# EDGAR Filing Document

**Accession Number:** 0000745463
**File Stem:** 0001410368-26-064349
**Filing Date:** 2026-6
**Character Count:** 212708
**Document Hash:** 3386d5f4624cd016b1d4863cccc3a9ac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-064349.hdr.sgml**: 20260624

**ACCESSION NUMBER**: 0001410368-26-064349

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260624

**DATE AS OF CHANGE**: 20260624

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Eaton Vance Mutual Funds Trust
- **CENTRAL INDEX KEY:** 0000745463

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04015
- **FILM NUMBER:** 261113348

**BUSINESS ADDRESS:**
- **STREET 1:** ONE POST OFFICE SQUARE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 617-482-8260

**MAIL ADDRESS:**
- **STREET 1:** ONE POST OFFICE SQUARE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** EATON VANCE MUTUAL FUNDS TRUST
- **DATE OF NAME CHANGE:** 19950711

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** EATON VANCE GOVERNMENT OBLIGATIONS TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Eaton Vance Government Opportunities Fund (Series ID: S000005288)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000014450 | Eaton Vance Government Opportunities Fund Class R | ERGOX           |
| C000014451 | Eaton Vance Government Opportunities Fund Class A | EVGOX           |
| C000014453 | Eaton Vance Government Opportunities Fund Class C | ECGOX           |
| C000077399 | Eaton Vance Government Opportunities Fund Class I | EIGOX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Eaton Vance Mutual Funds Trust

- **b. Investment Company Act file number:** 811-04015

- **c. CIK number of Registrant:** 0000745463

- **d. LEI of Registrant:** 549300C67AFHZKODE756

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

  - **Street Address 1:** One Post Office Square

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-482-8260

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

- **a. Name of Series:** Government Opportunities Fund

- **b. EDGAR series identifier (if any):** S000005288

- **c. LEI of Series:** 549300FGUNKHMTW51F25

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**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:** $645975936.24

**Total Liabilities:** $217085353.44

**Net Assets:** $428890582.80

**Delayed Delivery Securities:** $116254580.78

**Cash Not Reported:** $11635703.04

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -0.68000000 | **1-Year:** -82.32000000 | **5-Year:** -1.76000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

- **3-Month:** -41.99000000 | **1-Year:** -1362.14000000 | **5-Year:** -1558.89000000 | **10-Year:** -5234.57000000 | **30-Year:** -33828.40000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014451 | 1.71%                | -1.74%               | 0.26%                |
| Class ID C000014453 | 1.65%                | -1.80%               | 0.20%                |
| Class ID C000014450 | 1.69%                | -1.77%               | 0.24%                |
| Class ID C000077399 | 1.73%                | -1.90%               | 0.28%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-684447.06              | $4760185.96                                |
| Month 2  | $-51250.58               | $-6786198.28                               |
| Month 3  | $-200519.16              | $35629.05                                  |

**Designated Index Information**

- **Index Name:** ICE BofA Mortgage Master Index (M0A0)

- **Index Identifier:** ML_MBS

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7986861 | PA      | $471470.78    | 0.11%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FFDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917070 | PA      | $955664.05    | 0.22%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A53Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121497 | PA      | $124639.37    | 0.03%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618J6FB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298041 | PA      | $303252.96    | 0.07%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382XJH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1815038 | PA      | $1110380.33   | 0.26%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382J4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3638053 | PA      | $19192.55     | 0.00%             | 2050-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BAW98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70477 | PA      | $73504.07     | 0.02%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N4TU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25258 | PA      | $25583.06     | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B7SX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128398 | PA      | $134318.24    | 0.03%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384D3W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5155334.25   | 1.20%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383HMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2614884 | PA      | $104456.24    | 0.02%             | 2053-01-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623826 | PA      | $631163.53    | 0.15%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BUWH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1606500 | PA      | $1603488.49   | 0.37%             | 2055-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6300000 | PA      | $6328054.85   | 1.48%             | 2056-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385RXM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4290590.40   | 1.00%             | 2056-04-20      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382LAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5956452 | PA      | $739367.82    | 0.17%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618APKQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173961 | PA      | $178460.45    | 0.04%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382WWM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2215765 | PA      | $1397818.08   | 0.33%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AV6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13513 | PA      | $13867.05     | 0.00%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5523 | PA      | $5632.09      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AWZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2497811 | PA      | $2589347.04   | 0.60%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17800000 | PA      | $17553858.93  | 4.09%             | 2056-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                             | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -3587564 | PA      | $-3587564.22  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AQ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $6206872.80   | 1.45%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) JUN26                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1580 | NC      | $-2716840.02  | -0.63%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31412BLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8927 | PA      | $8951.29      | 0.00%             | 2027-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ATL41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1604898 | PA      | $1693149.73   | 0.39%             | 2053-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173849 | PA      | $1227971.69   | 0.29%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378MQ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4846310 | PA      | $9487.14      | 0.00%             | 2042-07-20      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279625 | PA      | $292517.69    | 0.07%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BAJJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119191 | PA      | $122274.33    | 0.03%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SBA IO Trust                                      | SBAIO 2018-4 Trust                                                                                            | CUSIP: 78415CAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   9291968 | PA      | $384430.10    | 0.09%             | 2044-02-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333239 | PA      | $348772.52    | 0.08%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138ET6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16616 | PA      | $17293.32     | 0.00%             | 2037-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385HJ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234407 | PA      | $232885.98    | 0.05%             | 2035-08-01      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381R4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1928549 | PA      | $205331.26    | 0.05%             | 2049-03-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BFLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3297156 | PA      | $442902.86    | 0.10%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FWJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4303937 | PA      | $529697.78    | 0.12%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383VVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3608106 | PA      | $240447.95    | 0.06%             | 2053-02-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AGXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    957037 | PA      | $975920.32    | 0.23%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380YYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2197106 | PA      | $233616.79    | 0.05%             | 2048-09-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ASK28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1455670 | PA      | $1528120.98   | 0.36%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133BW5R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656993 | PA      | $691871.27    | 0.16%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385WZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98307 | PA      | $101286.67    | 0.02%             | 2040-04-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617L7YU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206373 | PA      | $194787.02    | 0.05%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380TSV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32419 | PA      | $16747.97     | 0.00%             | 2046-11-20      | Floating      | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 31325W4K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1665450 | PA      | $332154.67    | 0.08%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10299931 | PA      | $119336.03    | 0.03%             | 2052-07-20      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31389AZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10237 | PA      | $10108.59     | 0.00%             | 2035-03-01      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385HJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66435 | PA      | $66260.67     | 0.02%             | 2034-09-01      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BXW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3102387.90   | 0.72%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381NAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2813173 | PA      | $2930842.59   | 0.68%             | 2055-06-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    606944 | PA      | $634738.85    | 0.15%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133BN4R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641783 | PA      | $648099.78    | 0.15%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1439931 | PA      | $1462202.85   | 0.34%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HHVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1613863 | PA      | $1611455.20   | 0.38%             | 2055-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BPF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $7231391.30   | 1.69%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3095 | PA      | $3093.95      | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385FNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1146803 | PA      | $1174053.76   | 0.27%             | 2055-04-20      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384WJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2181541 | PA      | $2162672.29   | 0.50%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AJWP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330637 | PA      | $339189.13    | 0.08%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13200000 | PA      | $11562373.68  | 2.70%             | 2056-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                             | RRP GNR 23 165 REPO                                                                                           | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        | -19042541 | PA      | $-19042541.13 | -4.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143704 | PA      | $147465.92    | 0.03%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AQ5X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    402899 | PA      | $411708.01    | 0.10%             | 2053-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP4R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123241 | PA      | $127757.34    | 0.03%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | Long: BMIFNBTB4 CDS USD R F  5.50000 / Short: BMIFNBTB4 CDS USD P V 01MEVENT                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   3000000 | OU      | $-27099.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383APQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1803551 | PA      | $1310387.83   | 0.31%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ANUT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275225 | PA      | $287915.00    | 0.07%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F9WE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7016716 | PA      | $920772.38    | 0.21%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383DCB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5048204 | PA      | $820885.13    | 0.19%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AJDD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454826 | PA      | $373329.25    | 0.09%             | 2043-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FRWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1689941 | PA      | $203672.63    | 0.05%             | 2050-04-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385F3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1334296 | PA      | $1362665.12   | 0.32%             | 2055-05-20      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379DKM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2922529 | PA      | $13341.34     | 0.00%             | 2040-05-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379CZJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6417157 | PA      | $17926.33     | 0.00%             | 2035-09-20      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31410F4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50320 | PA      | $49577.65     | 0.01%             | 2036-05-01      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384D7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19000000 | PA      | $19759050.94  | 4.61%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AAWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1166392 | PA      | $846224.57    | 0.20%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466234 | PA      | $478697.14    | 0.11%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B55L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126306 | PA      | $123814.45    | 0.03%             | 2043-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N4EY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2735259 | PA      | $2811673.10   | 0.66%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384B2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2585670.75   | 0.60%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382FP57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    725783 | PA      | $394925.23    | 0.09%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31373HXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111200 | PA      | $109282.91    | 0.03%             | 2034-07-01      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A84C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585449 | PA      | $603037.63    | 0.14%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385GQB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    617748 | PA      | $628301.93    | 0.15%             | 2055-04-20      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HABQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3939470 | PA      | $4063065.29   | 0.95%             | 2053-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE3P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133908 | PA      | $135482.84    | 0.03%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR Trust 2019-HQA3                                                                             | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1124923.10   | 0.26%             | 2049-09-25      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310677 | PA      | $318713.06    | 0.07%             | 2062-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H02K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138697 | PA      | $87380.13     | 0.02%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AKMR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144118 | PA      | $150762.86    | 0.04%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AV5W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144904 | PA      | $148652.30    | 0.03%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133TGU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17567 | PA      | $17862.34     | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2021-SB91 Mortgage Trust                                                                                | CUSIP: 30322XAE5<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |   4211372 | PA      | $107452.73    | 0.03%             | 2041-08-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382E7X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2205458 | PA      | $282907.31    | 0.07%             | 2049-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1383121 | PA      | $1468719.80   | 0.34%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ATZM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    732576 | PA      | $760338.01    | 0.18%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382LXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12252074 | PA      | $1560251.42   | 0.36%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A5RD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503463 | PA      | $519217.99    | 0.12%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96679 | PA      | $99801.69     | 0.02%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B3DN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280888 | PA      | $298974.38    | 0.07%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FXMN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6091943 | PA      | $748150.61    | 0.17%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDC63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8024546 | PA      | $941141.97    | 0.22%             | 2049-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QSQ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850194 | PA      | $887026.83    | 0.21%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379GNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1303180 | PA      | $6346.23      | 0.00%             | 2037-11-20      | Floating      | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A54C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    872539 | PA      | $899844.01    | 0.21%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HJH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2991420 | PA      | $3261191.86   | 0.76%             | 2055-02-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383X6V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1223746 | PA      | $1265781.80   | 0.30%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -23580000 | PA      | $-21006464.65 | -4.90%            | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HBUF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4505004 | PA      | $4516485.84   | 1.05%             | 2054-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FUYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1630844 | PA      | $1665569.95   | 0.39%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BQSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3318656 | PA      | $2762298.76   | 0.64%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BUCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2722667 | PA      | $2277460.00   | 0.53%             | 2055-01-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FWT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1182272 | PA      | $108353.68    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384ARX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497053 | PA      | $526756.36    | 0.12%             | 2053-05-20      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382USB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197450 | PA      | $118544.90    | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    671451 | PA      | $693748.81    | 0.16%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385E2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1232937 | PA      | $1254982.42   | 0.29%             | 2055-04-20      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FQFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    692284 | PA      | $414335.73    | 0.10%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1420230 | PA      | $1476048.74   | 0.34%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FCZU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54577 | PA      | $55988.66     | 0.01%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ABV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795000 | PA      | $565920.67    | 0.13%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AA4Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77480 | PA      | $79484.39     | 0.02%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H9W88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2064192.80   | 0.48%             | 2052-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B1WD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540366 | PA      | $523415.07    | 0.12%             | 2043-05-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                             | RRP GNMA II MODIFIED REPO                                                                                     | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1601541 | PA      | $-1601540.52  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AEBF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    936577 | PA      | $975728.31    | 0.23%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383UQX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14453130 | PA      | $87899.60     | 0.02%             | 2052-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust 2021-1      | Pagaya AI Technology in Housing Trust 2023-1                                                                  | CUSIP: 69547YAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $897523.20    | 0.21%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ACVE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31974 | PA      | $33448.10     | 0.01%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1121470 | PA      | $72242.81     | 0.02%             | 2053-03-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                           | CUSIP: 912797SX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1780000 | PA      | $1773962.70   | 0.41%             | 2026-06-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HFKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4383080 | PA      | $4294319.66   | 1.00%             | 2054-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1350404 | PA      | $1433978.70   | 0.33%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F64M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105457 | PA      | $47602.93     | 0.01%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BXSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2395930 | PA      | $2366478.02   | 0.55%             | 2055-10-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVR46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2362563 | PA      | $290317.27    | 0.07%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382K4V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3799109 | PA      | $470642.35    | 0.11%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382XTW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2812631 | PA      | $5808.08      | 0.00%             | 2051-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383LBU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699793 | PA      | $771829.82    | 0.18%             | 2052-11-20      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1020296 | PA      | $1083440.80   | 0.25%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1592864 | PA      | $1665808.66   | 0.39%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383U4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1058526 | PA      | $1141287.06   | 0.27%             | 2052-10-20      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NMHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1023600 | PA      | $1052835.90   | 0.25%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N7CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1703197 | PA      | $1733266.42   | 0.40%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9190302 | PA      | $428102.63    | 0.10%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BWMD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1551826 | PA      | $1614223.52   | 0.38%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) JUN26                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       262 | NC      | $32548.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QRSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1349152 | PA      | $1410867.98   | 0.33%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2517345 | PA      | $2574093.88   | 0.60%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736767 | PA      | $48055.16     | 0.01%             | 2053-03-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383VUX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1637476 | PA      | $78580.36     | 0.02%             | 2053-02-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AGA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1103172 | PA      | $1159034.11   | 0.27%             | 2053-05-20      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385BNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1075909 | PA      | $1060522.75   | 0.25%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506187 | PA      | $529525.32    | 0.12%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31373HX27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15133 | PA      | $14889.71     | 0.00%             | 2034-08-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKL80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1326603 | PA      | $1363196.26   | 0.32%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                     | CUSIP: 31300LP90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237650 | PA      | $244546.44    | 0.06%             | 2036-11-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487193 | PA      | $507558.61    | 0.12%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B3DM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770196 | PA      | $802272.25    | 0.19%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Unison Trust                                      | Unison Trust 2021-1                                                                                           | CUSIP: 90919VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7846014 | PA      | $7454052.99   | 1.74%             | 2050-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AYDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8895475 | PA      | $24745.43     | 0.01%             | 2042-10-25      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B96M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114319 | PA      | $119194.34    | 0.03%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179YSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113329 | PA      | $116816.56    | 0.03%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198886 | PA      | $204030.40    | 0.05%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382WGF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3287349 | PA      | $72468.62     | 0.02%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BLX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19994550 | PA      | $1107361.16   | 0.26%             | 2053-06-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ATRV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394494 | PA      | $410516.61    | 0.10%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                             | Ginnie Mae II Pool                                                                                            | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1726428 | PA      | $-1726427.96  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AUH77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373167 | PA      | $222778.97    | 0.05%             | 2042-09-15      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AUH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419075 | PA      | $254812.22    | 0.06%             | 2042-09-15      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385PCP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3989573 | PA      | $4252577.81   | 0.99%             | 2056-03-20      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Mello Warehouse Securitization Trust              | Mello Warehouse Securitization Trust 2025-1                                                                   | CUSIP: 58550CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2010398.40   | 0.47%             | 2059-05-25      | Floating      | 10.15%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HJCR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4284001 | PA      | $4287624.19   | 1.00%             | 2054-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BWMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    747834 | PA      | $777903.77    | 0.18%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                              | CHNGE Mortgage Trust 2023-1                                                                                   | CUSIP: 12547QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236710 | PA      | $236706.39    | 0.06%             | 2058-03-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ATX89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699263 | PA      | $737714.44    | 0.17%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B1RV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619536 | PA      | $648100.80    | 0.15%             | 2063-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23580000 | PA      | $21006464.65  | 4.90%             | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302625 | PA      | $317686.73    | 0.07%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393056 | PA      | $414925.11    | 0.10%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2232628 | PA      | $145621.70    | 0.03%             | 2053-03-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133THHD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4388 | PA      | $4446.32      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381QYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1128618 | PA      | $1147618.18   | 0.27%             | 2055-04-20      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BJ6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196902 | PA      | $205980.19    | 0.05%             | 2063-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618FGDS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1183724 | PA      | $1236237.96   | 0.29%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AJWN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744723 | PA      | $753482.74    | 0.18%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNR 23 164 REPO                                                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -4710881 | PA      | $-4710880.90  | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                              | CHNGE Mortgage Trust 2023-2                                                                                   | CUSIP: 169926AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796679 | PA      | $797314.73    | 0.19%             | 2058-06-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FCZX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161776 | PA      | $165960.25    | 0.04%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AUD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127191 | PA      | $132011.34    | 0.03%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385GYJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2470994 | PA      | $2513207.72   | 0.59%             | 2055-05-20      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HRMQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2090206.60   | 0.49%             | 2056-05-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AS3Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1083042 | PA      | $1127030.63   | 0.26%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BCEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612127 | PA      | $76753.87     | 0.02%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BBA44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101819 | PA      | $58250.92     | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381DZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8037696 | PA      | $409601.79    | 0.10%             | 2063-04-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133TKDP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15217 | PA      | $15518.08     | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383UAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34540344 | PA      | $168999.00    | 0.04%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179Y7H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226690 | PA      | $231540.23    | 0.05%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FRXZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151011 | PA      | $157973.53    | 0.04%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N3A74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43855 | PA      | $44418.72     | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382T5C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324949 | PA      | $215545.23    | 0.05%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                             | Ginnie Mae II Pool                                                                                            | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1497065 | PA      | $-1497065.23  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382PY55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2445 | PA      | $1160.25      | 0.00%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                      | Champs Trust 2024-1                                                                                           | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2023920 | PA      | $2070054.24   | 0.48%             | 2059-07-25      | Variable      | 9.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BPR37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2061443.80   | 0.48%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382QR28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51086 | PA      | $29126.81     | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AJWQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537112 | PA      | $561708.65    | 0.13%             | 2062-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617LC6W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    883213 | PA      | $832802.95    | 0.19%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382MS34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145444 | PA      | $87519.06     | 0.02%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNR 23 165 REPO                                                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -9728081 | PA      | $-9728080.75  | -2.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Champs Trust                                      | Champs Trust 2024-2                                                                                           | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1538277 | PA      | $1579894.55   | 0.37%             | 2059-11-25      | Variable      | 8.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31378A5Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2644 | PA      | $2636.12      | 0.00%             | 2026-11-01      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1541594 | PA      | $1637964.02   | 0.38%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    942858 | PA      | $976099.10    | 0.23%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FDQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668282 | PA      | $133662.40    | 0.03%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128LXEL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9284 | PA      | $9398.93      | 0.00%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844639 | PA      | $839482.13    | 0.20%             | 2036-07-01      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31402DRD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38955 | PA      | $38399.73     | 0.01%             | 2035-03-01      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| NOMURA CORPORATE FDG AMERS LLC                    | NOMURA CORPORATE FDG AMERS LLC                                                                                | CUSIP: 65538RAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12648156 | PA      | $12709410.66  | 2.96%             | 2059-01-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust         | FARM 2023-1 Mortgage Trust                                                                                    | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2818557 | PA      | $2154924.46   | 0.50%             | 2052-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AKMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65909 | PA      | $67634.23     | 0.02%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1027644 | PA      | $1066588.51   | 0.25%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HHTC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1727067 | PA      | $1728200.33   | 0.40%             | 2054-12-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HRR68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2132413.40   | 0.50%             | 2056-05-25      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N5DK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665001 | PA      | $673375.10    | 0.16%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQVD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    735955 | PA      | $756457.64    | 0.18%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    714779 | PA      | $723186.72    | 0.17%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    627880 | PA      | $636217.96    | 0.15%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDNC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217574 | PA      | $223201.94    | 0.05%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511414 | PA      | $534994.03    | 0.12%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AHYY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252295 | PA      | $258820.96    | 0.06%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382GB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1422779 | PA      | $193661.31    | 0.05%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F9NV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1266253 | PA      | $519211.81    | 0.12%             | 2051-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AYUG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511115 | PA      | $524335.41    | 0.12%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC Issuer Trust-FMSR                                                                                         | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2980506.30   | 0.69%             | 2029-09-25      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7216211 | PA      | $260834.28    | 0.06%             | 2053-02-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381TP41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2709966 | PA      | $273705.47    | 0.06%             | 2049-04-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 3136FENW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560323 | PA      | $465849.43    | 0.11%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AEJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322852 | PA      | $188662.99    | 0.04%             | 2043-06-25      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384MLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2537569 | PA      | $429887.97    | 0.10%             | 2064-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BY62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2584926.25   | 0.60%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDWK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168902 | PA      | $173270.62    | 0.04%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: BMIDYNLX1 CDS USD R F  7.85000 / Short: BMIDYNLX1 CDS USD P V 01MEVENT                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |   2373781 | OU      | $8464.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618J6FA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487343 | PA      | $495865.98    | 0.12%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383DUX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10660766 | PA      | $1518604.80   | 0.35%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H030666<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -23580000 | PA      | $-20990805.17 | -4.89%            | 2056-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618H9TF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3738437 | PA      | $3863755.66   | 0.90%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VineBrook Homes                                   | VINE 2023-SFR1 Trust                                                                                          | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1929974.80   | 0.45%             | 2040-12-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383XYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1465794 | PA      | $1556451.04   | 0.36%             | 2053-04-20      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDHZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    963124 | PA      | $1014580.50   | 0.24%             | 2053-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FQTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409971 | PA      | $411016.18    | 0.10%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618N53Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3312666 | PA      | $3342312.90   | 0.78%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1174710 | PA      | $1204888.36   | 0.28%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286678 | PA      | $290050.40    | 0.07%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HHQN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1621260 | PA      | $1621689.27   | 0.38%             | 2054-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31335PLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2108 | PA      | $2149.56      | 0.00%             | 2028-06-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP6N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    715368 | PA      | $733871.23    | 0.17%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2147579 | PA      | $2153053.97   | 0.50%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1626968 | PA      | $1686591.01   | 0.39%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AMBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1087784 | PA      | $1121824.76   | 0.26%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B9LK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313196 | PA      | $321101.22    | 0.07%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31387UDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8467 | PA      | $8540.39      | 0.00%             | 2030-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381PWH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2830743 | PA      | $2947888.71   | 0.69%             | 2055-07-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382LPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7173335 | PA      | $911153.48    | 0.21%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385LDB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7433051 | PA      | $8078378.17   | 1.88%             | 2056-01-20      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDH32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480054 | PA      | $505608.34    | 0.12%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3608106 | PA      | $240447.95    | 0.06%             | 2053-02-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | EFMT 2025-NQM3                                                                                                | CUSIP: 26846YAJ7<br>LEI: 2549007I2BIJP4S0O647 | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2304851.15   | 0.54%             | 2070-08-25      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B4AK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319322 | PA      | $197878.71    | 0.05%             | 2043-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AGHS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137366 | PA      | $143699.30    | 0.03%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F3E59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477798 | PA      | $97620.95     | 0.02%             | 2048-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HL6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2629459 | PA      | $2678813.27   | 0.62%             | 2055-05-25      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10380000 | PA      | $9097097.39   | 2.12%             | 2056-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F6XF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    894048 | PA      | $931002.72    | 0.22%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31381DZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $46.97        | 0.00%             | 2030-07-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQJL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1801751 | PA      | $1852367.85   | 0.43%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382VNE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38781 | PA      | $18755.11     | 0.00%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F7ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3726049 | PA      | $87371.01     | 0.02%             | 2050-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F2J97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3923858 | PA      | $4248732.67   | 0.99%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Mortgage Trust                    | Bank of America Mortgage Trust                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    741090 | PA      | $746803.14    | 0.17%             | 2028-06-16      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F5VL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    725272 | PA      | $754434.74    | 0.18%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383LCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1266250 | PA      | $1368137.24   | 0.32%             | 2052-11-20      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382URP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3851401 | PA      | $659937.00    | 0.15%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B1RS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763175 | PA      | $782438.25    | 0.18%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AMBL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577189 | PA      | $606187.28    | 0.14%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B54N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389153 | PA      | $403103.72    | 0.09%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AAZX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304660 | PA      | $192501.90    | 0.04%             | 2042-12-25      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA 23 164 REPO                                                                                          | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -4894524 | PA      | $-4894523.98  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F3NP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    708353 | PA      | $141677.02    | 0.03%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384B3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3083987.25   | 0.72%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BVHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874970 | PA      | $898980.03    | 0.21%             | 2055-03-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B1JT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596397 | PA      | $623895.26    | 0.15%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BSLH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259260 | PA      | $123988.19    | 0.03%             | 2046-10-15      | Floating      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382WAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2649325 | PA      | $454275.68    | 0.11%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    404736 | PA      | $405286.93    | 0.09%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1551336.90   | 0.36%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B1P39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    793011 | PA      | $829574.16    | 0.19%             | 2063-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BA2V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4058933 | PA      | $584794.65    | 0.14%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BA3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2623724 | PA      | $383451.65    | 0.09%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B7YD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147462 | PA      | $153750.03    | 0.04%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1477258 | PA      | $1494633.09   | 0.35%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383XXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4060428.60   | 0.95%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FY4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575382 | PA      | $335377.61    | 0.08%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36225CEQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12081 | PA      | $12114.71     | 0.00%             | 2027-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384ABM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3103191.00   | 0.72%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384D7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9966880 | PA      | $10235442.07  | 2.39%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A87D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    964645 | PA      | $975388.19    | 0.23%             | 2062-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BS69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4137018.80   | 0.96%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDH57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376088 | PA      | $401008.34    | 0.09%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133JL7G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3760403 | PA      | $3681241.67   | 0.86%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FWU65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    971680 | PA      | $121662.90    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N7CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1608178 | PA      | $1663533.66   | 0.39%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HMLP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2292577 | PA      | $2358303.22   | 0.55%             | 2055-06-25      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384C7X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    814859 | PA      | $949374.01    | 0.22%             | 2053-10-20      | Floating      | 13.51%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1140160 | PA      | $1164437.96   | 0.27%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383DSE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6748464 | PA      | $41831.03     | 0.01%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AEBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1083102 | PA      | $1107518.89   | 0.26%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382KXR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4595570 | PA      | $564248.39    | 0.13%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B73P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146133 | PA      | $149912.34    | 0.03%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A5NA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1061279 | PA      | $1093163.19   | 0.25%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDH40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425251 | PA      | $447655.42    | 0.10%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H16E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115294 | PA      | $57283.75     | 0.01%             | 2051-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BPM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2061095.20   | 0.48%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133THYV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9037 | PA      | $9141.45      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVW40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2303670 | PA      | $284301.52    | 0.07%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31283HG58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        45 | PA      | $45.26        | 0.00%             | 2027-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617M7BU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    427321 | PA      | $394513.94    | 0.09%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Mortgage Trust                    | Bank of America Mortgage Trust                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2552952 | PA      | $2574480.78   | 0.60%             | 2027-09-10      | Variable      | 7.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618M9AJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2172592 | PA      | $2274122.23   | 0.53%             | 2066-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KRL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    627850 | PA      | $643967.19    | 0.15%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AUH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208334 | PA      | $124374.15    | 0.03%             | 2042-09-15      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A9D51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291862 | PA      | $298864.01    | 0.07%             | 2062-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE6F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56776 | PA      | $57444.09     | 0.01%             | 2062-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H0ZK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61575 | PA      | $34343.62     | 0.01%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1384270 | PA      | $1386154.80   | 0.32%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14700000 | PA      | $14782113.47  | 3.45%             | 2056-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618FGDR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2479626 | PA      | $2614488.77   | 0.61%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA4                                                                       | CUSIP: 35564KYC7<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2177115.20   | 0.51%             | 2042-05-25      | Floating      | 13.89%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A5NB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    635216 | PA      | $666930.49    | 0.16%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                     | CUSIP: 31300MNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221962 | PA      | $228506.70    | 0.05%             | 2038-05-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                      | CHAMPS TRUST 2024-3                                                                                           | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    931738 | PA      | $958195.29    | 0.22%             | 2060-01-25      | Variable      | 9.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383VXN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2387717 | PA      | $159119.94    | 0.04%             | 2053-02-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B5YV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152783 | PA      | $159827.44    | 0.04%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382T5V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4819988 | PA      | $626525.39    | 0.15%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 31397T3D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    816238 | PA      | $672734.83    | 0.16%             | 2038-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382DQJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3009623 | PA      | $474636.43    | 0.11%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B1TS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1880540 | PA      | $304468.76    | 0.07%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B72W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    591717 | PA      | $607021.93    | 0.14%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383BK92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1973476 | PA      | $2022845.39   | 0.47%             | 2055-10-20      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5554975 | PA      | $801655.08    | 0.19%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31402RH51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111706 | PA      | $111974.35    | 0.03%             | 2044-04-01      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383VQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6765198 | PA      | $450839.90    | 0.11%             | 2053-02-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AJWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844498 | PA      | $613032.69    | 0.14%             | 2044-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381RHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1489833 | PA      | $151514.77    | 0.04%             | 2049-02-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382KWY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8612756 | PA      | $1069530.69   | 0.25%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AECC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1534527 | PA      | $1568640.42   | 0.37%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AGR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1394410 | PA      | $1496937.24   | 0.35%             | 2053-05-20      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4824718 | PA      | $613101.57    | 0.14%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPM Lending Facility                              | JPM Lending Facility                                                                                          | CUSIP: 000000000<br>LEI: 6354009QIELPOGEAFS09 | Long             | ABS-MBS          | CORP              | US        |   2887500 | PA      | $2897603.36   | 0.68%             | 2029-07-15      | Variable      | 10.65%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A53X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354162 | PA      | $358106.78    | 0.08%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136G5TF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2066261.40   | 0.48%             | 2056-05-25      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383CV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8483247 | PA      | $461849.19    | 0.11%             | 2063-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AUH69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499584 | PA      | $298249.21    | 0.07%             | 2042-09-15      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A9EW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1430210 | PA      | $1473177.81   | 0.34%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BXXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3645837 | PA      | $3717932.25   | 0.87%             | 2055-10-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AQ2V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    916042 | PA      | $926816.74    | 0.22%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FUZD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    874020 | PA      | $900278.30    | 0.21%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVS60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4031422 | PA      | $497527.66    | 0.12%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617XR5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3319198 | PA      | $3327659.95   | 0.78%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HBLJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4525652 | PA      | $4460403.29   | 1.04%             | 2054-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B9EX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1723460 | PA      | $209011.24    | 0.05%             | 2050-02-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A8QA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628970 | PA      | $660373.25    | 0.15%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383CB74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7216196 | PA      | $16942.18     | 0.00%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                             | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1689780 | PA      | $-1689780.16  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F22X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1404854 | PA      | $1461473.68   | 0.34%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AUC55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1361114 | PA      | $1396093.53   | 0.33%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FUYY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1604049 | PA      | $1669449.04   | 0.39%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 3128HWPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    856431 | PA      | $710989.51    | 0.17%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382KAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9103660 | PA      | $1408123.66   | 0.33%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B7Y36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148138 | PA      | $151969.86    | 0.04%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380GWN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    695537 | PA      | $668217.32    | 0.16%             | 2047-09-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618LVLX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4970073 | PA      | $5051990.04   | 1.18%             | 2055-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVPY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2849913 | PA      | $353496.67    | 0.08%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384ACL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    991223 | PA      | $1051928.17   | 0.25%             | 2053-05-20      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383FCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1138644 | PA      | $819790.91    | 0.19%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N7KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1109391 | PA      | $1125509.79   | 0.26%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HMNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2285474 | PA      | $2354212.95   | 0.55%             | 2055-08-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    703480 | PA      | $742163.55    | 0.17%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BVQF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441733 | PA      | $468933.03    | 0.11%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382NXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5755692 | PA      | $873874.39    | 0.20%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136G5ST8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2071058.40   | 0.48%             | 2056-05-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FUXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1562360 | PA      | $1595627.60   | 0.37%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H1P91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172374 | PA      | $70650.90     | 0.02%             | 2050-04-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FXFJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       593 | PA      | $286.84       | 0.00%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618GKNN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178708 | PA      | $187255.78    | 0.04%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AA3U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    856135 | PA      | $865669.57    | 0.20%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AWA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    767294 | PA      | $802672.16    | 0.19%             | 2063-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2744268 | PA      | $2895172.07   | 0.68%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133BQEX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    827318 | PA      | $853920.70    | 0.20%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust           | Saluda Grade Alternative Mortgage Trust 2025-NPL2                                                             | CUSIP: 79589BAA6<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-O            | CORP              | US        |   1816422 | PA      | $1812599.00   | 0.42%             | 2030-05-25      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383LGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    935422 | PA      | $957586.26    | 0.22%             | 2052-11-20      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AF65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3500000 | PA      | $3609200.35   | 0.84%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                             | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -2501619 | PA      | $-2501618.64  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FCT20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    603463 | PA      | $123679.77    | 0.03%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5622299 | PA      | $827984.46    | 0.19%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A85F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1222214 | PA      | $1283236.18   | 0.30%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106716 | PA      | $105146.39    | 0.02%             | 2033-03-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384GBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5155369.75   | 1.20%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AQ4X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260801 | PA      | $263868.60    | 0.06%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDLE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44618 | PA      | $45621.63     | 0.01%             | 2053-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384CFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2068236.40   | 0.48%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31402QZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93861 | PA      | $92345.08     | 0.02%             | 2036-10-01      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BVGL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886228 | PA      | $931084.43    | 0.22%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1990376 | PA      | $245176.28    | 0.06%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128C6R76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308295 | PA      | $304697.93    | 0.07%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                      | Champs Trust 2025-2                                                                                           | CUSIP: 15878DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2867938 | PA      | $2952966.26   | 0.69%             | 2060-10-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618APGM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1609198 | PA      | $1657543.28   | 0.39%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1388567 | PA      | $1441188.66   | 0.34%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64050 | PA      | $65726.76     | 0.02%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                            | Cascade MH Asset Trust 2022-MH1                                                                               | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1176011 | PA      | $1154465.97   | 0.27%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AKMP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144875 | PA      | $151555.26    | 0.04%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    718587 | PA      | $776308.52    | 0.18%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B3B66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946098 | PA      | $51223.48     | 0.01%             | 2049-02-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                     | CUSIP: 3128SGAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69851 | PA      | $68509.43     | 0.02%             | 2035-01-01      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383V2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2287926 | PA      | $153399.93    | 0.04%             | 2053-02-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FYLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        73 | PA      | $39.94        | 0.00%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31374TZL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9847 | PA      | $9733.71      | 0.00%             | 2036-05-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BMIERJVJ6 IRS USD R V 12MSOFR BMIERJVL1 CCPOIS / Short: BMIERJVJ6 IRS USD P F  3.75850 BMIERJVK3 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  12480000 | OU      | $934893.02    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31296QC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25983 | PA      | $26927.28     | 0.01%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384D3E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4778163 | PA      | $4965033.13   | 1.16%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NJJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    823951 | PA      | $843815.36    | 0.20%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AUDD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1495080 | PA      | $1535464.78   | 0.36%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B5Y97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100767 | PA      | $103373.86    | 0.02%             | 2063-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                             | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1565909 | PA      | $-1565909.08  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280302 | PA      | $293226.37    | 0.07%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BWLT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    423023 | PA      | $439054.23    | 0.10%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCV46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    858976 | PA      | $893191.10    | 0.21%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FWVH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175038 | PA      | $177096.90    | 0.04%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AWLB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    638699 | PA      | $646211.27    | 0.15%             | 2063-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383CB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14305597 | PA      | $33626.74     | 0.01%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31371Y2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66623 | PA      | $65613.76     | 0.02%             | 2033-12-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AECE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1698578 | PA      | $1769317.79   | 0.41%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                     | CUSIP: 31346AJT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38319 | PA      | $37549.35     | 0.01%             | 2034-12-01      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVYJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3784929 | PA      | $467107.40    | 0.11%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381NNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2813173 | PA      | $2940223.37   | 0.69%             | 2055-06-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    995942 | PA      | $1049985.30   | 0.24%             | 2053-06-20      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384GQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2577155.38   | 0.60%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BA4D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    616306 | PA      | $623554.54    | 0.15%             | 2063-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381DRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8189962 | PA      | $396288.50    | 0.09%             | 2063-04-16      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NQQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936265 | PA      | $984433.50    | 0.23%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AUEB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485835 | PA      | $504246.37    | 0.12%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QSBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    872531 | PA      | $911354.00    | 0.21%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B3DQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    709457 | PA      | $747581.94    | 0.17%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-19

**Name of Applicant:** Eaton Vance Mutual Funds Trust

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer