# EDGAR Filing Document

**Accession Number:** 0000701939
**File Stem:** 0002048251-25-000250
**Filing Date:** 2025-9
**Character Count:** 120076
**Document Hash:** a85e7a815836f356570536efcce8837c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002048251-25-000250.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0002048251-25-000250

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20260131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI DAILY INCOME TRUST /MA/
- **CENTRAL INDEX KEY:** 0000701939

**ORGANIZATION NAME:**
- **EIN:** 236756825
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03451
- **FILM NUMBER:** 251347804

**BUSINESS ADDRESS:**
- **STREET 1:** 2 OLIVER ST
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 8003425734

**MAIL ADDRESS:**
- **STREET 1:** ONE FREEDOM VALLEY DRIVE
- **CITY:** OAKS
- **STATE:** PA
- **ZIP:** 19456

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SEI CASH & PLUS TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRUSTFUNDS CASH & PLUS TRUST
- **DATE OF NAME CHANGE:** 19890123

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CASH PLUS TRUST
- **DATE OF NAME CHANGE:** 19860827

## Series and Classes Contracts Data

### SDIT GNMA FUND (Series ID: S000008269)

| Class ID   | Class Name                                                       | Ticker Symbol   |
|:---|:---|:---|
| C000022554 | SDIT GNMA FUND - CLASS F, effective 1-31-2017 (formerly Class A) | SEGMX           |
| C000147421 | Class Y                                                          | SGMYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SEI DAILY INCOME TRUST

- **b. Investment Company Act file number:** 811-03451

- **c. CIK number of Registrant:** 0000701939

- **d. LEI of Registrant:** LTKY0J47NCTZPKTU4C46

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

  - **Street Address 1:** 2 OLIVER STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 8003455734

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

- **a. Name of Series:** SDIT GNMA FUND

- **b. EDGAR series identifier (if any):** S000008269

- **c. LEI of Series:** 5493001L5ZV8Q54PWC13

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

- **a. Date of fiscal year-end:** 2026-01-31

- **b. Date as of which information is reported:** 2025-07-31

**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:** $20995880.42

**Total Liabilities:** $7072480.19

**Net Assets:** $13923400.23

**Cash Not Reported:** $36920.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.26902923 | **1-Year:** 21.06574706 | **5-Year:** 146.34345852 | **10-Year:** 349.69902762 | **30-Year:** 156.52441588

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

- **3-Month:** -49.92079658 | **1-Year:** -820.20787108 | **5-Year:** -2290.00868234 | **10-Year:** -3955.07552668 | **30-Year:** -798.64062302

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000022554 | -0.39%               | 1.49%                | -0.96%               |
| Class ID C000147421 | -0.37%               | 1.51%                | -0.94%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-15038.34               | $-82683.80                                 |
| Month 2  | $27587.92                | $175562.61                                 |
| Month 3  | $-13449.00               | $-157790.40                                |

**Designated Index Information**

- **Index Name:** Bloomberg GNMA Index (USD)

- **Index Identifier:** LEH_GNMA

### Schedule of Portfolio Investments

| Name                                            | Title                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4731 LB                                    | CUSIP: 3137FBPD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    167361 | PA      | $129343.26    | 0.93%             | 2047-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-169 ZK          | CUSIP: 38378YJZ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     58883 | PA      | $50789.26     | 0.36%             | 2043-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 600759                                       | CUSIP: 36200GMG8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2805 | PA      | $2794.08      | 0.02%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (AUGUST)                              | CUSIP: 21H050680<br>LEI: N/A                  | Short            | DBT              | USGA              | US        |   -570000 | PA      | $-556232.15   | -3.99%            | 2055-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 412390                                       | CUSIP: 36206JC36<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       307 | PA      | $308.39       | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 733799                                       | CUSIP: 3620AMGG1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5647 | PA      | $5789.48      | 0.04%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780977                                       | CUSIP: 36225BCN6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       161 | PA      | $164.15       | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA1921                                      | CUSIP: 36179QD24<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     79588 | PA      | $77335.23     | 0.56%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780615                                       | CUSIP: 36225AVG2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1555 | PA      | $1566.03      | 0.01%             | 2027-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 622122                                       | CUSIP: 36291AD30<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4611 | PA      | $4586.57      | 0.03%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (AUGUST)                              | CUSIP: 21H040681<br>LEI: N/A                  | Short            | DBT              | USGA              | US        |    -50000 | PA      | $-46038.79    | -0.33%            | 2055-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4636                                        | CUSIP: 36202FEH5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    223730 | PA      | $220157.74    | 1.58%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 621132                                       | CUSIP: 36290YA99<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     16732 | PA      | $17302.48     | 0.12%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4923                                        | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8311 | PA      | $8178.16      | 0.06%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-62 CI           | CUSIP: 38379LS49<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    119261 | PA      | $26715.13     | 0.19%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4747                                        | CUSIP: 36202FHY5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24297 | PA      | $24440.65     | 0.18%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781429                                       | CUSIP: 36225BSS8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       559 | PA      | $587.51       | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 605461                                       | CUSIP: 36200NTS0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     22083 | PA      | $21763.09     | 0.16%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K123 X1   | CUSIP: 3137F8ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1010783 | PA      | $33412.15     | 0.24%             | 2030-12-25      | Floating      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5191                                      | CUSIP: 36179TXU4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    111246 | PA      | $101567.61    | 0.73%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780892                                       | CUSIP: 36225A7D6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2372 | PA      | $2416.77      | 0.02%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604871                                       | CUSIP: 36200M6G3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       811 | PA      | $812.98       | 0.01%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 472005                                       | CUSIP: 36209HKS3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       524 | PA      | $529.74       | 0.00%             | 2028-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 5175                                        | CUSIP: 36202FXC5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    130778 | PA      | $128689.44    | 0.92%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BG4091                                      | CUSIP: 3617GNRL6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8487 | PA      | $7849.25      | 0.06%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 782442                                       | CUSIP: 36241KWB0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5618 | PA      | $5655.73      | 0.04%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS      | CUSIP: PAMGZZVY7<br>LEI: N/A                  | Long             | RA               |  | US        |    700000 | PA      | $700000.00    | 5.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F032682<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |   -877000 | PA      | $-783361.18   | -5.63%            | 2055-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AA0159                                       | CUSIP: 36177WE89<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    285338 | PA      | $267792.64    | 1.92%             | 2042-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-23 CI           | CUSIP: 38379VRH9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    194658 | PA      | $5831.12      | 0.04%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 782789                                       | CUSIP: 36241LC20<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5025 | PA      | $5215.91      | 0.04%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3374                                      | CUSIP: 36179RXB0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7298 | PA      | $6285.51      | 0.05%             | 2046-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3452                                      | CUSIP: 36179RZR3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3806 | PA      | $3278.07      | 0.02%             | 2046-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 494109                                       | CUSIP: 36210J3S5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3603 | PA      | $3618.11      | 0.03%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5265                                      | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    193261 | PA      | $186912.93    | 1.34%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-134 CG          | CUSIP: 38380GK45<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     80000 | PA      | $67557.50     | 0.49%             | 2047-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-115 YA          | CUSIP: 38382HG20<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     47196 | PA      | $35508.73     | 0.26%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7053                                      | CUSIP: 36179VZS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    592835 | PA      | $519139.67    | 3.73%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 628869                                       | CUSIP: 36291HT20<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1353 | PA      | $1347.39      | 0.01%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 688029                                       | CUSIP: 36296DLJ5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     36604 | PA      | $39500.00     | 0.28%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 615635                                       | CUSIP: 36290R4U4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     25079 | PA      | $25122.03     | 0.18%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7419                                      | CUSIP: 36179WG44<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    325000 | PA      | $284319.88    | 2.04%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K737 X1   | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1864357 | PA      | $11286.07     | 0.08%             | 2026-10-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5192                                      | CUSIP: 36179TXV2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    171201 | PA      | $160281.91    | 1.15%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (AUGUST)                              | CUSIP: 21H022689<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1025000 | PA      | $861808.10    | 6.19%             | 2055-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 506659                                       | CUSIP: 36210YZY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4704 | PA      | $4798.13      | 0.03%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 617841                                       | CUSIP: 36290ULW4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     20017 | PA      | $21256.30     | 0.15%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F050684<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    400000 | PA      | $389279.07    | 2.80%             | 2055-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F040685<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |   -690000 | PA      | $-636321.57   | -4.57%            | 2055-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 641944                                       | CUSIP: 36291YER4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       305 | PA      | $303.66       | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-26 IK           | CUSIP: 38378JAS1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    179378 | PA      | $23749.17     | 0.17%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5329                                      | CUSIP: 36179T4N2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     40420 | PA      | $36775.00     | 0.26%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 693467                                       | CUSIP: 36296KMQ2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     33455 | PA      | $34377.66     | 0.25%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4901                                      | CUSIP: 36179TNS0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     57831 | PA      | $53943.80     | 0.39%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781339                                       | CUSIP: 36225BPY8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1132 | PA      | $1205.66      | 0.01%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BF9693                                      | CUSIP: 3617GGXW0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8898 | PA      | $8229.59      | 0.06%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BB0185                                      | CUSIP: 3617AQF20<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     85588 | PA      | $79074.08     | 0.57%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 626815                                       | CUSIP: 36291FK49<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     46624 | PA      | $47509.19     | 0.34%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-122 IP          | CUSIP: 38379ETX0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     72514 | PA      | $2321.09      | 0.02%             | 2029-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-126 KI          | CUSIP: 38380BAQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     52058 | PA      | $706.53       | 0.01%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 506238                                         | CUSIP: 31383LLT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        31 | PA      | $31.20        | 0.00%             | 2028-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-84 IO           | CUSIP: 38379PQ67<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    187037 | PA      | $26359.22     | 0.19%             | 2042-05-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4715                                        | CUSIP: 36202FGY6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     61956 | PA      | $62475.29     | 0.45%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3308                                      | CUSIP: 36179RU98<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     63959 | PA      | $55088.09     | 0.40%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781252                                       | CUSIP: 36225BL97<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1483 | PA      | $1544.90      | 0.01%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4126                                      | CUSIP: 36179SSP3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     40595 | PA      | $35967.30     | 0.26%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4484 CI                                    | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    121048 | PA      | $6144.21      | 0.04%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5762                                      | CUSIP: 36179UMK5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     31280 | PA      | $28549.74     | 0.21%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 638060                                       | CUSIP: 36291TZZ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3119 | PA      | $3110.51      | 0.02%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 451440                                       | CUSIP: 36208HPZ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       178 | PA      | $179.02       | 0.00%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4656                                        | CUSIP: 36202FE51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     23025 | PA      | $21814.53     | 0.16%             | 2040-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5137                                      | CUSIP: 36179TV69<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4272 | PA      | $3978.53      | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 784115                                      | CUSIP: 3622A2SC7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    129574 | PA      | $114993.79    | 0.83%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-71 IN                                  | CUSIP: 3136AT4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     46273 | PA      | $9098.56      | 0.07%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 605758                                       | CUSIP: 36200N5T4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18118 | PA      | $18574.61     | 0.13%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4195                                      | CUSIP: 36179SUU9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     86232 | PA      | $76431.00     | 0.55%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2017-110 PB                                 | CUSIP: 3136B0NX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     79000 | PA      | $58124.01     | 0.42%             | 2057-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 784801                                      | CUSIP: 3622AAGJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    443748 | PA      | $401580.05    | 2.88%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 479231                                       | CUSIP: 36209RLL5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1359 | PA      | $1362.34      | 0.01%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4199 QI                                    | CUSIP: 3137B2AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     68726 | PA      | $1604.71      | 0.01%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 324 C18                                    | CUSIP: 31325VBN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    155058 | PA      | $13309.61     | 0.10%             | 2033-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE-ACES FNA 2019-M21 X1                                   | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    896841 | PA      | $32444.49     | 0.23%             | 2029-05-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F052680<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    425000 | PA      | $422749.94    | 3.04%             | 2055-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-24 CI           | CUSIP: 38379JVP3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    111258 | PA      | $17417.11     | 0.13%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6819                                      | CUSIP: 36179VSG6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    758820 | PA      | $639549.57    | 4.59%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-57 TI           | CUSIP: 38377EG73<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    210943 | PA      | $44388.66     | 0.32%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4624 BI                                    | CUSIP: 3137BSMR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     85828 | PA      | $15379.02     | 0.11%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 692488                                       | CUSIP: 36296JJ97<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10516 | PA      | $10760.03     | 0.08%             | 2039-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 628110                                       | CUSIP: 36291GYF7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11249 | PA      | $11217.07     | 0.08%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 660769                                         | CUSIP: 31391ACE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     11495 | PA      | $11854.66     | 0.09%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 647723                                       | CUSIP: 36292FSL2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     35154 | PA      | $35351.00     | 0.25%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604574                                       | CUSIP: 36200MT78<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6365 | PA      | $6298.01      | 0.05%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 651993                                       | CUSIP: 36292LKE3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4360 | PA      | $4383.13      | 0.03%             | 2036-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA1287                                      | CUSIP: 36179NNC8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     59017 | PA      | $57382.71     | 0.41%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 478716                                       | CUSIP: 36209QYM1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1872 | PA      | $1881.30      | 0.01%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K110 X1   | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    560305 | PA      | $34561.68     | 0.25%             | 2030-04-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-93 IL                                  | CUSIP: 3136A8GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     44057 | PA      | $916.53       | 0.01%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN CO6356                                       | CUSIP: 3617FJBZ2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    111739 | PA      | $109200.12    | 0.78%             | 2052-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-149 LZ          | CUSIP: 38378UKN6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     52300 | PA      | $44129.33     | 0.32%             | 2043-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7193                                      | CUSIP: 36179V7E4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    120474 | PA      | $101534.37    | 0.73%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3378                                      | CUSIP: 36179RXF1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    358498 | PA      | $347470.77    | 2.50%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 475654                                       | CUSIP: 36209MMB7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6637 | PA      | $6715.31      | 0.05%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 635907                                       | CUSIP: 36291RNY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9369 | PA      | $9719.87      | 0.07%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA1377                                      | CUSIP: 36179NQ68<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    121380 | PA      | $117943.45    | 0.85%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2679                                      | CUSIP: 36179Q6Q9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    263243 | PA      | $247765.84    | 1.78%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3171                                      | CUSIP: 36179RQY8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8379 | PA      | $7217.58      | 0.05%             | 2045-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4320                                      | CUSIP: 36179SYR2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5531 | PA      | $4898.80      | 0.04%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780509                                       | CUSIP: 36225AR69<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |        71 | PA      | $71.40        | 0.00%             | 2027-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 603212                                       | CUSIP: 36200KDR5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7664 | PA      | $7707.25      | 0.06%             | 2035-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 478966                                       | CUSIP: 36209RCB7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1870 | PA      | $1926.81      | 0.01%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 651737                                       | CUSIP: 36292LBE3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6196 | PA      | $6335.53      | 0.05%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 592591                                       | CUSIP: 36201TKC0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       364 | PA      | $369.22       | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4450                                      | CUSIP: 36179S5K9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9263 | PA      | $8207.08      | 0.06%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 521331                                       | CUSIP: 36211SEC7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2570 | PA      | $2642.45      | 0.02%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 343340                                       | CUSIP: 36203ALV6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       177 | PA      | $177.34       | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 647290                                       | CUSIP: 36292FC39<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1808 | PA      | $1808.74      | 0.01%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K116 X1   | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    686184 | PA      | $38209.68     | 0.27%             | 2030-07-25      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 609505                                       | CUSIP: 36202UDJ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4200 | PA      | $4238.03      | 0.03%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5466                                      | CUSIP: 36179UCB6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     25141 | PA      | $23475.35     | 0.17%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5398                                      | CUSIP: 36179T7K5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     37746 | PA      | $35233.80     | 0.25%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 490103                                       | CUSIP: 36210ENU9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1278 | PA      | $1299.65      | 0.01%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3243                                      | CUSIP: 36179RS83<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     77447 | PA      | $68743.97     | 0.49%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 500075                                       | CUSIP: 36210RQ45<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       728 | PA      | $731.05       | 0.01%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3520                                      | CUSIP: 36179R4D8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     41728 | PA      | $37032.60     | 0.27%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 543916                                       | CUSIP: 36212UGZ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |        73 | PA      | $73.01        | 0.00%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 611012                                       | CUSIP: 36202VYH8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     16391 | PA      | $16305.30     | 0.12%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7367                                      | CUSIP: 36179WFG8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     89453 | PA      | $75298.09     | 0.54%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-74 IC           | CUSIP: 38382E5F0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    266637 | PA      | $12679.95     | 0.09%             | 2035-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5019                                      | CUSIP: 36179TSG1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10251 | PA      | $9357.39      | 0.07%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6818                                      | CUSIP: 36179VSF8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    886295 | PA      | $715852.08    | 5.14%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7052                                      | CUSIP: 36179VZR4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    147701 | PA      | $124391.47    | 0.89%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783384                                       | CUSIP: 36241LXM3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     73289 | PA      | $75419.07     | 0.54%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 620469                                       | CUSIP: 36290XJN1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     19275 | PA      | $19374.67     | 0.14%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3930 AI                                    | CUSIP: 3137AFB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     16256 | PA      | $220.11       | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2015-21 WI                                  | CUSIP: 3136ANHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     67159 | PA      | $2950.34      | 0.02%             | 2055-04-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 621382                                       | CUSIP: 36290YJ33<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7875 | PA      | $7827.31      | 0.06%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-126 IO          | CUSIP: 38378H3E4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    175215 | PA      | $24478.35     | 0.18%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 646863                                       | CUSIP: 36292ETU4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7711 | PA      | $7721.89      | 0.06%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 419422                                         | CUSIP: 31379G4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       473 | PA      | $473.74       | 0.00%             | 2028-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 550753                                       | CUSIP: 36213CZS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       788 | PA      | $785.89       | 0.01%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 616413                                       | CUSIP: 36290SYJ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10122 | PA      | $10148.93     | 0.07%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA0393                                      | CUSIP: 36179MNJ5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    564191 | PA      | $534505.89    | 3.84%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2014-68 ID                                  | CUSIP: 3136ALQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    133857 | PA      | $4892.47      | 0.04%             | 2034-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 432848                                       | CUSIP: 36207HZM2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       726 | PA      | $729.08       | 0.01%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-134 BI          | CUSIP: 38380GZW7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     78672 | PA      | $17194.26     | 0.12%             | 2047-09-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2018-13 MP                                  | CUSIP: 3136B02D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    191756 | PA      | $181400.27    | 1.30%             | 2057-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 619302                                       | CUSIP: 36290WAB8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7043 | PA      | $7126.15      | 0.05%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 5YR NOTE (CBT) SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         4 | NC      | $432687.50    | 3.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 3977                                        | CUSIP: 36202EM22<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24413 | PA      | $26150.80     | 0.19%             | 2037-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-136 PJ          | CUSIP: 38380BQJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    357493 | PA      | $295014.41    | 2.12%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-21 DI           | CUSIP: 38378Y2A6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11701 | PA      | $55.28        | 0.00%             | 2026-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4166 PI                                    | CUSIP: 3137AYCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     30850 | PA      | $550.76       | 0.00%             | 2041-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 605098                                       | CUSIP: 36200NGF2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11137 | PA      | $11165.67     | 0.08%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-167 AI          | CUSIP: 38380CEN9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    171439 | PA      | $14380.47     | 0.10%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 521917                                       | CUSIP: 36211SYN1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |        91 | PA      | $91.19        | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 10YR NOTE (CBT)SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-111062.50   | -0.80%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BD3961                                      | CUSIP: 3617BKMJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     22053 | PA      | $20423.20     | 0.15%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-3 JI                                   | CUSIP: 3136ARFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2862 | PA      | $22.74        | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BE6414                                      | CUSIP: 3617G1DT2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12470 | PA      | $11551.08     | 0.08%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 190291                                         | CUSIP: 31368HKC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |         6 | PA      | $6.45         | 0.00%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4837                                      | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24090 | PA      | $21996.57     | 0.16%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 633252                                       | CUSIP: 36291NQD6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12263 | PA      | $12572.77     | 0.09%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F042681<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |   -491000 | PA      | $-465710.43   | -3.34%            | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 485850                                       | CUSIP: 36209YWK0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       520 | PA      | $526.74       | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6598                                      | CUSIP: 36179VKK5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    175907 | PA      | $148280.31    | 1.06%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 597962                                       | CUSIP: 36200DJF1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       362 | PA      | $366.16       | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781636                                       | CUSIP: 36225BY93<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14959 | PA      | $15416.58     | 0.11%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-144 BI          | CUSIP: 38379ER38<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     26798 | PA      | $674.63       | 0.00%             | 2029-09-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7051                                      | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1203647 | PA      | $971918.19    | 6.98%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 446971                                       | CUSIP: 36208CQY6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1335 | PA      | $1338.68      | 0.01%             | 2027-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (AUGUST)                              | CUSIP: 21H052686<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    590000 | PA      | $588407.60    | 4.23%             | 2055-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 3735                                        | CUSIP: 36202EEG0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     21958 | PA      | $21966.05     | 0.16%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781288                                       | CUSIP: 36225BND6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4446 | PA      | $4610.30      | 0.03%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 550567                                       | CUSIP: 36213CTY6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1778 | PA      | $1788.38      | 0.01%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 613931                                       | CUSIP: 36290QA88<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1068 | PA      | $1100.19      | 0.01%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4003                                      | CUSIP: 36179SNU7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5100 | PA      | $4521.46      | 0.03%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 AT4121                                      | CUSIP: 36194CSJ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    220798 | PA      | $200277.26    | 1.44%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US LONG BOND(CBT) SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $-228375.00   | -1.64%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-107 JI          | CUSIP: 38380TE93<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    267994 | PA      | $43385.43     | 0.31%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-3 MT | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    162729 | PA      | $144169.99    | 1.04%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 642208                                       | CUSIP: 36291YNZ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1231 | PA      | $1237.46      | 0.01%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604566                                       | CUSIP: 36200MTX1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10922 | PA      | $11060.58     | 0.08%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4182 IE                                    | CUSIP: 3137B0WS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     52186 | PA      | $1189.44      | 0.01%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 650385                                       | CUSIP: 36292JRE1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     22542 | PA      | $22477.82     | 0.16%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2754                                      | CUSIP: 36179RBX6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     27106 | PA      | $24898.27     | 0.18%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 697699                                       | CUSIP: 36296QDC0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     15080 | PA      | $15629.24     | 0.11%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-182 LZ          | CUSIP: 38380UBE2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    156888 | PA      | $94881.15     | 0.68%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-130 IO          | CUSIP: 38380GAS3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    119245 | PA      | $20922.16     | 0.15%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781995                                       | CUSIP: 36241KGC6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     15921 | PA      | $16766.11     | 0.12%             | 2035-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4261                                      | CUSIP: 36179SWW3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    143152 | PA      | $126825.26    | 0.91%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4697                                        | CUSIP: 36202FGE0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     77919 | PA      | $78333.95     | 0.56%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BF1236                                      | CUSIP: 3617G7LR4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10296 | PA      | $9537.73      | 0.07%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 410 C6                              | CUSIP: 31395QCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3788 | PA      | $41.82        | 0.00%             | 2027-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6996                                      | CUSIP: 36179VXZ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     47511 | PA      | $41660.35     | 0.30%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (AUGUST)                              | CUSIP: 21H020683<br>LEI: N/A                  | Short            | DBT              | USGA              | US        |   -170000 | PA      | $-137204.51   | -0.99%            | 2055-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4963                                      | CUSIP: 36179TQQ1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     21938 | PA      | $20450.27     | 0.15%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-42 EI           | CUSIP: 38379V5S9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    175589 | PA      | $20950.37     | 0.15%             | 2046-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-49 PZ           | CUSIP: 38379WGC0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    255958 | PA      | $184613.86    | 1.33%             | 2045-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780628                                       | CUSIP: 36225AVV9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       119 | PA      | $119.39       | 0.00%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 784718                                       | CUSIP: 3622AADX9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30317 | PA      | $25812.59     | 0.19%             | 2046-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 514832                                       | CUSIP: 36211J4R5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       576 | PA      | $576.72       | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1520 X1 | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    598229 | PA      | $20435.58     | 0.15%             | 2036-02-25      | Floating      | 0.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4018 AI                                    | CUSIP: 3137AMVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      3574 | PA      | $6.81         | 0.00%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 668876                                       | CUSIP: 36295FCM4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9620 | PA      | $9827.88      | 0.07%             | 2038-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K066 X1   | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1524762 | PA      | $16192.36     | 0.12%             | 2027-06-25      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US ULTRA BOND CBT SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         2 | NC      | $234625.00    | 1.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4586                                      | CUSIP: 36179TCX1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    671406 | PA      | $613335.81    | 4.41%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F030686<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |    -24000 | PA      | $-20535.65    | -0.15%            | 2055-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA0784                                      | CUSIP: 36179M2R0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     59435 | PA      | $56307.31     | 0.40%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-98 BI                                  | CUSIP: 3136A8CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     46082 | PA      | $2608.75      | 0.02%             | 2042-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 550718                                       | CUSIP: 36213CYP9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24931 | PA      | $25070.64     | 0.18%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4779                                      | CUSIP: 36179TJY2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5839 | PA      | $5437.49      | 0.04%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 475338                                      | CUSIP: 36209MBF0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     35837 | PA      | $32441.54     | 0.23%             | 2041-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 693518                                       | CUSIP: 36296KPB2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     42240 | PA      | $43008.52     | 0.31%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-69 AI           | CUSIP: 38378EPV9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       401 | PA      | $3.07         | 0.00%             | 2027-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 619298                                       | CUSIP: 36290V7K4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18239 | PA      | $18514.21     | 0.13%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 373342                                         | CUSIP: 31377CWB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1777 | PA      | $1778.48      | 0.01%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-161 GI          | CUSIP: 38380BA21<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     83891 | PA      | $12289.75     | 0.09%             | 2046-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 393374                                       | CUSIP: 36205K6K3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       410 | PA      | $411.45       | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 AU2010                                      | CUSIP: 36194PGT5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    217085 | PA      | $196909.35    | 1.41%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 595273                                       | CUSIP: 36200AJS9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       507 | PA      | $530.39       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 550677                                       | CUSIP: 36213CXE5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1459 | PA      | $1454.60      | 0.01%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 490925                                       | CUSIP: 36210FLE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1401 | PA      | $1429.83      | 0.01%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 633178                                       | CUSIP: 36291NM32<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2682 | PA      | $2679.22      | 0.02%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4125                                      | CUSIP: 36179SSN8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    184560 | PA      | $158958.68    | 1.14%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604994                                       | CUSIP: 36200NC74<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1653 | PA      | $1654.77      | 0.01%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 613767                                       | CUSIP: 36290NZ88<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1614 | PA      | $1650.26      | 0.01%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-2 AI            | CUSIP: 38380CNU3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    134460 | PA      | $27357.78     | 0.20%             | 2047-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 615607                                       | CUSIP: 36290R3Q4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    129426 | PA      | $131287.70    | 0.94%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (AUGUST)                              | CUSIP: 21H062685<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    450000 | PA      | $461880.75    | 3.32%             | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6092                                      | CUSIP: 36179UXV9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    111702 | PA      | $107006.50    | 0.77%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-18 IC           | CUSIP: 38379JZD6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     48192 | PA      | $1501.68      | 0.01%             | 2030-02-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4178 MI                                    | CUSIP: 3137B06E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     44037 | PA      | $838.18       | 0.01%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2010-126 NI                                 | CUSIP: 31398SBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     92718 | PA      | $11007.37     | 0.08%             | 2040-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4451                                      | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     47833 | PA      | $43735.62     | 0.31%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F022683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |   -402000 | PA      | $-329328.81   | -2.37%            | 2055-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-43 IA           | CUSIP: 38381TR23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    109029 | PA      | $16107.67     | 0.12%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780912                                       | CUSIP: 36225BAM0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1482 | PA      | $1512.58      | 0.01%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2524                                      | CUSIP: 36179QYV7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     27461 | PA      | $27522.67     | 0.20%             | 2045-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA1523                                      | CUSIP: 36179NVQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     21824 | PA      | $21205.64     | 0.15%             | 2043-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5264                                      | CUSIP: 36179TZ57<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     64625 | PA      | $60343.42     | 0.43%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4176 KI                                    | CUSIP: 3137B0Q64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     18821 | PA      | $195.73       | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 457587                                       | CUSIP: 36208QJ80<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       250 | PA      | $250.34       | 0.00%             | 2027-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (AUGUST)                              | CUSIP: 21H042687<br>LEI: N/A                  | Short            | DBT              | USGA              | US        |    -50000 | PA      | $-47444.08    | -0.34%            | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2753                                      | CUSIP: 36179RBW8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    327708 | PA      | $291257.96    | 2.09%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 10YR ULTRA FUT SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -3 | NC      | $-339234.38   | -2.44%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE-ACES FNA 2020-M2 X                                     | CUSIP: 3136B75H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    734579 | PA      | $6184.42      | 0.04%             | 2030-01-25      | Floating      | 0.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 528714                                       | CUSIP: 36212BK36<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5619 | PA      | $5635.18      | 0.04%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-163 YA          | CUSIP: 38380KLU7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    225000 | PA      | $185997.20    | 1.34%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3103                                      | CUSIP: 36179RNU9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     21531 | PA      | $18545.73     | 0.13%             | 2045-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 542079                                       | CUSIP: 36212SFU5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       447 | PA      | $448.56       | 0.00%             | 2031-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780650                                       | CUSIP: 36225AWK2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       205 | PA      | $207.94       | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 632259                                       | CUSIP: 36291MMG5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     17033 | PA      | $16974.18     | 0.12%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-51 GI           | CUSIP: 38378EAS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     34575 | PA      | $380.51       | 0.00%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781430                                       | CUSIP: 36225BST6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       269 | PA      | $284.57       | 0.00%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 605231                                       | CUSIP: 36200NLL3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       636 | PA      | $636.66       | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 594078                                       | CUSIP: 36201U6P4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     41542 | PA      | $41581.75     | 0.30%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 465528                                       | CUSIP: 36209AD98<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       636 | PA      | $642.06       | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 520992                                       | CUSIP: 36211RXV6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3279 | PA      | $3361.34      | 0.02%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 544217                                       | CUSIP: 36212USE2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     32172 | PA      | $32855.93     | 0.24%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 785009                                       | CUSIP: 3622AAN26<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    245844 | PA      | $230982.64    | 1.66%             | 2042-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4719                                      | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     29026 | PA      | $26413.88     | 0.19%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 353812                                       | CUSIP: 36203NAM0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3810 | PA      | $3821.48      | 0.03%             | 2027-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604801                                       | CUSIP: 36200M3J0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6510 | PA      | $6526.66      | 0.05%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 600270                                       | CUSIP: 36200F2B3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3839 | PA      | $3822.51      | 0.03%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 615413                                       | CUSIP: 36290RVE0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     33390 | PA      | $34307.18     | 0.25%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780656                                       | CUSIP: 36225AWR7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       108 | PA      | $108.69       | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 401789                                         | CUSIP: 31378LKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        44 | PA      | $43.72        | 0.00%             | 2027-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6865                                      | CUSIP: 36179VTW0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     67727 | PA      | $57053.99     | 0.41%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 583674                                       | CUSIP: 36201HMX8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       851 | PA      | $866.89       | 0.01%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 583126                                       | CUSIP: 36201GYX7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     19366 | PA      | $19474.34     | 0.14%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-113 BZ          | CUSIP: 38378HTS5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    226413 | PA      | $187377.89    | 1.35%             | 2042-09-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-99 AX           | CUSIP: 38378VPP4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     48339 | PA      | $43518.90     | 0.31%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (AUGUST)                              | CUSIP: 21H060689<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    675000 | PA      | $684043.64    | 4.91%             | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 2657                                        | CUSIP: 36202C5S8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4188 | PA      | $4290.28      | 0.03%             | 2028-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-53 BI                                  | CUSIP: 3136A5P34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      6892 | PA      | $129.85       | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-99 LI           | CUSIP: 38379XH52<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     50441 | PA      | $290.33       | 0.00%             | 2029-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2018-25 AL                                  | CUSIP: 3136B1VB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     49000 | PA      | $42907.71     | 0.31%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604839                                       | CUSIP: 36200M4Y6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5760 | PA      | $5766.53      | 0.04%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 762752                                       | CUSIP: 36176DEZ2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     25434 | PA      | $25433.72     | 0.18%             | 2041-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BE6810                                      | CUSIP: 3617G1R75<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18523 | PA      | $17158.39     | 0.12%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 644748                                       | CUSIP: 36292CHZ0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18366 | PA      | $18468.61     | 0.13%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-31

**Name of Applicant:** SEI DAILY INCOME TRUST

**Signature:** Glenn Kurdziel

**Name of Signer:** Glenn Kurdziel

**Title:** Controller and Chief Financial Officer