# EDGAR Filing Document

**Accession Number:** 0001034106
**File Stem:** 0001193125-26-065607
**Filing Date:** 2026-2
**Character Count:** 171744
**Document Hash:** ab92e9fc7bdfded0f549bb87aed83d3b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-065607.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0001193125-26-065607

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FEDERATED HERMES CORE TRUST
- **CENTRAL INDEX KEY:** 0001034106

**ORGANIZATION NAME:**
- **EIN:** 232934777
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1212

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08519
- **FILM NUMBER:** 26667813

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERATED CORE TRUST
- **DATE OF NAME CHANGE:** 20180601

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERATED CORE TRUST/PA
- **DATE OF NAME CHANGE:** 19971126

## Series and Classes Contracts Data

### Mortgage Core Fund (Series ID: S000009127)

| Class ID   | Class Name         | Ticker Symbol   |
|:---|:---|:---|
| C000024828 | Mortgage Core Fund |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-08519

- **c. CIK number of Registrant:** 0001034106

- **d. LEI of Registrant:** 254900HYFNGKM5PJOV84

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

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

  - **City:** Warrendale

  - **State:** PA

  - **Foreign country:** US

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

  - **Telephone number:** 8003417400

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

- **a. Name of Series:** Mortgage Core Fund

- **b. EDGAR series identifier (if any):** S000009127

- **c. LEI of Series:** 254900WC9GWJKY8X3D48

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $5618686332.05

**Total Liabilities:** $886441897.96

**Net Assets:** $4732244434.09

**Delayed Delivery Securities:** $43513092.45

**Cash Not Reported:** $2574447.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -218.045179000000 | **1-Year:** -6849.431008000000 | **5-Year:** -6248.838551000000 | **10-Year:** -7374.989023000000 | **30-Year:** -1197.291504000000

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

- **3-Month:** -1.949653000000 | **1-Year:** -24.014874000000 | **5-Year:** -35.709759000000 | **10-Year:** -10.558101000000 | **30-Year:** -0.001900000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000024828 | 0.89%                | 0.75%                | 0.05%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-156763.46              | $23878164.22                               |
| Month 2  | $-25.54                  | $13467112.68                               |
| Month 3  | $1585844.92              | $-19137793.13                              |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US MBS index

- **Index Identifier:** LEHMMBS

### Schedule of Portfolio Investments

| Name                                         | Title                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WHNM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60480 | PA      | $61626.83     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12505416 | PA      | $12264426.94  | 0.26%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133BT2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16170301 | PA      | $15863739.69  | 0.34%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133KJWS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6828263 | PA      | $5612533.34   | 0.12%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136AWQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2101951 | PA      | $2061879.81   | 0.04%             | 2047-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31390MUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23618 | PA      | $24822.85     | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31410UYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11020 | PA      | $11757.19     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36207TRK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1292 | PA      | $1329.41      | 0.00%             | 2029-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DN2Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28894375 | PA      | $29040545.54  | 0.61%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132E0CA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18562867 | PA      | $15130243.53  | 0.32%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31403DP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93205 | PA      | $99175.55     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1948382 | PA      | $1655190.43   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36241LPY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1267693 | PA      | $1233826.72   | 0.03%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38384ACB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8604355 | PA      | $8600874.81   | 0.18%             | 2053-05-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2020-F | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1831764 | PA      | $1741624.54   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2005-21          | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402403 | PA      | $220491.90    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WHGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       606 | PA      | $617.19       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WKGF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51845 | PA      | $53829.79     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WVN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18096 | PA      | $19125.83     | 0.00%             | 2031-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WWVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78772 | PA      | $83427.76     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 31329H3L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7902 | PA      | $8185.84      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A1WT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195986 | PA      | $199745.46    | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A1WV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16811 | PA      | $17745.54     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DPZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3235195 | PA      | $3114914.72   | 0.07%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133B0SD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37750108 | PA      | $32317233.69  | 0.68%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133BKRQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  59232160 | PA      | $56493194.28  | 1.19%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133BNTC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12456700 | PA      | $11911828.54  | 0.25%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136B5JV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5997467 | PA      | $5929516.33   | 0.13%             | 2049-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136B5ZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4448136 | PA      | $4363583.12   | 0.09%             | 2049-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31371KA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10847 | PA      | $11508.33     | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31371LR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209518 | PA      | $219546.81    | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31374TRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1528 | PA      | $1568.39      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31374TW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       856 | PA      | $888.91       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137FPKK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5536142 | PA      | $5448168.71   | 0.12%             | 2049-09-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137HBQA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16907277 | PA      | $16961307.79  | 0.36%             | 2054-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137HC3H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29566542 | PA      | $29457639.43  | 0.62%             | 2054-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137HC4T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7103743 | PA      | $7099680.07   | 0.15%             | 2054-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31382F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       673 | PA      | $690.92       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31387H6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3898 | PA      | $4070.90      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140AQ3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11701997 | PA      | $11689273.11  | 0.25%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QNC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9183127 | PA      | $8126586.97   | 0.17%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XFRA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11295958 | PA      | $9578500.56   | 0.20%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XGCF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7321282 | PA      | $6800214.20   | 0.14%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27767807 | PA      | $24810818.96  | 0.52%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XJUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 272157894 | PA      | $222000881.21 | 4.69%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XLNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21318779 | PA      | $17376535.97  | 0.37%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31410K4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21583 | PA      | $23072.46     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31415VKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20235 | PA      | $21382.59     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37417809 | PA      | $34626099.59  | 0.73%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31419ATE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103961 | PA      | $104067.77    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36176M4Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272355 | PA      | $272500.43    | 0.01%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36200XHQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6969 | PA      | $7227.06      | 0.00%             | 2031-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36202FAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239395 | PA      | $244034.36    | 0.01%             | 2039-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 3622ACC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14247979 | PA      | $13090381.69  | 0.28%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36290TNT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41125 | PA      | $42988.42     | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38384UEV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39958620 | PA      | $40089316.15  | 0.85%             | 2054-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                    | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 145000000 | PA      | $148857232.00 | 3.15%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae                                       | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25000000 | PA      | $25241307.50  | 0.53%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WKYX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66188 | PA      | $68743.29     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WQ2E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493675 | PA      | $484253.10    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 31329HV99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2986 | PA      | $3114.76      | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A1V27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    465644 | PA      | $473734.37    | 0.01%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A9LS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4928 | PA      | $4910.48      | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132D6EC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7177674 | PA      | $7388583.10   | 0.16%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6274536 | PA      | $5422505.47   | 0.11%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132E0B92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  41202773 | PA      | $33995633.41  | 0.72%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132E0S52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16863447 | PA      | $14999154.57  | 0.32%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133KKYV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4085802 | PA      | $3304724.43   | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31386PZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14507 | PA      | $14941.54     | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31387FEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3693 | PA      | $3885.28      | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31403DP37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169384 | PA      | $175481.29    | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140AHRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7993108 | PA      | $8207466.08   | 0.17%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140KDMR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16369816 | PA      | $13373422.35  | 0.28%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XFM65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19342212 | PA      | $16649209.79  | 0.35%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XH7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29102316 | PA      | $29249538.65  | 0.62%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XMSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21485474 | PA      | $20137601.67  | 0.43%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XNVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44158502 | PA      | $37416964.81  | 0.79%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24187544 | PA      | $22214834.06  | 0.47%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 3617GSY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2569887 | PA      | $2446482.47   | 0.05%             | 2048-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36209JLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1709 | PA      | $1759.43      | 0.00%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38384C2M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16300474 | PA      | $16341656.90  | 0.35%             | 2053-08-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2022-4                | CUSIP: 46655GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5370280 | PA      | $4696058.19   | 0.10%             | 2052-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                       | US 5YR NOTE (CBT) MAR26                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1002 | NC      | $-346793.20   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50000000 | PA      | $48704845.00  | 1.03%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  45150000 | PA      | $45040520.28  | 0.95%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WG2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       285 | PA      | $290.85       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WGYS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53205 | PA      | $55095.25     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WHPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67105 | PA      | $69674.15     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DMQC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9932325 | PA      | $8797037.31   | 0.19%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58170019 | PA      | $47504179.46  | 1.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58057008 | PA      | $49991914.66  | 1.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17214082 | PA      | $17703861.97  | 0.37%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132E0WQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47076676 | PA      | $44958639.89  | 0.95%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133KKU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12556006 | PA      | $10639121.01  | 0.22%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133KPQV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19485892 | PA      | $18615287.99  | 0.39%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136B6ZQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10457042 | PA      | $10277952.14  | 0.22%             | 2059-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BPAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22528666 | PA      | $22256529.10  | 0.47%             | 2052-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BQME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36601848 | PA      | $35817272.69  | 0.76%             | 2048-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BWZL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17393594 | PA      | $17499331.54  | 0.37%             | 2055-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31371G6Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3041 | PA      | $3079.57      | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31371H2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       131 | PA      | $136.03       | 0.00%             | 2029-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31371NWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392499 | PA      | $414871.46    | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31387NSV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1116 | PA      | $1159.57      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389E6Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16488 | PA      | $17005.29     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389FHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7593 | PA      | $7813.02      | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389K3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14922 | PA      | $15643.31     | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31408F6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50906 | PA      | $52829.22     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QNC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2132249 | PA      | $1812056.19   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QNQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16555951 | PA      | $13587571.40  | 0.29%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QUGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17115115 | PA      | $17239136.67  | 0.36%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140W1SM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42293361 | PA      | $41491550.92  | 0.88%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140X97F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10054970 | PA      | $8905663.55   | 0.19%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XBR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10665893 | PA      | $9877850.18   | 0.21%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XJS20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37598894 | PA      | $34985417.46  | 0.74%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XJTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  99327988 | PA      | $81270775.59  | 1.72%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XKKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12442914 | PA      | $10246972.40  | 0.22%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XLPJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22664618 | PA      | $20314811.53  | 0.43%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31413UUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162 | PA      | $172.43       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31415RGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97771 | PA      | $101561.80    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit     | Ford Credit Auto Owner Trust 2023-REV1           | CUSIP: 34535QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20562000 | PA      | $20965640.28  | 0.44%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 3617BRAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6850401 | PA      | $6334504.39   | 0.13%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36181LUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338725 | PA      | $318930.61    | 0.01%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36202EYL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57546 | PA      | $59578.48     | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36209PNM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1997 | PA      | $2036.20      | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 3620A1ZV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65648 | PA      | $65801.59     | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36211PA86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18852 | PA      | $19450.76     | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36241KXB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78900 | PA      | $81265.75     | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36296XJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215738 | PA      | $220025.48    | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38384MM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15402207 | PA      | $15437759.88  | 0.33%             | 2054-04-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust               | Home Partners of America 2022-1 Trust            | CUSIP: 43730NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14498523 | PA      | $14505226.15  | 0.31%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2020-G | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3874538 | PA      | $3641331.75   | 0.08%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2005-SA3 Trust                      | CUSIP: 76111XWD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77200 | PA      | $74194.83     | 0.00%             | 2035-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                       | Sequoia Mortgage Trust 2013-2                    | CUSIP: 81745MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2185618 | PA      | $1881625.55   | 0.04%             | 2043-02-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WVM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12870 | PA      | $13342.11     | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XHCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4078089 | PA      | $3618325.64   | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31413EY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39155 | PA      | $41221.21     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31416AJP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9371 | PA      | $9900.84      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36209R5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25217 | PA      | $26092.51     | 0.00%             | 2030-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36210A5T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1128 | PA      | $1166.36      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36211BU77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3293 | PA      | $3381.71      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36211NGL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4266 | PA      | $4411.15      | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WGZ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1525 | PA      | $1553.45      | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WKFU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132711 | PA      | $139977.02    | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131X6R69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2044 | PA      | $2038.46      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131X6TS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27035 | PA      | $26966.78     | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A1GB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33375 | PA      | $34016.96     | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A1HV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    389796 | PA      | $403061.25    | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A2HQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       914 | PA      | $975.25       | 0.00%             | 2038-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A2JX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       845 | PA      | $902.40       | 0.00%             | 2038-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A2UN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36778 | PA      | $37491.23     | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DSMD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21970319 | PA      | $20649147.37  | 0.44%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  36149882 | PA      | $31184540.01  | 0.66%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132E0SG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20666117 | PA      | $18504135.53  | 0.39%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133KNHL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29094979 | PA      | $24707694.92  | 0.52%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BRME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29016939 | PA      | $28915924.93  | 0.61%             | 2054-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BTFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13558999 | PA      | $13624463.09  | 0.29%             | 2054-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BU2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22593824 | PA      | $22713049.40  | 0.48%             | 2055-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31371HE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2541 | PA      | $2608.72      | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137BVXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8299365 | PA      | $8183224.93   | 0.17%             | 2047-02-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137HFPD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19821358 | PA      | $19847585.70  | 0.42%             | 2054-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31387H6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2860 | PA      | $2976.88      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389PR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16937 | PA      | $17874.87     | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140A1VM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3434947 | PA      | $3529888.01   | 0.07%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140MRE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12375290 | PA      | $11460948.93  | 0.24%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140N2VL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10969119 | PA      | $9701612.26   | 0.21%             | 2053-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XHXF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25733818 | PA      | $22038330.79  | 0.47%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XKMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32171632 | PA      | $29995722.55  | 0.63%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XMJN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41804790 | PA      | $37366070.27  | 0.79%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XN3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34224162 | PA      | $27916861.35  | 0.59%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XRCL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55654604 | PA      | $49745348.37  | 1.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31410CHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160312 | PA      | $166230.05    | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31410EDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1663 | PA      | $1758.39      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31410SQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10894 | PA      | $11493.66     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31413QTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41189 | PA      | $44039.93     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32674476 | PA      | $33604140.51  | 0.71%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36179YDK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33283099 | PA      | $33773033.23  | 0.71%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36208E4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2199 | PA      | $2221.97      | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 3620A94G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136316 | PA      | $136544.78    | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36212UCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3662 | PA      | $3814.72      | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36241K5Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180652 | PA      | $184276.12    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36296QH85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119850 | PA      | $123557.36    | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2022-3                  | CUSIP: 46654UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25551637 | PA      | $22279828.83  | 0.47%             | 2052-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2022-6                | CUSIP: 46655KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4814269 | PA      | $4197816.59   | 0.09%             | 2052-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federated Hermes Government Obligations Fund | Federated Hermes Government Obligations Fund     | CUSIP: 608919718<br>LEI: 254900VAJ9169N7JRF45 | Long             | STIV             | RF                | US        | 168142283 | NS      | $168142282.78 | 3.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2022-SFR4 Trust             | CUSIP: 74332XAC5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |  14808453 | PA      | $14851770.69  | 0.31%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WUGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       839 | PA      | $870.96       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19575168 | PA      | $15900296.19  | 0.34%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DNFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22512114 | PA      | $20023347.75  | 0.42%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DPBR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11423883 | PA      | $9869043.19   | 0.21%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1813 | PA      | $1860.92      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137HAKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17722268 | PA      | $17422070.64  | 0.37%             | 2045-04-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389AXM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1299 | PA      | $1348.97      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221225 | PA      | $229396.81    | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140MRAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17962376 | PA      | $17221585.89  | 0.36%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140N3AF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13109789 | PA      | $12895047.57  | 0.27%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QNZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2755236 | PA      | $2619242.74   | 0.06%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XCAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28403070 | PA      | $25156534.04  | 0.53%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XCQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33390972 | PA      | $28595885.27  | 0.60%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XJGS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8448000 | PA      | $8652974.35   | 0.18%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XJUE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  63041560 | PA      | $53988520.75  | 1.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XN5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  87628737 | PA      | $71424536.11  | 1.51%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31415WZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22242 | PA      | $23474.99     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23396753 | PA      | $23934340.65  | 0.51%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36182AJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273179 | PA      | $272630.81    | 0.01%             | 2043-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36209EVF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4815 | PA      | $4978.39      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36209MTA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2351 | PA      | $2390.67      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36212P5E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       768 | PA      | $796.23       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36241KY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107540 | PA      | $107869.20    | 0.00%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                    | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24000000 | PA      | $22760625.60  | 0.48%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  77500000 | PA      | $70455366.25  | 1.49%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WGW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18226 | PA      | $18893.16     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WHRF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58660 | PA      | $59769.22     | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WVRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7446 | PA      | $7892.86      | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 31329HV57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4907 | PA      | $5109.51      | 0.00%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A2HA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8030 | PA      | $8333.60      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A2ZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199296 | PA      | $203053.05    | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A3AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33770 | PA      | $34427.19     | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A4YK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6377 | PA      | $6910.22      | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10624992 | PA      | $9872114.26   | 0.21%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DTZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23927311 | PA      | $21192364.05  | 0.45%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12390767 | PA      | $12606218.50  | 0.27%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWJN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20069946 | PA      | $20882273.57  | 0.44%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133ADUS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19756082 | PA      | $16115158.71  | 0.34%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133BGDZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1443914 | PA      | $1384364.82   | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133CWYT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14458632 | PA      | $14488851.61  | 0.31%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133KN4U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15053029 | PA      | $12881940.85  | 0.27%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BSCM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23694911 | PA      | $23629723.72  | 0.50%             | 2054-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BUVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19312719 | PA      | $19315189.13  | 0.41%             | 2054-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137HAQH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11344223 | PA      | $11066383.55  | 0.23%             | 2049-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31382DU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2000 | PA      | $2053.71      | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31383B3T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2690 | PA      | $2761.68      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389AMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3932 | PA      | $4155.15      | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389XQ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9530 | PA      | $9982.04      | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140A1ET0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9005060 | PA      | $9366160.58   | 0.20%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140KGSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6870925 | PA      | $5937909.47   | 0.13%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140MAEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4435769 | PA      | $3811249.26   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140MAWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21406999 | PA      | $19120681.95  | 0.40%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140MX2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5377857 | PA      | $5292708.04   | 0.11%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6610507 | PA      | $5655012.21   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QNL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32664741 | PA      | $27677919.17  | 0.58%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QNUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53410810 | PA      | $45957769.35  | 0.97%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140X7UJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2624472 | PA      | $2254967.96   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XHXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4283479 | PA      | $4188886.05   | 0.09%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XJEM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16401279 | PA      | $15704368.98  | 0.33%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XPNK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8726048 | PA      | $7742274.77   | 0.16%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31418EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6831785 | PA      | $6664255.56   | 0.14%             | 2037-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 31425YQN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27016285 | PA      | $27749752.41  | 0.59%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36179X5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28840459 | PA      | $29591000.39  | 0.63%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36179YFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  62136436 | PA      | $62357679.17  | 1.32%             | 2053-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36179YMH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33332902 | PA      | $32569738.96  | 0.69%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36201XQG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39132 | PA      | $40955.01     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36207TSJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4247 | PA      | $4362.01      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 3620AS3K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    762671 | PA      | $740350.92    | 0.02%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36210AXX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1369 | PA      | $1415.62      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 3622ABRS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31989252 | PA      | $28777022.10  | 0.61%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36241LS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    609806 | PA      | $592439.81    | 0.01%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38381QKN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38523899 | PA      | $38669257.58  | 0.82%             | 2055-08-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                       | Sequoia Mortgage Trust 2012-6                    | CUSIP: 81744NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1232023 | PA      | $1078483.61   | 0.02%             | 2042-12-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                       | US 10YR NOTE (CBT)MAR26                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       195 | NC      | $-136024.59   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  55000000 | PA      | $51897813.00  | 1.10%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WGWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26215 | PA      | $27200.49     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WGZP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50071 | PA      | $51034.69     | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WLKH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30741 | PA      | $31322.46     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DNMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20916178 | PA      | $18017105.56  | 0.38%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DPZE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2951660 | PA      | $2770474.42   | 0.06%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20664934 | PA      | $18302884.35  | 0.39%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133BKHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8052407 | PA      | $7924910.57   | 0.17%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133BKRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3792841 | PA      | $3902645.98   | 0.08%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133BMYP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5237004 | PA      | $5154084.63   | 0.11%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133CXZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13310904 | PA      | $13299114.77  | 0.28%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133KL3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6303829 | PA      | $5838074.23   | 0.12%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BPCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  68748778 | PA      | $67824794.91  | 1.43%             | 2052-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31406TC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12445 | PA      | $12874.88     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140AXJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8384413 | PA      | $8378748.16   | 0.18%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140FNJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548031 | PA      | $536629.95    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QNEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29189796 | PA      | $23974490.18  | 0.51%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XDQA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26749487 | PA      | $21727771.04  | 0.46%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XGZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23268907 | PA      | $22084040.75  | 0.47%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XJSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 102112017 | PA      | $90440378.87  | 1.91%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XLTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18265831 | PA      | $15455269.66  | 0.33%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XMN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19839422 | PA      | $20401385.87  | 0.43%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18967583 | PA      | $18809247.74  | 0.40%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 31427QXF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34821153 | PA      | $35342293.49  | 0.75%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36197FN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5551083 | PA      | $5133037.12   | 0.11%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36208QTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2242 | PA      | $2277.70      | 0.00%             | 2029-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357737 | PA      | $358338.14    | 0.01%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 3620AM4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35323 | PA      | $35343.57     | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 3620C2GA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56511 | PA      | $56569.77     | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36213UR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24249 | PA      | $25066.62     | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust          | GS Mortgage-Backed Securities Trust 2023-PJ1     | CUSIP: 36267TAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30093156 | PA      | $27422387.95  | 0.58%             | 2053-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38383U6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5378829 | PA      | $5351651.09   | 0.11%             | 2052-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38383VKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26873541 | PA      | $26827043.92  | 0.57%             | 2053-01-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38383VL30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22248233 | PA      | $21990380.14  | 0.46%             | 2053-02-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                       | US 2YR NOTE (CBT) MAR26                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       520 | NC      | $-65688.48    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                    | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 118750000 | PA      | $118453125.00 | 2.50%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                    | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 244500000 | PA      | $247909625.85 | 5.24%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50000000 | PA      | $44941320.00  | 0.95%             | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WNX58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92923 | PA      | $94753.31     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WUD96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1135 | PA      | $1179.32      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 31329K4X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3752 | PA      | $3740.06      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A2PC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134751 | PA      | $137047.46    | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A4WE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19747 | PA      | $20498.04     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132AAYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481098 | PA      | $439187.08    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132D6C40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22267493 | PA      | $22364978.06  | 0.47%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6522210 | PA      | $5852119.63   | 0.12%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DPG36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8714100 | PA      | $7718058.33   | 0.16%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DV7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6305570 | PA      | $5149403.82   | 0.11%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132E0EC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9065208 | PA      | $7760572.27   | 0.16%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133AAE57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5527293 | PA      | $4743913.35   | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133CXZR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14054332 | PA      | $14039050.79  | 0.30%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133KLS57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35225730 | PA      | $28733845.95  | 0.61%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BRNL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16544528 | PA      | $16536583.37  | 0.35%             | 2053-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BVEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37316272 | PA      | $37542658.12  | 0.79%             | 2055-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137FUQ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5888107 | PA      | $5825081.57   | 0.12%             | 2050-07-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389XCN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75980 | PA      | $80604.15     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389XNG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63833 | PA      | $66861.14     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3138A4Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       727 | PA      | $724.80       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31403DJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139805 | PA      | $146453.04    | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140LVSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11157591 | PA      | $9471094.47   | 0.20%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140N6T28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18700041 | PA      | $18427332.57  | 0.39%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QFS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23560017 | PA      | $19963184.59  | 0.42%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QHC45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18279988 | PA      | $15494952.94  | 0.33%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QNKY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10260598 | PA      | $8459413.68   | 0.18%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QRV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22657016 | PA      | $21637650.14  | 0.46%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XDRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28718392 | PA      | $24289174.28  | 0.51%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XHXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21443979 | PA      | $20492590.84  | 0.43%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XLR34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8416979 | PA      | $7842440.88   | 0.17%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XNTQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3939912 | PA      | $3865218.09   | 0.08%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XNTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16501161 | PA      | $14610914.72  | 0.31%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31411FRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13850 | PA      | $14742.37     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31416L5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249641 | PA      | $263689.93    | 0.01%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25483087 | PA      | $20699113.75  | 0.44%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6607656 | PA      | $6747329.02   | 0.14%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36179YAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22213090 | PA      | $22553954.50  | 0.48%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29009740 | PA      | $29454900.26  | 0.62%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36181BRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    498934 | PA      | $469305.48    | 0.01%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36201CNF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34076 | PA      | $35608.28     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36209DR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14277 | PA      | $14861.91     | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36210U5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9700 | PA      | $9923.01      | 0.00%             | 2030-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36211SAT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7959 | PA      | $8187.09      | 0.00%             | 2030-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393209 | PA      | $393754.31    | 0.01%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38384CKA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4283384 | PA      | $4299187.17   | 0.09%             | 2053-08-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A1K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83702 | PA      | $89127.64     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133BAGH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7991787 | PA      | $7689667.98   | 0.16%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133BB3X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7543334 | PA      | $7449120.71   | 0.16%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133D1NJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26347607 | PA      | $26394442.15  | 0.56%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136A2N41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13097064 | PA      | $12961759.94  | 0.27%             | 2041-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31371NFP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67817 | PA      | $73624.16     | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31390CF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3520 | PA      | $3728.63      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28448770 | PA      | $24292282.65  | 0.51%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XCAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3889882 | PA      | $3617895.51   | 0.08%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XKMP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15132812 | PA      | $14118771.69  | 0.30%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31416BXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63750 | PA      | $63934.56     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BRMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32241043 | PA      | $32306885.66  | 0.68%             | 2054-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WHNZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134705 | PA      | $139625.08    | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 31329HWV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       743 | PA      | $775.35       | 0.00%             | 2030-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 31329JE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162439 | PA      | $165651.98    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132A2F64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103067 | PA      | $106867.33    | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae REMICS                                | CUSIP: 3136BRTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10501044 | PA      | $10520582.52  | 0.22%             | 2054-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31371J5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       975 | PA      | $1035.56      | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652590 | PA      | $665100.92    | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31403DUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135675 | PA      | $140614.28    | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140AXY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10096474 | PA      | $10089652.86  | 0.21%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QNLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15239250 | PA      | $12337887.06  | 0.26%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XMC20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19484393 | PA      | $15917895.94  | 0.34%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XMC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31477109 | PA      | $25705582.78  | 0.54%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31418D4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26333910 | PA      | $24976512.75  | 0.53%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36209RZK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1652 | PA      | $1698.42      | 0.00%             | 2030-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 3620C3BR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    477928 | PA      | $464393.13    | 0.01%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36210JJ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5148 | PA      | $5321.09      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36210MTM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2429 | PA      | $2484.26      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36295FJM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34733 | PA      | $36336.57     | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36295QHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81414 | PA      | $81527.35     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WLQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21184 | PA      | $21593.37     | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WM2L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32006 | PA      | $32630.15     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132CWQ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30646168 | PA      | $29210146.83  | 0.62%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22715082 | PA      | $23195235.55  | 0.49%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132E0CV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21411740 | PA      | $21005810.08  | 0.44%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3133KH3D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16257588 | PA      | $13800996.23  | 0.29%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137HH4K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22732787 | PA      | $22774060.21  | 0.48%             | 2054-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7097 | PA      | $7459.12      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31402QSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413591 | PA      | $428574.98    | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31403DBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32966 | PA      | $34184.09     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QFFF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29660655 | PA      | $25150995.33  | 0.53%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QL7B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  54914053 | PA      | $47045319.36  | 0.99%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QMEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5221599 | PA      | $4963828.72   | 0.10%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XD5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4961005 | PA      | $4093232.00   | 0.09%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XG6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1575491 | PA      | $1501174.27   | 0.03%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WHMH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8969 | PA      | $9413.90      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132CXCN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25768091 | PA      | $23966344.76  | 0.51%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DNMP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32622230 | PA      | $29117711.91  | 0.62%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1573719 | PA      | $1548802.29   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DV6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40771586 | PA      | $33308599.64  | 0.70%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  61624772 | PA      | $57071663.08  | 1.21%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWGR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18901043 | PA      | $19253322.22  | 0.41%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132E0VL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30583435 | PA      | $26019490.56  | 0.55%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31368HKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2948 | PA      | $3091.01      | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137FQQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11972968 | PA      | $11851084.03  | 0.25%             | 2050-01-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac REMICS                               | CUSIP: 3137HDLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29954793 | PA      | $30073911.23  | 0.64%             | 2054-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31385HUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3912 | PA      | $4111.20      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31389K5Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17860 | PA      | $18893.60     | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31401HUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       318 | PA      | $332.89       | 0.00%             | 2033-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31409JYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46745 | PA      | $49189.68     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QM2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19316581 | PA      | $17941789.05  | 0.38%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QMZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15007697 | PA      | $12805628.40  | 0.27%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QVPL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31750070 | PA      | $31098532.73  | 0.66%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XDYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9451815 | PA      | $7766024.61   | 0.16%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140XFQS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6215675 | PA      | $5089588.64   | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 3620AR3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59154 | PA      | $59244.22     | 0.00%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36210JUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3502 | PA      | $3583.03      | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36225A7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1412 | PA      | $1460.04      | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36225BLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3100 | PA      | $3171.53      | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust             | SMB Private Education Loan Trust 2018-A          | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   1770914 | PA      | $1769688.40   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WGWV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9446 | PA      | $9794.07      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3131WWVW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4151 | PA      | $4362.91      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DPBQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8696786 | PA      | $7445172.31   | 0.16%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19809427 | PA      | $16158672.51  | 0.34%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                  | Freddie Mac Pool                                 | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16156802 | PA      | $16789287.87  | 0.35%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31387WGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56038 | PA      | $59279.80     | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31403DUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45722 | PA      | $47419.18     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140KNGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12577121 | PA      | $10794574.49  | 0.23%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QN2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17436636 | PA      | $16153789.86  | 0.34%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 3140QSKY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5312350 | PA      | $5322623.46   | 0.11%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31410GF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153082 | PA      | $158765.08    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31416WFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375992 | PA      | $376467.10    | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31417Y3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8699 | PA      | $8678.10      | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                  | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36510132 | PA      | $29827178.61  | 0.63%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae II Pool                               | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1321368 | PA      | $1321577.29   | 0.03%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Ginnie Mae I Pool                                | CUSIP: 36296JDL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94441 | PA      | $97346.47     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | Government National Mortgage Association         | CUSIP: 38384QRD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6458641 | PA      | $6432280.04   | 0.14%             | 2053-09-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-24

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

**Signature:** Stephen Van Meter

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

**Title:** Chief Compliance Officer