# EDGAR Filing Document

**Accession Number:** 0000925723
**File Stem:** 0001145549-23-002486
**Filing Date:** 2023-1
**Character Count:** 89572
**Document Hash:** 9de5f54483cbb88624b98a5846372767
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-002486.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001145549-23-002486

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Federated Hermes Institutional Trust
- **CENTRAL INDEX KEY:** 0000925723
- **IRS NUMBER:** 251737663
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07193
- **FILM NUMBER:** 23547887

**BUSINESS ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561
- **BUSINESS PHONE:** 8003417400

**MAIL ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERATED INSTITUTIONAL TRUST
- **DATE OF NAME CHANGE:** 19940621

## Series and Classes Contracts Data

### Federated Hermes Government Ultrashort Fund (Series ID: S000009740)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000026761 | Class A Shares       | FGUAX           |
| C000026762 | Service Shares       | FEUSX           |
| C000026763 | Institutional Shares | FGUSX           |
| C000168177 | Class R6 Shares      | FGULX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Federated Hermes Institutional Trust

- **b. Investment Company Act file number:** 811-07193

- **c. CIK number of Registrant:** 0000925723

- **d. LEI of Registrant:** 2549002CIMJQ7MNS8F06

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

  - **Street Address 1:** Federated Hermes Funds

  - **City:** Warrendale

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 15086-7561

  - **Telephone number:** 8003417400

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

- **a. Name of Series:** Federated Hermes Government Ultrashort Fund

- **b. EDGAR series identifier (if any):** S000009740

- **c. LEI of Series:** 254900U7AB30ET2GHV12

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1030288488.99

**Total Liabilities:** $29131544.70

**Net Assets:** $1001156944.29

**Cash Not Reported:** $1.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -374.590713000000 | **1-Year:** -1386.193910000000 | **5-Year:** -240.903465000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** -542.179383000000 | **1-Year:** -8028.025192000000 | **5-Year:** -13243.171471000000 | **10-Year:** -9793.882721000000 | **30-Year:** -2751.239773000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026761 | -0.23%               | 0.12%                | 0.38%                |
| Class ID C000026762 | -0.12%               | 0.02%                | 0.39%                |
| Class ID C000026763 | -0.21%               | 0.03%                | 0.39%                |
| Class ID C000168177 | -0.21%               | 0.14%                | 0.29%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $-3937823.45                               |
| Month 2  | $0.00                    | $-1480689.75                               |
| Month 3  | $0.00                    | $921272.44                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddiemac Strip                                 | Freddie Mac Strips                                           | CUSIP: 3128HWJ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157222 | PA      | $155892.13    | 0.02%             | 2036-12-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Freddie Mac Strips                                           | CUSIP: 3128HWJT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66730 | PA      | $66136.31     | 0.01%             | 2036-12-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AKHU3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1600000 | PA      | $1600000.16   | 0.16%             | 2022-12-02      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ATFC6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $994012.00    | 0.10%             | 2023-09-19      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31339D2Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98368 | PA      | $98777.38     | 0.01%             | 2032-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31339GVJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45685 | PA      | $45821.58     | 0.00%             | 2031-06-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMKP6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1999998.60   | 0.20%             | 2022-12-15      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ENDB3<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1999059.60   | 0.20%             | 2022-12-05      | Fixed         | 0.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ENR69<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1999596.40   | 0.20%             | 2024-10-07      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133T2NH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25579 | PA      | $25620.10     | 0.00%             | 2023-11-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31359D5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12886 | PA      | $12903.47     | 0.00%             | 2023-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136B3UH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5882007 | PA      | $5797186.39   | 0.58%             | 2049-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2413466 | PA      | $2391878.67   | 0.24%             | 2030-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FX4E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10102560 | PA      | $10002529.01  | 1.00%             | 2030-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31389HZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35367 | PA      | $37456.38     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 313920PP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2394 | PA      | $2391.18      | 0.00%             | 2028-12-18      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392BC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122361 | PA      | $123257.22    | 0.01%             | 2032-03-18      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392BD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134605 | PA      | $134891.72    | 0.01%             | 2032-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5512 | PA      | $5532.02      | 0.00%             | 2032-03-18      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392EGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73608 | PA      | $73598.64     | 0.01%             | 2032-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392ELD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336062 | PA      | $337257.05    | 0.03%             | 2032-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392F6H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201993 | PA      | $201947.24    | 0.02%             | 2032-12-18      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392FP92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39492 | PA      | $39524.91     | 0.00%             | 2032-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392FV38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20096 | PA      | $20124.46     | 0.00%             | 2032-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392GNP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328303 | PA      | $326753.61    | 0.03%             | 2033-01-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392RKN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55829 | PA      | $56431.06     | 0.01%             | 2031-05-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392RKR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31941 | PA      | $31950.27     | 0.00%             | 2026-10-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392RSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99126 | PA      | $99216.25     | 0.01%             | 2029-09-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392TPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42829 | PA      | $43291.31     | 0.00%             | 2031-05-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31393L6K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21631 | PA      | $21634.40     | 0.00%             | 2023-09-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393U3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338072 | PA      | $337874.49    | 0.03%             | 2034-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393Y6M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316217 | PA      | $315202.10    | 0.03%             | 2034-07-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393Y6T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874583 | PA      | $873462.49    | 0.09%             | 2034-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31394AQJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228833 | PA      | $228152.07    | 0.02%             | 2034-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31396FRL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60312 | PA      | $60695.56     | 0.01%             | 2035-08-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396KU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1001868 | PA      | $1000827.40   | 0.10%             | 2036-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305340 | PA      | $303280.18    | 0.03%             | 2036-08-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31398EDL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355892 | PA      | $357875.50    | 0.04%             | 2036-07-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38374HZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145775 | PA      | $144811.39    | 0.01%             | 2033-10-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BYA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6222928 | PA      | $6158529.08   | 0.62%             | 2062-09-20      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5098462 | PA      | $5044549.06   | 0.50%             | 2062-11-20      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375UUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15632571 | PA      | $15234057.88  | 1.52%             | 2065-02-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376C5J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23928 | PA      | $23922.62     | 0.00%             | 2039-04-16      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12566269 | PA      | $12434884.76  | 1.24%             | 2066-12-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Floating Rate Note                    | CUSIP: 91282CDU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1999111.80   | 0.20%             | 2024-01-31      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Floating Rate Note                    | CUSIP: 91282CFS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4991724.00   | 0.50%             | 2024-10-31      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133994L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257338 | PA      | $259791.36    | 0.03%             | 2031-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31339LJZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18757 | PA      | $18818.84     | 0.00%             | 2031-12-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133TJ2M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60014 | PA      | $60111.45     | 0.01%             | 2029-01-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A8H45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6028116 | PA      | $5942004.70   | 0.59%             | 2042-10-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409G5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25012 | PA      | $25220.23     | 0.00%             | 2036-05-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Floating Rate Note                    | CUSIP: 91282CCQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3001710.30   | 0.30%             | 2023-07-31      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Freddie Mac Strips                                           | CUSIP: 3128HWDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88616 | PA      | $87338.95     | 0.01%             | 2036-11-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ALSC9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1500000 | PA      | $1499495.10   | 0.15%             | 2023-03-17      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AT3K1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1976596.00   | 0.20%             | 2023-09-22      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ATHR1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   5000000 | PA      | $4993336.00   | 0.50%             | 2024-04-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ATNM5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1991492.00   | 0.20%             | 2023-10-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31339DVL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185537 | PA      | $187373.07    | 0.02%             | 2031-12-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31339GJ93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113668 | PA      | $114066.37    | 0.01%             | 2031-06-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31339MEB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63680 | PA      | $64111.51     | 0.01%             | 2031-06-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EJFK0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  10000000 | PA      | $9958553.00   | 0.99%             | 2023-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ENL81<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   5000000 | PA      | $5006934.50   | 0.50%             | 2024-09-16      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133TJ2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61319 | PA      | $61418.22     | 0.01%             | 2029-01-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133TJ2P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62624 | PA      | $62724.99     | 0.01%             | 2029-01-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31358SUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8826 | PA      | $8816.23      | 0.00%             | 2030-11-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136B1XU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4038254 | PA      | $3938866.63   | 0.39%             | 2048-05-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136B5JC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12874778 | PA      | $12722900.37  | 1.27%             | 2049-07-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136B5TY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22231866 | PA      | $22108238.66  | 2.21%             | 2059-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136BAHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19762680 | PA      | $19478230.30  | 1.95%             | 2050-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137FH4G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9839714 | PA      | $9630198.41   | 0.96%             | 2048-09-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137FQHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2850039 | PA      | $2802223.18   | 0.28%             | 2049-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H9MD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26000000 | PA      | $26016250.00  | 2.60%             | 2032-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31385HKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311106 | PA      | $299522.42    | 0.03%             | 2033-04-01      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31385YCQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69102 | PA      | $69266.32     | 0.01%             | 2040-05-01      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31390RCU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82144 | PA      | $87276.08     | 0.01%             | 2032-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 313920QA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20580 | PA      | $20622.28     | 0.00%             | 2031-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 313920ZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120983 | PA      | $120785.95    | 0.01%             | 2031-09-18      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 313921GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231440 | PA      | $232034.04    | 0.02%             | 2031-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 313921XJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116152 | PA      | $115584.41    | 0.01%             | 2031-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392CM27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160176 | PA      | $162030.61    | 0.02%             | 2032-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392DRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41874 | PA      | $41998.65     | 0.00%             | 2032-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91477 | PA      | $92817.33     | 0.01%             | 2032-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392FP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161248 | PA      | $163151.82    | 0.02%             | 2032-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392GDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64497 | PA      | $64550.15     | 0.01%             | 2032-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392GRQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608660 | PA      | $610107.56    | 0.06%             | 2033-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392JZ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116544 | PA      | $116451.07    | 0.01%             | 2033-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392K6W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5491 | PA      | $5511.89      | 0.00%             | 2032-03-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392KG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57515 | PA      | $58135.21     | 0.01%             | 2031-05-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392PUC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84461 | PA      | $84399.60     | 0.01%             | 2032-07-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392R5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46772 | PA      | $46806.11     | 0.00%             | 2032-02-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392U4H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85954 | PA      | $85990.69     | 0.01%             | 2032-08-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392VBQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85484 | PA      | $86477.44     | 0.01%             | 2032-06-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393EET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265989 | PA      | $265061.64    | 0.03%             | 2033-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31393FAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140723 | PA      | $140693.44    | 0.01%             | 2029-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249289 | PA      | $248730.66    | 0.02%             | 2033-01-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31393RTT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    758032 | PA      | $756202.87    | 0.08%             | 2033-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393T4Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781453 | PA      | $781993.28    | 0.08%             | 2033-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393T5M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323312 | PA      | $323332.17    | 0.03%             | 2033-11-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393XZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537857 | PA      | $535590.26    | 0.05%             | 2034-04-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31394ABP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363734 | PA      | $362735.32    | 0.04%             | 2034-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31394L3C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235401 | PA      | $237682.12    | 0.02%             | 2033-10-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31394U4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361079 | PA      | $358993.54    | 0.04%             | 2035-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396KRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1268733 | PA      | $1255738.35   | 0.13%             | 2036-08-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396QVX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97703 | PA      | $97734.59     | 0.01%             | 2039-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31396UWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466921 | PA      | $464090.51    | 0.05%             | 2036-07-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31397GQR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35901 | PA      | $35545.58     | 0.00%             | 2035-08-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31397KTK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467073 | PA      | $463065.12    | 0.05%             | 2036-11-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31397LWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492524 | PA      | $488711.50    | 0.05%             | 2036-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31400CPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10139 | PA      | $10267.61     | 0.00%             | 2033-02-01      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RZ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15316064 | PA      | $15177579.45  | 1.52%             | 2067-03-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38377FJD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4759791 | PA      | $4706223.54   | 0.47%             | 2040-05-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38377VBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2024932 | PA      | $2000925.17   | 0.20%             | 2041-04-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                                  | CUSIP: 912796X53<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1952483.40   | 0.20%             | 2023-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Floating Rate Note                    | CUSIP: 91282CDE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3001847.10   | 0.30%             | 2023-10-31      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Floating Rate Note - When Issued      | CUSIP: 91282CEL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4989580.00   | 0.50%             | 2024-04-30      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                            | BOFAM REPO 1                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        | 127567000 | PA      | $127567000.00 | 12.74%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                    | HSBC REPO 2                                                  | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | Long             | RA               | CORP              | US        | 200000000 | PA      | $200000000.00 | 19.98%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AKKN5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2500000 | PA      | $2500003.50   | 0.25%             | 2022-12-16      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ASAA7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1972233.40   | 0.20%             | 2023-06-23      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ATTQ0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   5000000 | PA      | $4999685.00   | 0.50%             | 2023-05-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Freddie Mac Strips                                           | CUSIP: 3132HTV60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13217632 | PA      | $13057175.12  | 1.30%             | 2043-11-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31339MAX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156638 | PA      | $157489.75    | 0.02%             | 2031-06-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMA36<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $2000119.20   | 0.20%             | 2023-05-19      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMHX3<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1999600.00   | 0.20%             | 2022-12-01      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ENQT0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1999856.60   | 0.20%             | 2023-03-07      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133TRED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49173 | PA      | $49220.56     | 0.00%             | 2031-02-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133TRUD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99170 | PA      | $99363.53     | 0.01%             | 2029-06-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133TTWD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163864 | PA      | $165408.57    | 0.02%             | 2031-06-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31358UVC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2255 | PA      | $2252.16      | 0.00%             | 2023-04-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31359RY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37084 | PA      | $37015.82     | 0.00%             | 2028-04-18      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136B64V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9695758 | PA      | $9538354.03   | 0.95%             | 2049-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136B8GL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8251168 | PA      | $8159036.54   | 0.81%             | 2050-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31373UKE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19034 | PA      | $18879.23     | 0.00%             | 2024-04-01      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F62A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7216762 | PA      | $7135661.39   | 0.71%             | 2030-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137FNJS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18634771 | PA      | $18358702.14  | 1.83%             | 2049-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FXLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6355894 | PA      | $6259661.20   | 0.63%             | 2027-08-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H9JR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30000000 | PA      | $29974728.00  | 2.99%             | 2032-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31386C3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79791 | PA      | $80161.00     | 0.01%             | 2040-08-01      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392BXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79442 | PA      | $79498.63     | 0.01%             | 2032-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392DCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96352 | PA      | $96872.38     | 0.01%             | 2031-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115004 | PA      | $116335.27    | 0.01%             | 2032-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392FRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51058 | PA      | $50996.07     | 0.01%             | 2032-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392HXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67702 | PA      | $67758.01     | 0.01%             | 2033-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392JJW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123342 | PA      | $123067.60    | 0.01%             | 2033-03-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392PN92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82236 | PA      | $83192.21     | 0.01%             | 2032-06-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392PSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145202 | PA      | $146864.46    | 0.01%             | 2032-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392REC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217804 | PA      | $220297.47    | 0.02%             | 2032-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392RKK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82606 | PA      | $83566.01     | 0.01%             | 2032-06-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392VV25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94278 | PA      | $94290.98     | 0.01%             | 2032-09-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393C4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216704 | PA      | $215417.54    | 0.02%             | 2033-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393TUQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135901 | PA      | $135312.45    | 0.01%             | 2033-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31394HV24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169534 | PA      | $169379.75    | 0.02%             | 2033-09-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31394RCE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2507498 | PA      | $2497934.78   | 0.25%             | 2034-02-15      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31394YEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114768 | PA      | $114707.87    | 0.01%             | 2026-07-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae Trust 2006-W1                                     | CUSIP: 31395B5N9<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |   1756540 | PA      | $1737617.43   | 0.17%             | 2046-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31396AXX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293646 | PA      | $290772.20    | 0.03%             | 2035-08-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31396FSK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427912 | PA      | $423209.81    | 0.04%             | 2035-12-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396K5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486896 | PA      | $482446.47    | 0.05%             | 2036-10-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396QSC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    691160 | PA      | $692322.29    | 0.07%             | 2037-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31396TZ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443448 | PA      | $438455.76    | 0.04%             | 2036-07-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402RT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92251 | PA      | $93123.37     | 0.01%             | 2035-09-01      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403DHQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332881 | PA      | $337899.51    | 0.03%             | 2034-08-01      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409VH30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89486 | PA      | $91448.88     | 0.01%             | 2036-06-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140X7EG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1510763 | PA      | $1421952.55   | 0.14%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1556440 | PA      | $1533554.89   | 0.15%             | 2062-12-20      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4101011 | PA      | $4054496.40   | 0.40%             | 2062-11-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BUE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5484180 | PA      | $5436742.73   | 0.54%             | 2062-06-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1277360 | PA      | $1267600.79   | 0.13%             | 2062-08-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BWN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5672816 | PA      | $5597063.96   | 0.56%             | 2062-10-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5936663 | PA      | $5860141.53   | 0.59%             | 2062-02-20      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375UTZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13970091 | PA      | $13629446.89  | 1.36%             | 2065-01-20      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38377TX55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3309403 | PA      | $3273375.16   | 0.33%             | 2041-02-16      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380A2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7927964 | PA      | $7782438.35   | 0.78%             | 2046-10-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 10 FC                | CUSIP: 38381BLF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7698876 | PA      | $7557387.60   | 0.75%             | 2049-01-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Floating Rate Note                    | CUSIP: 91282CBY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4002736.00   | 0.40%             | 2023-04-30      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                 | BANK OF MONTREAL 7                                           | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | RA               | CORP              | US        | 200000000 | PA      | $200000000.00 | 19.98%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 312916UN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13164 | PA      | $13176.84     | 0.00%             | 2023-06-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AKYV2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $2001288.40   | 0.20%             | 2023-02-03      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AS6C8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   3000000 | PA      | $2995166.40   | 0.30%             | 2022-12-23      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AS7F0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1996802.60   | 0.20%             | 2022-12-23      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ASUT4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | SN               | USGSE             | US        |   3000000 | PA      | $2963802.60   | 0.30%             | 2023-08-10      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31339GVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277707 | PA      | $278112.20    | 0.03%             | 2031-11-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31339LMA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14623 | PA      | $14632.61     | 0.00%             | 2031-12-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMWS7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   7000000 | PA      | $7000530.60   | 0.70%             | 2023-04-21      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31358SSV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18936 | PA      | $18889.90     | 0.00%             | 2030-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136B3BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11631450 | PA      | $11476549.59  | 1.15%             | 2058-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137FPBT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3683969 | PA      | $3641914.48   | 0.36%             | 2049-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137FQR47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16072601 | PA      | $15934938.96  | 1.59%             | 2050-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137FRWQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7782122 | PA      | $7695809.03   | 0.77%             | 2050-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31385XFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9221 | PA      | $9368.14      | 0.00%             | 2032-08-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31391FF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32356 | PA      | $32068.01     | 0.00%             | 2027-09-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31391KNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6263 | PA      | $6361.43      | 0.00%             | 2032-12-01      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392AA40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78659 | PA      | $78812.02     | 0.01%             | 2031-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392CN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156966 | PA      | $158678.40    | 0.02%             | 2031-12-18      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392DVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454932 | PA      | $460260.39    | 0.05%             | 2032-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392FNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63152 | PA      | $63889.96     | 0.01%             | 2032-11-18      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31392JEV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57864 | PA      | $57914.21     | 0.01%             | 2033-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392RKJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58309 | PA      | $58938.16     | 0.01%             | 2031-05-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31392UKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53082 | PA      | $53121.03     | 0.01%             | 2032-03-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31393FGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145747 | PA      | $145151.97    | 0.01%             | 2032-11-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31393QX80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42552 | PA      | $42553.02     | 0.00%             | 2032-12-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393UCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255067 | PA      | $254466.05    | 0.03%             | 2033-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393Y3W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763664 | PA      | $758991.79    | 0.08%             | 2034-07-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31394RCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1002320 | PA      | $994362.18    | 0.10%             | 2034-02-15      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31395AUG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383772 | PA      | $383516.11    | 0.04%             | 2034-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396KM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413191 | PA      | $409834.07    | 0.04%             | 2036-09-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31397JE91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36029 | PA      | $35671.78     | 0.00%             | 2035-08-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BUP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2364075 | PA      | $2340892.12   | 0.23%             | 2062-08-20      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380ARW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9274123 | PA      | $9119859.92   | 0.91%             | 2046-09-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-24

**Name of Applicant:** Federated Hermes Institutional Trust

**Signature:** Stephen Van Meter

**Name of Signer:** Federated Hermes Institutional Trust

**Title:** Chief Compliance Officer