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A27A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2400311 | PA      | $2541124.01   | 0.59%             | 2041-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202CMR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1988 | PA      | $2002.18      | 0.00%             | 2026-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38379PLC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    204884 | PA      | $215234.17    | 0.05%             | 2039-06-20      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II | CUSIP: 36202DPE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15519 | PA      | $16344.19     | 0.00%             | 2031-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202CYF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3904 | PA      | $3964.73      | 0.00%             | 2027-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36225BPC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1011396 | PA      | $1075002.52   | 0.25%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202C3Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1103038 | PA      | $1112257.57   | 0.26%             | 2028-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202EVX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4203 | PA      | $4190.15      | 0.00%             | 2023-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225BV21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    898436 | PA      | $946544.85    | 0.22%             | 2032-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38374L5Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34672 | PA      | $35895.42     | 0.01%             | 2035-09-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BES3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    147844 | PA      | $151312.61    | 0.04%             | 2029-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1751941 | PA      | $1833847.66   | 0.43%             | 2039-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1377176 | PA      | $1394890.91   | 0.32%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DLW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5222 | PA      | $5441.22      | 0.00%             | 2031-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179SW45<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    305690 | PA      | $321460.19    | 0.07%             | 2047-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A3AK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    739052 | PA      | $776063.82    | 0.18%             | 2031-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36290NM74<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21395 | PA      | $21408.00     | 0.00%             | 2025-07-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179NJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9465 | PA      | $9995.85      | 0.00%             | 2043-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206KPZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       117 | PA      | $119.90       | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225AFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       327 | PA      | $335.78       | 0.00%             | 2024-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241KKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7664899 | PA      | $7953733.38   | 1.85%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DLF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7920 | PA      | $8273.53      | 0.00%             | 2031-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36241LUK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47723 | PA      | $51281.77     | 0.01%             | 2040-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38378A2H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    542214 | PA      | $561910.03    | 0.13%             | 2031-11-20      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DV24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40395 | PA      | $41434.20     | 0.01%             | 2033-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LTK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5157756 | PA      | $5335536.37   | 1.24%             | 2035-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DQM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     83298 | PA      | $87185.35     | 0.02%             | 2031-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LL53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         2 | PA      | $2.20         | 0.00%             | 2025-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36210TLC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24326 | PA      | $23358.26     | 0.01%             | 2028-11-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36213LT59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20545 | PA      | $19266.54     | 0.00%             | 2031-05-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179S5R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14186 | PA      | $14979.84     | 0.00%             | 2047-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36225AN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    303919 | PA      | $311045.39    | 0.07%             | 2026-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206PS92<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       242 | PA      | $248.36       | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LXJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2324469 | PA      | $2434037.44   | 0.57%             | 2037-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36212LDK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4103 | PA      | $4093.73      | 0.00%             | 2030-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206QTS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6183 | PA      | $6355.79      | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202C2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       731 | PA      | $743.18       | 0.00%             | 2028-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200GSQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41120 | PA      | $41366.61     | 0.01%             | 2032-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36241KJA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3145504 | PA      | $3361042.93   | 0.78%             | 2035-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225AXF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2051 | PA      | $2114.65      | 0.00%             | 2027-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36205XCV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       798 | PA      | $812.02       | 0.00%             | 2033-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206VQB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4198 | PA      | $4315.05      | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179RJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10187 | PA      | $10756.34     | 0.00%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAJZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1184284 | PA      | $1245335.76   | 0.29%             | 2032-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36213MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    168953 | PA      | $173155.61    | 0.04%             | 2031-08-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAS88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    528974 | PA      | $545361.73    | 0.13%             | 2035-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36209XLC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10743 | PA      | $10117.53     | 0.00%             | 2028-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202BXM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       263 | PA      | $262.36       | 0.00%             | 2024-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36205BLD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        22 | PA      | $21.88        | 0.00%             | 2024-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36204RN61<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3734 | PA      | $3838.22      | 0.00%             | 2025-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BMC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    318525 | PA      | $329959.73    | 0.08%             | 2029-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179M2V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17710 | PA      | $18701.49     | 0.00%             | 2043-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DSQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27311 | PA      | $28339.50     | 0.01%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AABE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    504786 | PA      | $496212.35    | 0.12%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2S60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10010615 | PA      | $10289623.15  | 2.39%             | 2030-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203N7D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1259 | PA      | $1294.58      | 0.00%             | 2023-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DCC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    646980 | PA      | $664500.83    | 0.15%             | 2029-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211BRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12142 | PA      | $11426.43     | 0.00%             | 2028-12-20      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AASS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    751228 | PA      | $793125.71    | 0.18%             | 2050-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36213NH25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    140340 | PA      | $140261.68    | 0.03%             | 2031-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | UNITED STATES TREASURY BILL                 | CUSIP: 912796W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2923000 | PA      | $2873516.80   | 0.67%             | 2023-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36241LUU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    438398 | PA      | $436175.65    | 0.10%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2YE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    605435 | PA      | $625133.55    | 0.15%             | 2035-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAFR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2929386 | PA      | $3050182.74   | 0.71%             | 2038-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAQ31<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1272910 | PA      | $1320881.73   | 0.31%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DSR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    540187 | PA      | $563330.83    | 0.13%             | 2032-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2SM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    443094 | PA      | $455825.98    | 0.11%             | 2038-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2VX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    118319 | PA      | $121243.98    | 0.03%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DNN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45112 | PA      | $46976.25     | 0.01%             | 2031-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DT76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    275972 | PA      | $286804.59    | 0.07%             | 2032-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BD47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25297 | PA      | $25292.23     | 0.01%             | 2024-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36241KAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133744 | PA      | $131911.16    | 0.03%             | 2033-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DRG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8743 | PA      | $9105.17      | 0.00%             | 2032-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36204ULF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4330 | PA      | $4451.09      | 0.00%             | 2025-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38378DU29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1260491 | PA      | $1312072.55   | 0.30%             | 2039-11-20      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3620A2UH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3060015 | PA      | $3012321.68   | 0.70%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BBZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    299035 | PA      | $308137.09    | 0.07%             | 2029-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CM91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3236 | PA      | $3265.34      | 0.00%             | 2026-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DQB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    450422 | PA      | $468587.24    | 0.11%             | 2031-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179TG90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15377 | PA      | $16235.57     | 0.00%             | 2047-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DS44<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3621477 | PA      | $3765828.78   | 0.87%             | 2032-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241KKG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2489350 | PA      | $2628232.00   | 0.61%             | 2035-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36291BH34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       337 | PA      | $339.38       | 0.00%             | 2023-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2ET5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1421207 | PA      | $1488456.26   | 0.35%             | 2036-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAAM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    612352 | PA      | $647301.52    | 0.15%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36241LWR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58804 | PA      | $62207.10     | 0.01%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36296UVK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     85685 | PA      | $87710.97     | 0.02%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38374L5Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5123 | PA      | $5235.68      | 0.00%             | 2035-09-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAKZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1704419 | PA      | $1806310.87   | 0.42%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179TC45<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       776 | PA      | $819.43       | 0.00%             | 2047-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179RQ77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13626 | PA      | $14389.27     | 0.00%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225AGH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33719 | PA      | $34180.85     | 0.01%             | 2025-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36209A6E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11009 | PA      | $10368.28     | 0.00%             | 2030-06-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36210H2L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39112 | PA      | $38101.68     | 0.01%             | 2028-09-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206VQH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        57 | PA      | $58.48        | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202C6L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13236 | PA      | $13457.33     | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DPF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51475 | PA      | $52880.15     | 0.01%             | 2031-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAHT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1125636 | PA      | $1153818.93   | 0.27%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179SQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22665 | PA      | $23928.99     | 0.01%             | 2040-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179RZY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19772 | PA      | $20871.75     | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LQ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1249026 | PA      | $1307669.50   | 0.30%             | 2035-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36212V2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23102 | PA      | $23169.56     | 0.01%             | 2030-12-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225BB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    414865 | PA      | $431738.21    | 0.10%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DT68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     91085 | PA      | $96930.45     | 0.02%             | 2032-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AACG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    930128 | PA      | $984684.01    | 0.23%             | 2041-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202C7B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1123 | PA      | $1144.88      | 0.00%             | 2028-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200SH94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56235 | PA      | $57164.14     | 0.01%             | 2031-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241KLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    603813 | PA      | $630443.89    | 0.15%             | 2032-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2TZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1559274 | PA      | $1599275.03   | 0.37%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2002 | PA      | $2025.13      | 0.00%             | 2029-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179RB40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40224 | PA      | $42453.94     | 0.01%             | 2045-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241L5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2256037 | PA      | $2350450.52   | 0.55%             | 2037-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAAR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    646463 | PA      | $672106.21    | 0.16%             | 2039-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4815 | PA      | $4844.03      | 0.00%             | 2026-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36241KHY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3115517 | PA      | $3270245.96   | 0.76%             | 2034-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225AQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       901 | PA      | $900.17       | 0.00%             | 2023-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211HDC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36414 | PA      | $35597.56     | 0.01%             | 2029-06-20      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179NDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43073 | PA      | $45477.44     | 0.01%             | 2043-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200TCC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51277 | PA      | $51524.13     | 0.01%             | 2031-11-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DPR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    124846 | PA      | $130088.14    | 0.03%             | 2031-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36201JVS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1605 | PA      | $1521.81      | 0.00%             | 2032-02-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203N5U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1897 | PA      | $1898.38      | 0.00%             | 2023-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DFW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3347 | PA      | $3342.66      | 0.00%             | 2030-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G2 | CUSIP: 36202DGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     73282 | PA      | $76512.38     | 0.02%             | 2030-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DCR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17444 | PA      | $18156.31     | 0.00%             | 2029-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206JF25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       552 | PA      | $567.12       | 0.00%             | 2025-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AA6C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2797400 | PA      | $2942445.95   | 0.68%             | 2036-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LQD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    892174 | PA      | $932514.54    | 0.22%             | 2033-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LK62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    481568 | PA      | $494989.51    | 0.11%             | 2034-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36210THN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     93023 | PA      | $94120.69     | 0.02%             | 2029-02-20      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241KJQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     99465 | PA      | $103284.17    | 0.02%             | 2033-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36241KAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    168158 | PA      | $172080.54    | 0.04%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LCP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1158967 | PA      | $1192777.82   | 0.28%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BM39<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2224736 | PA      | $2285880.76   | 0.53%             | 2031-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3620ARW56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5478 | PA      | $5568.82      | 0.00%             | 2034-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DM65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2756 | PA      | $2849.42      | 0.00%             | 2031-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225BUV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2136668 | PA      | $2217034.79   | 0.51%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LNK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60516 | PA      | $62258.12     | 0.01%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622A3BF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1034174 | PA      | $1098004.42   | 0.25%             | 2031-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36210N7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78613 | PA      | $79528.87     | 0.02%             | 2029-01-20      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1927123 | PA      | $1988600.98   | 0.46%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36295NJG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39222 | PA      | $40243.37     | 0.01%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G1 | CUSIP: 36241KZK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    823781 | PA      | $855556.73    | 0.20%             | 2034-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206MYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4929 | PA      | $5066.78      | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAK29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1734886 | PA      | $1838460.78   | 0.43%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DC82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4421 | PA      | $4477.40      | 0.00%             | 2029-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DTR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1306365 | PA      | $1358176.89   | 0.32%             | 2032-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DQZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2866593 | PA      | $3027089.40   | 0.70%             | 2031-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202EYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13982 | PA      | $14833.47     | 0.00%             | 2038-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38378PQJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    128874 | PA      | $136090.52    | 0.03%             | 2030-09-20      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206LV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23453 | PA      | $24106.28     | 0.01%             | 2025-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2EU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1283944 | PA      | $1351563.47   | 0.31%             | 2033-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36212FG81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34907 | PA      | $34920.60     | 0.01%             | 2030-04-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DUX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51497 | PA      | $52814.49     | 0.01%             | 2032-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AANQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    949574 | PA      | $1005952.81   | 0.23%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203GQW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       900 | PA      | $899.36       | 0.00%             | 2023-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DTS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24368 | PA      | $25154.32     | 0.01%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1861267 | PA      | $1939853.09   | 0.45%             | 2036-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2Q47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    728772 | PA      | $753995.69    | 0.18%             | 2034-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202CW82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48173 | PA      | $49254.64     | 0.01%             | 2027-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622A3BE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66034 | PA      | $70591.02     | 0.02%             | 2032-01-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2NR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2417805 | PA      | $2516576.47   | 0.58%             | 2032-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1260993 | PA      | $1329517.14   | 0.31%             | 2032-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CS53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2306 | PA      | $2318.86      | 0.00%             | 2026-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2TY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    833401 | PA      | $876042.37    | 0.20%             | 2038-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3620ARXS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       326 | PA      | $331.34       | 0.00%             | 2035-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202C7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    911168 | PA      | $949197.25    | 0.22%             | 2029-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BD54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1175 | PA      | $1212.03      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203HLW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1563 | PA      | $1561.59      | 0.00%             | 2023-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36224PW61<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        25 | PA      | $24.76        | 0.00%             | 2023-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206LZV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       419 | PA      | $430.87       | 0.00%             | 2025-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAFS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    863881 | PA      | $894589.65    | 0.21%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2T28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3171927 | PA      | $3243028.74   | 0.75%             | 2030-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAFT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2438671 | PA      | $2553848.34   | 0.59%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2VW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    136932 | PA      | $142169.57    | 0.03%             | 2038-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U S TREASURY BOND                           | CUSIP: 912810ES3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  62662000 | PA      | $66064351.09  | 15.34%            | 2024-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78477 | PA      | $81264.00     | 0.02%             | 2031-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds: FedFund; Institutional Shares | BLACKROCK LIQUIDITY FUNDS FEDFUND PORTFOLIO | CUSIP: 09248U700<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    100233 | NS      | $100232.54    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36201EKC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    103849 | PA      | $105605.28    | 0.02%             | 2031-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36241KEC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    515160 | PA      | $536169.89    | 0.12%             | 2035-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225A6N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1022026 | PA      | $1058940.74   | 0.25%             | 2028-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAZA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1454507 | PA      | $1516450.41   | 0.35%             | 2040-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2JL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    188367 | PA      | $199569.25    | 0.05%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DMS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10982 | PA      | $11566.66     | 0.00%             | 2031-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BL30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1693600 | PA      | $1749465.61   | 0.41%             | 2031-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAST2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    917579 | PA      | $969838.63    | 0.23%             | 2050-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622A3CE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     87498 | PA      | $88532.67     | 0.02%             | 2038-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18006 | PA      | $18404.21     | 0.00%             | 2029-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202CMA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       999 | PA      | $1007.35      | 0.00%             | 2026-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AARM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4083260 | PA      | $4179260.15   | 0.97%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAK45<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1826364 | PA      | $1928169.28   | 0.45%             | 2042-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DSB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    155921 | PA      | $163902.92    | 0.04%             | 2032-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAFP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2357305 | PA      | $2444584.06   | 0.57%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A22Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    162431 | PA      | $167845.57    | 0.04%             | 2039-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36205AWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4267 | PA      | $4386.33      | 0.00%             | 2025-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAHU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1445792 | PA      | $1505608.45   | 0.35%             | 2039-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622A3BD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    444569 | PA      | $473798.01    | 0.11%             | 2032-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36205X4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5881 | PA      | $5898.35      | 0.00%             | 2025-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36208FKY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14474 | PA      | $14446.95     | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38379BXD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     92784 | PA      | $96026.37     | 0.02%             | 2044-05-16      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36200S3L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    105072 | PA      | $106314.96    | 0.02%             | 2031-09-20      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622A3BB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    939447 | PA      | $991485.70    | 0.23%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAGV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    529011 | PA      | $540598.47    | 0.13%             | 2034-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A3AB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133625 | PA      | $140488.59    | 0.03%             | 2038-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LFC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2970392 | PA      | $3147715.39   | 0.73%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36290TCZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53923 | PA      | $55276.29     | 0.01%             | 2024-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211TFK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24382 | PA      | $24386.71     | 0.01%             | 2029-09-20      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CY80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2337 | PA      | $2373.14      | 0.00%             | 2028-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2V82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     72393 | PA      | $74907.72     | 0.02%             | 2035-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202F3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    182734 | PA      | $185845.60    | 0.04%             | 2042-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211BQS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28913 | PA      | $28296.83     | 0.01%             | 2029-05-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DSC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       945 | PA      | $974.35       | 0.00%             | 2032-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION G2 | CUSIP: 36241KHU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1733885 | PA      | $1832486.58   | 0.43%             | 2032-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DTG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5846 | PA      | $6064.04      | 0.00%             | 2032-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241KUN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    721292 | PA      | $750880.23    | 0.17%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    659656 | PA      | $687952.87    | 0.16%             | 2031-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2829246 | PA      | $2987633.45   | 0.69%             | 2036-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622A3CD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    430100 | PA      | $452079.98    | 0.10%             | 2039-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36205A7M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2942 | PA      | $2940.71      | 0.00%             | 2024-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36207FYC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1159 | PA      | $1191.52      | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36297KHH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51085 | PA      | $54028.88     | 0.01%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DBX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1517 | PA      | $1538.94      | 0.00%             | 2029-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAD50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1052518 | PA      | $1097279.18   | 0.25%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36204NEX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        19 | PA      | $19.44        | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206PRN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        60 | PA      | $61.17        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202FCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    317487 | PA      | $330087.71    | 0.08%             | 2039-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DD57<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16135 | PA      | $16533.94     | 0.00%             | 2029-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241KLK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2056529 | PA      | $2150692.22   | 0.50%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225BP93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51998 | PA      | $52731.59     | 0.01%             | 2027-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36225AXN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2834 | PA      | $2918.01      | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179QBL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2781 | PA      | $2936.34      | 0.00%             | 2044-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LKR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    787578 | PA      | $825302.77    | 0.19%             | 2033-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38379BF86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75765 | PA      | $79520.04     | 0.02%             | 2034-11-20      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2B68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1561927 | PA      | $1621630.03   | 0.38%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DDM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11320 | PA      | $11496.90     | 0.00%             | 2029-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A22H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    304000 | PA      | $316326.68    | 0.07%             | 2038-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DVA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4099 | PA      | $4103.88      | 0.00%             | 2032-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DGP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9981 | PA      | $9957.46      | 0.00%             | 2030-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6786012 | PA      | $7149835.25   | 1.66%             | 2032-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202C3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9874 | PA      | $10046.21     | 0.00%             | 2028-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206PVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       835 | PA      | $858.49       | 0.00%             | 2026-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202C3L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1483510 | PA      | $1493354.20   | 0.35%             | 2028-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241LFA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7340881 | PA      | $7743379.91   | 1.80%             | 2032-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CYT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4519 | PA      | $4594.02      | 0.00%             | 2027-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36241KCM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1406982 | PA      | $1458709.38   | 0.34%             | 2034-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36204GU67<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         6 | PA      | $6.11         | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36209BYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       233 | PA      | $232.38       | 0.00%             | 2028-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CP80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1063 | PA      | $1067.55      | 0.00%             | 2026-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DU90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    344627 | PA      | $354684.05    | 0.08%             | 2032-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202DPT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    656522 | PA      | $681191.96    | 0.16%             | 2031-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAS96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1288331 | PA      | $1342711.03   | 0.31%             | 2040-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A22L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51673 | PA      | $53439.32     | 0.01%             | 2039-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203QLK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        30 | PA      | $30.43        | 0.00%             | 2025-04-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 01N072655<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1437663 | PA      | $1536070.15   | 0.36%             | 2049-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225A6V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    780891 | PA      | $806382.64    | 0.19%             | 2028-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 38378MSU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1109541 | PA      | $1146715.55   | 0.27%             | 2034-04-20      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36212X5T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26572 | PA      | $26536.34     | 0.01%             | 2031-02-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DQ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1217573 | PA      | $1267206.19   | 0.29%             | 2031-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202C5D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2332078 | PA      | $2383981.12   | 0.55%             | 2028-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206VD46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1590 | PA      | $1634.72      | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36210JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    127545 | PA      | $130032.40    | 0.03%             | 2028-12-20      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36212QUQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25558 | PA      | $25572.05     | 0.01%             | 2030-09-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAKX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1457726 | PA      | $1545101.79   | 0.36%             | 2041-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36290SB34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1424 | PA      | $1461.77      | 0.00%             | 2028-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203L4C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3657 | PA      | $3758.93      | 0.00%             | 2024-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2CK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    962290 | PA      | $1013694.59   | 0.24%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AA6B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1978770 | PA      | $2034005.64   | 0.47%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAK37<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1053912 | PA      | $1111486.02   | 0.26%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DNX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20987 | PA      | $21891.40     | 0.01%             | 2031-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36206XJP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7977 | PA      | $7963.99      | 0.00%             | 2026-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2NV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1177718 | PA      | $1236896.00   | 0.29%             | 2034-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211PNW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26423 | PA      | $26893.83     | 0.01%             | 2029-08-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAHV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1485764 | PA      | $1527174.50   | 0.35%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36202C3Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1579 | PA      | $1607.82      | 0.00%             | 2028-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202CTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3363 | PA      | $3407.83      | 0.00%             | 2027-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36211PKW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    151863 | PA      | $154797.29    | 0.04%             | 2029-08-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36208VWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       447 | PA      | $459.19       | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A2FH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1246708 | PA      | $1317807.73   | 0.31%             | 2032-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DA76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66250 | PA      | $67784.76     | 0.02%             | 2029-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36208TYX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       738 | PA      | $758.31       | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 3622AAFN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1126271 | PA      | $1148060.20   | 0.27%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622A3CC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3154092 | PA      | $3258774.33   | 0.76%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36203KKS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       203 | PA      | $208.44       | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36179QMA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1316 | PA      | $1389.60      | 0.00%             | 2044-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 36225B5H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1099523 | PA      | $1138156.76   | 0.26%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION    | CUSIP: 3622AAD68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    873968 | PA      | $896586.77    | 0.21%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2               | GOVERNMENT NATIONAL MORTGAGE CORPORATION    | CUSIP: 36202DMQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38384 | PA      | $39999.69     | 0.01%             | 2031-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** Victory Portfolios

**Signature:** Allan Shaer

**Name of Signer:** Allan Shaer

**Title:** Treasurer