# EDGAR Filing Document

**Accession Number:** 0000701039
**File Stem:** 0001410368-26-050790
**Filing Date:** 2026-5
**Character Count:** 98753
**Document Hash:** acbcc327027325f504bf12c532ef3cc9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-050790.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0001410368-26-050790

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Calvert Fund
- **CENTRAL INDEX KEY:** 0000701039

**ORGANIZATION NAME:**
- **EIN:** 526228948
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03416
- **FILM NUMBER:** 261016402

**BUSINESS ADDRESS:**
- **STREET 1:** 2050 M STREET NW
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20036
- **BUSINESS PHONE:** 8002256265

**MAIL ADDRESS:**
- **STREET 1:** 2050 M STREET NW
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CALVERT FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Calvert Mortgage Access Fund (Series ID: S000076002)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000235421 | Calvert Mortgage Access Fund Class R6 | CMMRX           |
| C000235422 | Calvert Mortgage Access Fund Class A  | CMMAX           |
| C000235423 | Calvert Mortgage Access Fund Class C  | CMMCX           |
| C000235424 | Calvert Mortgage Access Fund Class I  | CMMIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Calvert Fund

- **b. Investment Company Act file number:** 811-03416

- **c. CIK number of Registrant:** 0000701039

- **d. LEI of Registrant:** 549300SAFDT1VZ80RP53

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

  - **Street Address 1:** 2050 M Street NW

  - **City:** Washington

  - **State:** DC

  - **Foreign country:** US

  - **Zip / Postal Code:** 20036

  - **Telephone number:** 202-238-2200

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

- **a. Name of Series:** Calvert Mortgage Access Fund

- **b. EDGAR series identifier (if any):** S000076002

- **c. LEI of Series:** 549300O2JSVSVL35QD76

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**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:** $158761133.17

**Total Liabilities:** $55225723.52

**Net Assets:** $103535409.65

**Delayed Delivery Securities:** $33670612.04

**Cash Not Reported:** $1553163.51

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7.35000000 | **1-Year:** -163.61000000 | **5-Year:** -558.51000000 | **10-Year:** -1780.96000000 | **30-Year:** -1183.51000000

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

- **3-Month:** -20.23000000 | **1-Year:** -536.81000000 | **5-Year:** -1895.81000000 | **10-Year:** -3577.11000000 | **30-Year:** -11212.83000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000235421 | 0.19%                | 1.62%                | -1.69%               |
| Class ID C000235422 | 0.27%                | 1.60%                | -1.81%               |
| Class ID C000235423 | 0.11%                | 1.54%                | -1.78%               |
| Class ID C000235424 | 0.29%                | 1.52%                | -1.69%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $138543.99               | $-192917.07                                |
| Month 2  | $47970.58                | $721855.43                                 |
| Month 3  | $-18207.36               | $-1623185.33                               |

**Designated Index Information**

- **Index Name:** BB US MBS

- **Index Identifier:** LEH_MBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    280000 | PA      | $246159.37    | 0.24%             | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $4831191.20   | 4.67%             | 2056-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11300000 | PA      | $11139769.96  | 10.76%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8100000 | PA      | $8135121.20   | 7.86%             | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-5                                              | CUSIP: 03465HAB0<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     47310 | PA      | $41516.10     | 0.04%             | 2066-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust           | BRAVO Residential Funding Trust 2021-NQM3                                    | CUSIP: 105690AC5<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     65382 | PA      | $61974.97     | 0.06%             | 2060-04-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust           | BRAVO Residential Funding Trust 2021-NQM1                                    | CUSIP: 10569TAC2<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     39417 | PA      | $37251.75     | 0.04%             | 2049-02-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust           | BRAVO Residential Funding Trust 2024-NQM1                                    | CUSIP: 10570FAE5<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |    112000 | PA      | $112800.28    | 0.11%             | 2063-12-01      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2023-1                                                  | CUSIP: 12547QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108448 | PA      | $108896.90    | 0.11%             | 2058-03-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2022-NQM1                                               | CUSIP: 12569CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61068 | PA      | $61012.23     | 0.06%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2022-NQM1                                               | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499557.60    | 0.48%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2023-4                                                  | CUSIP: 12569QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309593 | PA      | $312070.45    | 0.30%             | 2058-09-25      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                    | Cascade MH Asset Trust 2022-MH1                                              | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    788495 | PA      | $772857.99    | 0.75%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2024-1                                                          | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1036271 | PA      | $1058168.58   | 1.02%             | 2059-07-25      | Variable      | 8.89%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2024-2                                                          | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054150 | PA      | $1082854.26   | 1.05%             | 2059-11-25      | Variable      | 8.89%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | CHAMPS TRUST 2024-3                                                          | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1285470 | PA      | $1322654.79   | 1.28%             | 2060-01-25      | Variable      | 9.05%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2025-2                                                          | CUSIP: 15878DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1968691 | PA      | $2019566.74   | 1.95%             | 2060-10-25      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2025-1                                                          | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1577361 | PA      | $1625716.62   | 1.57%             | 2060-04-25      | Variable      | 7.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                     | CUSIP: 20753AAA2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $522855.20    | 0.51%             | 2043-04-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                     | CUSIP: 20754JAC8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    172792 | PA      | $174839.83    | 0.17%             | 2039-09-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                   | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4600000 | PA      | $4103593.30   | 3.96%             | 2056-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                   | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -6780000 | PA      | $-6048339.69  | -5.84%            | 2056-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                   | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3600000 | PA      | $-3208835.88  | -3.10%            | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                      | Cross 2024-H2 Mortgage Trust                                                 | CUSIP: 22757BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $471679.22    | 0.46%             | 2069-04-25      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2022-1 Mortgage Trust                                                   | CUSIP: 30328CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1957760 | PA      | $1471444.25   | 1.42%             | 2052-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2024-1 Mortgage Trust                                                   | CUSIP: 30335JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819849 | PA      | $716812.38    | 0.69%             | 2053-10-01      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2023-1 Mortgage Trust                                                   | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    868051 | PA      | $652779.64    | 0.63%             | 2052-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2025-2 Mortgage Trust                                                   | CUSIP: 30768BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470312 | PA      | $418060.94    | 0.40%             | 2055-09-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2025-1 Mortgage Trust                                                   | CUSIP: 30768CAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127663 | PA      | $1007522.16   | 0.97%             | 2055-08-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 21-1 Mortgage Trust                                                     | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1444243 | PA      | $1107408.94   | 1.07%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                             | CUSIP: 3133BW5R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123692 | PA      | $129981.66    | 0.13%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                            | CUSIP: 3136BPM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $516247.75    | 0.50%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                            | CUSIP: 3136BUJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050484 | PA      | $1082209.02   | 1.05%             | 2055-01-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                           | CUSIP: 3137HHWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1082094 | PA      | $1111276.31   | 1.07%             | 2055-01-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                           | CUSIP: 3137HJG92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402567 | PA      | $446923.47    | 0.43%             | 2055-02-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                           | CUSIP: 3137HJH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    770633 | PA      | $849738.10    | 0.82%             | 2055-02-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140ARS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490788 | PA      | $496886.02    | 0.48%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140N7KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82165 | PA      | $83249.86     | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NAP98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240294 | PA      | $247139.01    | 0.24%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NMHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387536 | PA      | $399877.82    | 0.39%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NNS97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98962 | PA      | $105518.99    | 0.10%             | 2053-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NQQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375681 | PA      | $393845.33    | 0.38%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NQVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341256 | PA      | $357728.69    | 0.35%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                             | CUSIP: 31425XXT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    978402 | PA      | $1000157.87   | 0.97%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2023-HQA2                                      | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $770612.03    | 0.74%             | 2043-06-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2022-HQA2                                      | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $516566.20    | 0.50%             | 2042-07-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2021-HQA1                                      | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |   2250000 | PA      | $2636473.05   | 2.55%             | 2033-08-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2021-HQA2                                      | CUSIP: 35564KGS2<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1567464.47   | 1.51%             | 2033-12-25      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR Trust 2019-HQA3                                            | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $278788.33    | 0.27%             | 2049-09-25      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| GCAT                                      | GCAT 2023-NQM2 Trust                                                         | CUSIP: 36169DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288808 | PA      | $288786.88    | 0.28%             | 2067-11-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617F0X48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79126 | PA      | $79402.00     | 0.08%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617F2PK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406215 | PA      | $406381.16    | 0.39%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae I Pool                                                            | CUSIP: 3617F2VE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476735 | PA      | $485892.50    | 0.47%             | 2052-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617F9V33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66129 | PA      | $66403.90     | 0.06%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617F9V41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81976 | PA      | $81881.61     | 0.08%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FEEQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451198 | PA      | $453074.18    | 0.44%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FGQJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236843 | PA      | $237295.25    | 0.23%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FLP33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476332 | PA      | $488810.50    | 0.47%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMCA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295426 | PA      | $310773.80    | 0.30%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131735 | PA      | $139055.66    | 0.13%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMCF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276692 | PA      | $291022.55    | 0.28%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMCQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347545 | PA      | $359880.59    | 0.35%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMVY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205814 | PA      | $206670.08    | 0.20%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FQTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205280 | PA      | $205401.96    | 0.20%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FTMJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191939 | PA      | $192736.92    | 0.19%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FUXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213384 | PA      | $217480.03    | 0.21%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FV5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63931 | PA      | $64569.28     | 0.06%             | 2062-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FXLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    852698 | PA      | $875035.41    | 0.85%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192568 | PA      | $197805.30    | 0.19%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYPB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506926 | PA      | $506340.18    | 0.49%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1332333 | PA      | $1330794.98   | 1.29%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372510 | PA      | $380242.58    | 0.37%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYPE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470514 | PA      | $488610.28    | 0.47%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617UBU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187637 | PA      | $187748.75    | 0.18%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617W1W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198033 | PA      | $197618.98    | 0.19%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617XR5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338901 | PA      | $339103.18    | 0.33%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537681 | PA      | $538000.92    | 0.52%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617XRGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94658 | PA      | $94341.68     | 0.09%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617Y6B89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178535 | PA      | $179277.05    | 0.17%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617YTXT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    566026 | PA      | $568202.97    | 0.55%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617YTXU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237679 | PA      | $243904.96    | 0.24%             | 2052-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617YXQV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357238 | PA      | $358723.79    | 0.35%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618A84C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146645 | PA      | $151293.33    | 0.15%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618A85F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407934 | PA      | $426173.43    | 0.41%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618A9EW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179011 | PA      | $184685.39    | 0.18%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AE3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196763 | PA      | $204776.63    | 0.20%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AEBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148370 | PA      | $151449.91    | 0.15%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AECE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212662 | PA      | $220807.97    | 0.21%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AFV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80554 | PA      | $83834.97     | 0.08%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AFV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126622 | PA      | $131779.43    | 0.13%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AFWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127928 | PA      | $133138.24    | 0.13%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AGCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275821 | PA      | $287054.49    | 0.28%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AGXT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211939 | PA      | $222524.97    | 0.21%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AGXU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208996 | PA      | $219951.78    | 0.21%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AP6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47682 | PA      | $48157.83     | 0.05%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AP6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35439 | PA      | $36882.09     | 0.04%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618ATRV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276453 | PA      | $286679.62    | 0.28%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AUEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46497 | PA      | $48390.55     | 0.05%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AVMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166806 | PA      | $174601.32    | 0.17%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AVMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179841 | PA      | $192982.11    | 0.19%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AWZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484618 | PA      | $500909.46    | 0.48%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618B3DN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171824 | PA      | $181533.28    | 0.18%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618B3DQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71349 | PA      | $75133.91     | 0.07%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618B7SX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98315 | PA      | $102319.20    | 0.10%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618B7SY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62445 | PA      | $65259.47     | 0.06%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BCJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415343 | PA      | $437126.57    | 0.42%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BCZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483086 | PA      | $497763.02    | 0.48%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205075 | PA      | $211905.35    | 0.20%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    448149 | PA      | $461393.49    | 0.45%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262316 | PA      | $275253.75    | 0.27%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241625 | PA      | $248690.72    | 0.24%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210681 | PA      | $222059.63    | 0.21%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242821 | PA      | $255556.11    | 0.25%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BKME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41844 | PA      | $44011.60     | 0.04%             | 2053-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BKMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407204 | PA      | $421147.68    | 0.41%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BKMQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    526298 | PA      | $555216.26    | 0.54%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BVGL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443665 | PA      | $463266.01    | 0.45%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BVGM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480766 | PA      | $507333.26    | 0.49%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BVQF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442185 | PA      | $466620.09    | 0.45%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BWMD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388397 | PA      | $403019.16    | 0.39%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BWMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180254 | PA      | $187040.68    | 0.18%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F22X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413797 | PA      | $429518.45    | 0.41%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F2J97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196389 | PA      | $211297.94    | 0.20%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F3TL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527982 | PA      | $555988.63    | 0.54%             | 2053-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F5VL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    363040 | PA      | $376707.99    | 0.36%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F6XF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447528 | PA      | $464530.70    | 0.45%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618FGD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405448 | PA      | $424684.97    | 0.41%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618FGD43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487955 | PA      | $512923.01    | 0.50%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618FGDR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243649 | PA      | $255209.88    | 0.25%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618FGDS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244303 | PA      | $255353.06    | 0.25%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618GRYQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    592617 | PA      | $619422.15    | 0.60%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618GRZZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    995321 | PA      | $1035675.18   | 1.00%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618H9TF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    467802 | PA      | $482066.19    | 0.47%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618H9TG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396129 | PA      | $417028.52    | 0.40%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618HS5R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194260 | PA      | $201332.42    | 0.19%             | 2064-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618J8GT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903419 | PA      | $928143.13    | 0.90%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618J8GU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491677 | PA      | $515773.59    | 0.50%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618J8GV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246359 | PA      | $258811.05    | 0.25%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618LRH48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596233 | PA      | $626199.57    | 0.60%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618M9AJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    499494 | PA      | $519993.38    | 0.50%             | 2066-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618N53Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2208275 | PA      | $2225822.79   | 2.15%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618V6LD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378877 | PA      | $394426.46    | 0.38%             | 2066-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618V6MG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    778080 | PA      | $810012.65    | 0.78%             | 2065-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38381NAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    773186 | PA      | $806964.90    | 0.78%             | 2055-06-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38381QYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    602232 | PA      | $613406.04    | 0.59%             | 2055-04-20      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500943 | PA      | $86538.18     | 0.08%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383BK92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    990667 | PA      | $1018588.92   | 0.98%             | 2055-10-20      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383BN40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    974289 | PA      | $994289.77    | 0.96%             | 2055-09-20      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383HMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    677919 | PA      | $27352.42     | 0.03%             | 2053-01-20      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383LBU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177840 | PA      | $198402.73    | 0.19%             | 2052-11-20      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383LGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119807 | PA      | $123486.28    | 0.12%             | 2052-11-20      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628564 | PA      | $8316.97      | 0.01%             | 2052-07-20      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383U4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154020 | PA      | $167660.28    | 0.16%             | 2052-10-20      | Floating      | 9.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383U7L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581482 | PA      | $602270.90    | 0.58%             | 2052-10-20      | Floating      | 9.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383V2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    472025 | PA      | $31481.80     | 0.03%             | 2053-02-20      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383VVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464169 | PA      | $31033.87     | 0.03%             | 2053-02-20      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464169 | PA      | $31033.87     | 0.03%             | 2053-02-20      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    928338 | PA      | $34326.13     | 0.03%             | 2053-02-20      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461884 | PA      | $30126.05     | 0.03%             | 2053-03-20      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231588 | PA      | $14929.41     | 0.01%             | 2053-03-20      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161659 | PA      | $10544.12     | 0.01%             | 2053-03-20      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384AGR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    363967 | PA      | $395188.93    | 0.38%             | 2053-05-20      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384B2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750000 | PA      | $775319.25    | 0.75%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384B4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2067507.20   | 2.00%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384B4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $516841.55    | 0.50%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BLX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1691140 | PA      | $92580.69     | 0.09%             | 2053-06-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BS69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1033760.60   | 1.00%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $258440.68    | 0.25%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BY39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185616 | PA      | $197613.10    | 0.19%             | 2053-07-20      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BY62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650000 | PA      | $671922.03    | 0.65%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384D3W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1553236.65   | 1.50%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384D7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1045525.25   | 1.01%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384D7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1028654.65   | 0.99%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384DFS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221378 | PA      | $245277.55    | 0.24%             | 2053-10-20      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384E8K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144410 | PA      | $168428.56    | 0.16%             | 2053-10-20      | Floating      | 13.31%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384ELZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    339722 | PA      | $378164.71    | 0.37%             | 2053-09-20      | Floating      | 10.58%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384GBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1553247.53   | 1.50%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384GQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $516810.15    | 0.50%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384H5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $517545.00    | 0.50%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384KQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1033220.00   | 1.00%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384MG68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2069855.80   | 2.00%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384MLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663989 | PA      | $112737.33    | 0.11%             | 2064-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384NMW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    887828 | PA      | $738247.72    | 0.71%             | 2053-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384UBB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552448 | PA      | $569863.65    | 0.55%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384WJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2171588 | PA      | $2161885.98   | 2.09%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384XWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1624607 | PA      | $1673986.97   | 1.62%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385BEX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    584087 | PA      | $610381.69    | 0.59%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385BNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535500 | PA      | $524556.42    | 0.51%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385CDE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733046 | PA      | $768580.48    | 0.74%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385E2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493868 | PA      | $503776.75    | 0.49%             | 2055-04-20      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385EJ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922548 | PA      | $953898.24    | 0.92%             | 2055-03-20      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385ENX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323914 | PA      | $327985.36    | 0.32%             | 2065-03-20      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385EP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481660 | PA      | $496488.57    | 0.48%             | 2055-04-20      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385EPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407038 | PA      | $416563.42    | 0.40%             | 2055-03-20      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385EQE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455124 | PA      | $470589.80    | 0.45%             | 2055-03-20      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385F3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720255 | PA      | $742454.12    | 0.72%             | 2055-05-20      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385FCX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493868 | PA      | $510817.31    | 0.49%             | 2055-04-20      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385FNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    462378 | PA      | $476513.77    | 0.46%             | 2055-04-20      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385GQB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    659858 | PA      | $671688.77    | 0.65%             | 2055-04-20      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385GYJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    659858 | PA      | $672748.37    | 0.65%             | 2055-05-20      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385K5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    991046 | PA      | $1075928.84   | 1.04%             | 2055-11-20      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385LDB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1491556 | PA      | $1646954.12   | 1.59%             | 2056-01-20      | Floating      | 10.05%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385NDC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    498513 | PA      | $539358.10    | 0.52%             | 2056-02-20      | Floating      | 10.05%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385PCP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1074979.65   | 1.04%             | 2056-03-20      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                  | JP Morgan Mortgage Trust Series 2025-NQM2                                    | CUSIP: 46590SAG2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    583333 | PA      | $594332.21    | 0.57%             | 2065-09-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                  | Morgan Stanley Institutional Liquidity Funds - Government Portfolio          | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |    481612 | NS      | $481612.14    | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Mello Warehouse Securitization Trust      | Mello Warehouse Securitization Trust 2025-1                                  | CUSIP: 58550CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1005380.80   | 0.97%             | 2059-05-25      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes    | NRM FNT1 Excess LLC                                                          | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    867069 | PA      | $871880.29    | 0.84%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust       | New Residential Mortgage Loan Trust 2021-NQM2R                               | CUSIP: 64831EAD2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $119135.03    | 0.12%             | 2058-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| NOMURA CORPORATE FDG AMERS LLC            | NOMURA CORPORATE FDG AMERS LLC                                               | CUSIP: 65538RAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3634934 | PA      | $3656943.99   | 3.53%             | 2059-01-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                   | PNMAC GMSR ISSUER TRUST 2025-GT1                                             | CUSIP: 69354WAK2<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002649.80   | 0.97%             | 2030-08-26      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust     | PRPM 2024-NQM4 Trust                                                         | CUSIP: 69381UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1452090.10   | 1.40%             | 2069-12-26      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust     | PRPM 2025-NQM2 Trust                                                         | CUSIP: 693983AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1020019.70   | 0.99%             | 2070-04-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust     | PRPM 2023-NQM2 Trust                                                         | CUSIP: 74390KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1604660.80   | 1.55%             | 2068-08-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                     | RRP GNR 23 96 REPO                                                           | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |   -754296 | PA      | $-754296.23   | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNMA 23 99A REPO                                                         | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1016078 | PA      | $-1016077.57  | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                     | RRP GNR 23 165 REPO                                                          | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1012471 | PA      | $-1012471.35  | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR 23 173 REPO                                                          | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1481217 | PA      | $-1481217.39  | -1.43%            |  |  |  | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                     | RRP GNMA2 30YR REPO                                                          | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1305409 | PA      | $-1305409.21  | -1.26%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR CASH/RRP REPO                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1975473 | PA      | $-1975473.32  | -1.91%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR 24 59 REPO                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1975911 | PA      | $-1975910.51  | -1.91%            |  |  |  | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                     | FED HM LN PC POOL REPO                                                       | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1130124 | PA      | $-1130124.35  | -1.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Mortgage Trust            | Bank of America Mortgage Trust                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    997726 | PA      | $1007975.61   | 0.97%             | 2027-09-10      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                   | Long: BMIFNBTB4 CDS USD R F  5.50000 / Short: BMIFNBTB4 CDS USD P V 01MEVENT | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   2000000 | OU      | $-28020.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                    | US ULTRA BOND CBT JUN26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -26 | NC      | $85054.24     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                    | US 5YR NOTE (CBT) JUN26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       459 | NC      | $-631477.97   | -0.61%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                    | US 2YR NOTE (CBT) JUN26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        66 | NC      | $29339.77     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International               | BMIF9XF27 EATON VANCE                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   7000000 | NC      | $17774.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-22

**Name of Applicant:** Calvert Fund

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer