# EDGAR Filing Document

**Accession Number:** 0000745463
**File Stem:** 0001752724-25-150435
**Filing Date:** 2025-6
**Character Count:** 226149
**Document Hash:** 7c5444d512512e80da677ca9fb61506d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-150435.hdr.sgml**: 20250623

**ACCESSION NUMBER**: 0001752724-25-150435

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250623

**DATE AS OF CHANGE**: 20250623

**PERIOD START**: 20251031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04015
- **FILM NUMBER:** 251063204

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $536841432.36

**Total Liabilities:** $177411177.14

**Net Assets:** $359430255.22

**Cash Not Reported:** $1459393.83

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3.07000000 | **1-Year:** -54.60000000 | **5-Year:** -215.80000000 | **10-Year:** -738.93000000 | **30-Year:** -351.94000000

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

- **3-Month:** -228.50000000 | **1-Year:** -2191.48000000 | **5-Year:** -6211.54000000 | **10-Year:** -24674.48000000 | **30-Year:** -21565.96000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014451 | 2.93%                | 0.65%                | 1.39%                |
| Class ID C000014453 | 3.07%                | 0.59%                | 1.14%                |
| Class ID C000014450 | 2.92%                | 0.63%                | 1.37%                |
| Class ID C000077399 | 2.95%                | 0.67%                | 1.41%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2518836.61             | $10114966.96                               |
| Month 2  | $-92841.63               | $-86093.92                                 |
| Month 3  | $-254245.48              | $1448797.22                                |

**Designated Index Information**

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

- **Index Identifier:** ML_MBS

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8206096 | PA      | $512485.45    | 0.14%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FFDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1065715 | PA      | $1094640.51   | 0.30%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A53Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122274 | PA      | $123521.32    | 0.03%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618J6FB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1425587 | PA      | $1443995.81   | 0.40%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382XJH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1770271 | PA      | $1020187.19   | 0.28%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382J4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3914308 | PA      | $56459.59     | 0.02%             | 2050-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BAW98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70815 | PA      | $72814.26     | 0.02%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N4TU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32191 | PA      | $32377.36     | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1834533 | PA      | $-1834533.00  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B7SX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129167 | PA      | $131861.62    | 0.04%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384D3W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5177305.50   | 1.44%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FWR77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225685 | PA      | $103723.11    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383HMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3823735 | PA      | $184399.23    | 0.05%             | 2053-01-20      | Floating      | 1.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    855751 | PA      | $855235.67    | 0.24%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382LAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6383274 | PA      | $802209.03    | 0.22%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618APKQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175035 | PA      | $176820.93    | 0.05%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133T82X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1633 | PA      | $1633.80      | 0.00%             | 2026-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA II REPO                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1687751 | PA      | $-1687751.15  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382WWM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2161114 | PA      | $1347231.48   | 0.37%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AV6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13608 | PA      | $13746.38     | 0.00%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10176 | PA      | $10445.96     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AWZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2529330 | PA      | $2591498.68   | 0.72%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AQ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $6214708.20   | 1.73%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31412BLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14162 | PA      | $14180.35     | 0.00%             | 2027-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ATL41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1883496 | PA      | $1979626.04   | 0.55%             | 2053-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1318586 | PA      | $1346090.33   | 0.37%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes                                                                        | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957512 | PA      | $926407.52    | 0.26%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378MQ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5503396 | PA      | $12768.98     | 0.00%             | 2042-07-20      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470241 | PA      | $480049.37    | 0.13%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BAJJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119924 | PA      | $121147.98    | 0.03%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SBA IO Trust                                      | SBAIO 2018-4 Trust                                                                                            | CUSIP: 78415CAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |  12704810 | PA      | $504369.52    | 0.14%             | 2044-02-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393579 | PA      | $411723.64    | 0.11%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138ET6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27669 | PA      | $28958.99     | 0.01%             | 2037-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385HJ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294934 | PA      | $290909.07    | 0.08%             | 2035-08-01      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381R4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2225000 | PA      | $272922.99    | 0.08%             | 2049-03-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133T66M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9996 | PA      | $10036.48     | 0.00%             | 2026-03-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BFLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3483806 | PA      | $492267.32    | 0.14%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | Ginnie Mae II Pool                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1697831 | PA      | $-1697831.05  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FWJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4691163 | PA      | $614615.95    | 0.17%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383VVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5040565 | PA      | $338153.39    | 0.09%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382NPV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409037 | PA      | $261450.95    | 0.07%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                             | Ginnie Mae II Pool                                                                                            | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -3941533 | PA      | $-3941533.46  | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AGXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    971524 | PA      | $979136.84    | 0.27%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380YYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2456490 | PA      | $300880.78    | 0.08%             | 2048-09-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ASK28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1475413 | PA      | $1531964.65   | 0.43%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133BW5R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1189959 | PA      | $1235128.77   | 0.34%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA2 30YR                                                                                                | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1835108 | PA      | $-1835107.54  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385WZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119600 | PA      | $122111.63    | 0.03%             | 2040-04-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA 23 164 REPO                                                                                          | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -4926841 | PA      | $-4926840.60  | -1.37%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617L7YU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211273 | PA      | $197804.93    | 0.06%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380TSV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32425 | PA      | $20209.76     | 0.01%             | 2046-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 31325W4K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1870677 | PA      | $390895.09    | 0.11%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179UKN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140750 | PA      | $134682.44    | 0.04%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11726834 | PA      | $235225.05    | 0.07%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31389AZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21504 | PA      | $21161.19     | 0.01%             | 2035-03-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385HJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81046 | PA      | $80004.36     | 0.02%             | 2034-09-01      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BXW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3111510.30   | 0.87%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610511 | PA      | $623245.64    | 0.17%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133BN4R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    652077 | PA      | $652264.07    | 0.18%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1616516 | PA      | $1623749.65   | 0.45%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BPF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $7340375.00   | 2.04%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9480 | PA      | $9481.21      | 0.00%             | 2026-12-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Star Trust                                        | STAR 2021-SFR1 Trust                                                                                          | CUSIP: 85521DAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $481046.80    | 0.13%             | 2038-04-17      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385FNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2056361.00   | 0.57%             | 2055-04-20      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384WJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2065056 | PA      | $2070876.30   | 0.58%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AJWP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    472676 | PA      | $477499.58    | 0.13%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145331 | PA      | $146813.66    | 0.04%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AQ5X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    964581 | PA      | $989697.10    | 0.28%             | 2053-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP4R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361008 | PA      | $369881.49    | 0.10%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383APQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1750313 | PA      | $1270702.07   | 0.35%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ANUT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276830 | PA      | $282604.29    | 0.08%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F9WE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7467153 | PA      | $1028978.91   | 0.29%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383DCB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5592105 | PA      | $939427.71    | 0.26%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP FHLMC MBS REPO                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -4498122 | PA      | $-4498121.71  | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AJDD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472222 | PA      | $376411.03    | 0.10%             | 2043-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FRWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1905309 | PA      | $277463.63    | 0.08%             | 2050-04-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379DKM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3313332 | PA      | $16131.29     | 0.00%             | 2040-05-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379CZJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7590888 | PA      | $30617.09     | 0.01%             | 2035-09-20      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31410F4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69619 | PA      | $68082.48     | 0.02%             | 2036-05-01      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384D7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19000000 | PA      | $20136948.60  | 5.60%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FW2T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118473 | PA      | $120944.28    | 0.03%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AAWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1307742 | PA      | $955529.71    | 0.27%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585311 | PA      | $593738.45    | 0.17%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B55L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215914 | PA      | $199772.95    | 0.06%             | 2043-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N4EY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3139118 | PA      | $3198202.06   | 0.89%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384B2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2592992.75   | 0.72%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382FP57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    707881 | PA      | $389865.03    | 0.11%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KKR                                               | KKR                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3347036 | PA      | $3349281.80   | 0.93%             | 2025-12-13      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31373HXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124451 | PA      | $121160.45    | 0.03%             | 2034-07-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A84C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    777727 | PA      | $788925.17    | 0.22%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HABQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3710607 | PA      | $3804194.49   | 1.06%             | 2053-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE3P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134933 | PA      | $134767.79    | 0.04%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR Trust 2019-HQA3                                                                             | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1145000.00   | 0.32%             | 2049-09-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312732 | PA      | $315922.95    | 0.09%             | 2062-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H02K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134603 | PA      | $88109.87     | 0.02%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AKMR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144917 | PA      | $147939.66    | 0.04%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AV5W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334858 | PA      | $338274.57    | 0.09%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133TGU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29369 | PA      | $29997.07     | 0.01%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2021-SB91 Mortgage Trust                                                                                | CUSIP: 30322XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4429168 | PA      | $118149.39    | 0.03%             | 2041-08-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382E7X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2424301 | PA      | $312606.88    | 0.09%             | 2049-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1794808 | PA      | $1869263.67   | 0.52%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ATZM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    864404 | PA      | $886730.94    | 0.25%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382LXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13180536 | PA      | $1548239.78   | 0.43%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A5RD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512820 | PA      | $519098.36    | 0.14%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122805 | PA      | $127299.95    | 0.04%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B3DN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487035 | PA      | $506477.57    | 0.14%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FXMN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6645856 | PA      | $868136.92    | 0.24%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDC63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8536850 | PA      | $1053194.59   | 0.29%             | 2049-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QSQ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043430 | PA      | $1079532.71   | 0.30%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379GNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2818837 | PA      | $18803.34     | 0.01%             | 2037-11-20      | Floating      | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A54C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886252 | PA      | $899011.98    | 0.25%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HJH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3884406 | PA      | $4379375.10   | 1.22%             | 2055-02-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383X6V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1223746 | PA      | $1267922.13   | 0.35%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HBUF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4264455 | PA      | $4217018.20   | 1.17%             | 2054-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FUYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1730259 | PA      | $1746520.13   | 0.49%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -4859860 | PA      | $-4859860.49  | -1.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BQSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4554040 | PA      | $3700768.33   | 1.03%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BUCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3830288 | PA      | $3206060.77   | 0.89%             | 2055-01-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -2033438 | PA      | $-2033437.74  | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AV6U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189291 | PA      | $193239.64    | 0.05%             | 2062-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FWT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1299744 | PA      | $129242.29    | 0.04%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384ARX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685028 | PA      | $743433.33    | 0.21%             | 2053-05-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382USB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191622 | PA      | $114056.07    | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733264 | PA      | $755182.25    | 0.21%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38385E2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2030852.60   | 0.57%             | 2055-04-20      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FQFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    675209 | PA      | $380098.13    | 0.11%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1862829 | PA      | $1911526.24   | 0.53%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FCZU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54911 | PA      | $55470.83     | 0.02%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ABV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795000 | PA      | $537769.72    | 0.15%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AA4Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78020 | PA      | $78816.09     | 0.02%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H9W88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2068108.40   | 0.58%             | 2052-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B1WD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540366 | PA      | $460188.51    | 0.13%             | 2043-05-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AEBF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    952692 | PA      | $979681.15    | 0.27%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383UQX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16201596 | PA      | $217348.46    | 0.06%             | 2052-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust             | Pagaya AI Technology in Housing Trust 2023-1                                                                  | CUSIP: 69547YAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $824237.50    | 0.23%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ACVE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32158 | PA      | $32829.00     | 0.01%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                           | PNMAC GMSR ISSUER TRUST 2022-GT1                                                                              | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504586.90    | 0.14%             | 2027-05-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1582396 | PA      | $103815.76    | 0.03%             | 2053-03-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HFKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4149041 | PA      | $3958205.14   | 1.10%             | 2054-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1899722 | PA      | $1978529.53   | 0.55%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F64M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103370 | PA      | $47514.67     | 0.01%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BEV56DRW0 IRS USD R V 12MSOFR 1 CCPOIS / Short: BEV56DRW0 IRS USD P F  1.92000 2 CCPOIS                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  11600000 | OU      | $3815712.12   | 1.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA 23 99A REPO                                                                                          | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -3965386 | PA      | $-3965386.26  | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVR46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2546681 | PA      | $334283.40    | 0.09%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382K4V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4071082 | PA      | $476448.04    | 0.13%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382XTW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3020537 | PA      | $25021.22     | 0.01%             | 2051-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383LBU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    847198 | PA      | $975098.19    | 0.27%             | 2052-11-20      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1703237 | PA      | $1773893.03   | 0.49%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                           | NYMT Loan Trust Series 2024-BPL1                                                                              | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2014486.20   | 0.56%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1721202 | PA      | $1757103.65   | 0.49%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383U4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1273085 | PA      | $1413606.26   | 0.39%             | 2052-10-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NMHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1036756 | PA      | $1058456.55   | 0.29%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N7CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1870774 | PA      | $1882068.56   | 0.52%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9388886 | PA      | $471174.20    | 0.13%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BWMD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1769744 | PA      | $1816782.04   | 0.51%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QRSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1638342 | PA      | $1698228.03   | 0.47%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3162943 | PA      | $3191679.93   | 0.89%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1045357 | PA      | $69751.58     | 0.02%             | 2053-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383VUX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2394476 | PA      | $112200.10    | 0.03%             | 2053-02-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AGA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1509399 | PA      | $1611074.42   | 0.45%             | 2053-05-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA CUSTOM PROCESSION                      | CALIFORNIA CUSTOM PROCESSION                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11456149 | PA      | $11457226.12  | 3.19%             | 2043-02-16      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    640790 | PA      | $654156.24    | 0.18%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31373HX27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16927 | PA      | $16505.49     | 0.00%             | 2034-08-01      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKL80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1762126 | PA      | $1792221.77   | 0.50%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                     | CUSIP: 31300LP90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304666 | PA      | $311267.53    | 0.09%             | 2036-11-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497110 | PA      | $511192.27    | 0.14%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B3DM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    951340 | PA      | $977993.70    | 0.27%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Unison Trust                                      | Unison Trust 2021-1                                                                                           | CUSIP: 90919VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8089704 | PA      | $7892679.22   | 2.20%             | 2050-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AYDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10047490 | PA      | $32092.69     | 0.01%             | 2042-10-25      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B96M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114891 | PA      | $118133.40    | 0.03%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HIDDEN HOLLOW ENERGY                              | HIDDEN HOLLOW ENERGY                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4135989 | PA      | $4136377.74   | 1.15%             | 2043-02-16      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179YSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530448 | PA      | $543762.22    | 0.15%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200174 | PA      | $202216.16    | 0.06%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382WGF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3586719 | PA      | $127063.11    | 0.04%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BLX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24374072 | PA      | $1456419.02   | 0.41%             | 2053-06-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ATRV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    399602 | PA      | $410323.27    | 0.11%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1705908 | PA      | $-1705908.46  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AUH77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373167 | PA      | $207920.75    | 0.06%             | 2042-09-15      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 31358S2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1187 | PA      | $1192.24      | 0.00%             | 2027-03-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AUH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419075 | PA      | $295771.81    | 0.08%             | 2042-09-15      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Mello Warehouse Securitization Trust              | Mello Warehouse Securitization Trust 2025-1                                                                   | CUSIP: 58550CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2009906.80   | 0.56%             | 2059-05-25      | Floating      | 10.83%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BWMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1017702 | PA      | $1044751.68   | 0.29%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                              | CHNGE Mortgage Trust 2023-1                                                                                   | CUSIP: 12547QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476321 | PA      | $479438.65    | 0.13%             | 2058-03-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                              | LHOME Mortgage Trust 2023-RTL2                                                                                | CUSIP: 50205BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $1059146.13   | 0.29%             | 2028-06-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ATX89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1021959 | PA      | $1074117.72   | 0.30%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B1RV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    978809 | PA      | $999225.76    | 0.28%             | 2063-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AV5Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48287 | PA      | $49649.91     | 0.01%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354888 | PA      | $368490.60    | 0.10%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    531736 | PA      | $551800.45    | 0.15%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3167750 | PA      | $211368.42    | 0.06%             | 2053-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133THHD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7718 | PA      | $7788.84      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP FHLMC 30 YR UMBS REPO                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -807714 | PA      | $-807713.73   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BJ6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198116 | PA      | $202248.20    | 0.06%             | 2063-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618FGDS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1196401 | PA      | $1251107.50   | 0.35%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382UZ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1211781 | PA      | $728547.58    | 0.20%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AJWN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    755313 | PA      | $754857.94    | 0.21%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP FNR 23 12 REPO                                                                                            | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1948004 | PA      | $-1948004.26  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                              | CHNGE Mortgage Trust 2023-2                                                                                   | CUSIP: 169926AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1501938 | PA      | $1520027.26   | 0.42%             | 2058-06-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FCZX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162764 | PA      | $164425.39    | 0.05%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AUD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192371 | PA      | $197099.26    | 0.05%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382NRE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405700 | PA      | $226295.31    | 0.06%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNR 23 165 REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        | -19048941 | PA      | $-19048940.83 | -5.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP FHLMC 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1565442 | PA      | $-1565441.96  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA 23 84 REPO                                                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -3470826 | PA      | $-3470826.19  | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AS3Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1097551 | PA      | $1126722.91   | 0.31%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BCEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    658871 | PA      | $86791.49     | 0.02%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32235 | PA      | $33315.99     | 0.01%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BBA44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98813 | PA      | $58214.05     | 0.02%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381DZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8412802 | PA      | $460529.41    | 0.13%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133TKDP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22094 | PA      | $22494.46     | 0.01%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383UAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39325400 | PA      | $420313.81    | 0.12%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179Y7H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628979 | PA      | $643783.60    | 0.18%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -2502598 | PA      | $-2502598.18  | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FRXZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151869 | PA      | $155037.17    | 0.04%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N3A74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55498 | PA      | $55578.32     | 0.02%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382T5C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315357 | PA      | $212223.72    | 0.06%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382PY55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2385 | PA      | $1177.02      | 0.00%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                      | Champs Trust 2024-1                                                                                           | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3031810 | PA      | $3121177.16   | 0.87%             | 2059-07-25      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BPR37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2065038.00   | 0.57%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382QR28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49578 | PA      | $29030.48     | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AJWQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540395 | PA      | $551666.70    | 0.15%             | 2062-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617LC6W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    906152 | PA      | $848388.32    | 0.24%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       125 | PA      | $125.16       | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382MS34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141151 | PA      | $90741.29     | 0.03%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                      | Champs Trust 2024-2                                                                                           | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2446537 | PA      | $2547163.76   | 0.71%             | 2059-11-25      | Variable      | 9.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31378A5Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29550 | PA      | $29362.73     | 0.01%             | 2026-11-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2124195 | PA      | $2213641.83   | 0.62%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    955523 | PA      | $977978.89    | 0.27%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNR 23 96 REPO                                                                                            | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -2479758 | PA      | $-2479758.16  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FDQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734137 | PA      | $149590.56    | 0.04%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128LXEL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18610 | PA      | $18892.50     | 0.01%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224041 | PA      | $1205574.77   | 0.34%             | 2036-07-01      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31402DRD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49707 | PA      | $48606.98     | 0.01%             | 2035-03-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| NOMURA CORPORATE FDG AMERS LLC                    | NOMURA CORPORATE FDG AMERS LLC                                                                                | CUSIP: 65538RAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17490000 | PA      | $17631126.81  | 4.91%             | 2059-01-01      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust         | FARM 2023-1 Mortgage Trust                                                                                    | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2979257 | PA      | $2208709.50   | 0.61%             | 2052-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383ACD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    920276 | PA      | $547659.29    | 0.15%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AKMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136742 | PA      | $138137.57    | 0.04%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30 YR REPO                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -2478716 | PA      | $-2478715.55  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1639635 | PA      | $1681985.85   | 0.47%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HHTC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1960121 | PA      | $2052831.87   | 0.57%             | 2054-12-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N5DK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    789685 | PA      | $791293.38    | 0.22%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQVD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    807025 | PA      | $821836.91    | 0.23%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722296 | PA      | $721409.70    | 0.20%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753751 | PA      | $756652.41    | 0.21%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H3V58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    798528 | PA      | $552240.27    | 0.15%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDNC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287693 | PA      | $290628.74    | 0.08%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650908 | PA      | $664484.77    | 0.18%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AHYY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254020 | PA      | $256612.19    | 0.07%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNR 23 173 REPO                                                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -4926857 | PA      | $-4926857.23  | -1.37%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382GB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1609506 | PA      | $222331.85    | 0.06%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F9NV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1266254 | PA      | $620259.45    | 0.17%             | 2051-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AYUG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    732635 | PA      | $740110.80    | 0.21%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC Issuer Trust-FMSR                                                                                         | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3040919.40   | 0.85%             | 2029-09-25      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10081131 | PA      | $463209.82    | 0.13%             | 2053-02-20      | Floating      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381TP41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2941071 | PA      | $352013.51    | 0.10%             | 2049-04-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 3136FENW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643121 | PA      | $525557.22    | 0.15%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AEJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322852 | PA      | $246349.84    | 0.07%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384MLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4101654 | PA      | $600319.73    | 0.17%             | 2064-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BY62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2593561.25   | 0.72%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDWK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170029 | PA      | $171764.41    | 0.05%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: BMIDYNLX1 CDS USD R F  7.85000 / Short: BMIDYNLX1 CDS USD P V 01MEVENT                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |   1305616 | OU      | $-7188.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618J6FA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2530094 | PA      | $2562765.44   | 0.71%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383DUX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11918850 | PA      | $1738974.52   | 0.48%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618H9TF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3961299 | PA      | $4045047.92   | 1.13%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VineBrook Homes                                   | VINE 2023-SFR1 Trust                                                                                          | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1877333.60   | 0.52%             | 2040-12-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383XYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1993770 | PA      | $2166153.26   | 0.60%             | 2053-04-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDHZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1064444 | PA      | $1127419.85   | 0.31%             | 2053-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FQTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    479279 | PA      | $473323.66    | 0.13%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1483624 | PA      | $1507340.69   | 0.42%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AFAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288763 | PA      | $288408.82    | 0.08%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31335PLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3885 | PA      | $3954.40      | 0.00%             | 2028-06-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP6N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720127 | PA      | $727475.65    | 0.20%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2397657 | PA      | $2367863.29   | 0.66%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1827188 | PA      | $1872098.97   | 0.52%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AMBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1257686 | PA      | $1275794.86   | 0.35%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B9LK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315122 | PA      | $318337.25    | 0.09%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31387UDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33210 | PA      | $33494.07     | 0.01%             | 2030-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382LPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7698260 | PA      | $944354.02    | 0.26%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDH32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487336 | PA      | $503623.21    | 0.14%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383WAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5040565 | PA      | $338153.39    | 0.09%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -3866877 | PA      | $-3866876.93  | -1.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618ANUX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76845 | PA      | $78447.83     | 0.02%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B4AK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319322 | PA      | $192764.89    | 0.05%             | 2043-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AGHS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138199 | PA      | $141081.72    | 0.04%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F3E59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    524882 | PA      | $109323.23    | 0.03%             | 2048-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HL6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4100882.80   | 1.14%             | 2055-05-25      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F6XF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    978882 | PA      | $1006919.22   | 0.28%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                       | LOANDEPOT GMSR Master Trust Seres 2018-GT1                                                                    | CUSIP: 53946TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $997385.60    | 0.28%             | 2025-10-16      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNR 23 63 REPO                                                                                            | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -2974605 | PA      | $-2974605.42  | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31381DZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       132 | PA      | $133.78       | 0.00%             | 2030-07-15      | Fixed         | 8.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQJL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1826318 | PA      | $1860692.77   | 0.52%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2023-H12 LLC                                                                                             | CUSIP: 12530QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3490000 | PA      | $3210327.80   | 0.89%             | 2033-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382VNE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37824 | PA      | $18964.96     | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F7ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3966558 | PA      | $149273.48    | 0.04%             | 2050-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F2J97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4680447 | PA      | $4949057.20   | 1.38%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F5VL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    911044 | PA      | $935258.80    | 0.26%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383LCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1511646 | PA      | $1683850.76   | 0.47%             | 2052-11-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382URP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4275588 | PA      | $724485.08    | 0.20%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                           | CUSIP: 912797QA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    980000 | PA      | $971463.78    | 0.27%             | 2025-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B1RS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1153639 | PA      | $1165411.02   | 0.32%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AMBL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585230 | PA      | $607844.57    | 0.17%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B54N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457260 | PA      | $468499.22    | 0.13%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP FNMA REPO                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -814240 | PA      | $-814239.99   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AAZX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304660 | PA      | $195199.60    | 0.05%             | 2042-12-25      | Floating      | 0.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F3NP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778157 | PA      | $162075.75    | 0.05%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384B3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3102832.20   | 0.86%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP FNMA 30 YR UMBS REPO                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -3085725 | PA      | $-3085724.59  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BVHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992035 | PA      | $1014722.42   | 0.28%             | 2055-03-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B1JT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    753104 | PA      | $768812.47    | 0.21%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BSLH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259265 | PA      | $150168.25    | 0.04%             | 2046-10-15      | Floating      | 0.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382WAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2940179 | PA      | $506936.86    | 0.14%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411407 | PA      | $406629.43    | 0.11%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1555565.10   | 0.43%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B1P39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    977694 | PA      | $998086.89    | 0.28%             | 2063-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BA2V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4519714 | PA      | $686991.56    | 0.19%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BA3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2881233 | PA      | $442800.01    | 0.12%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383CGN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519235 | PA      | $357677.93    | 0.10%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REAP HIDDEN HOLLOW                                | REAP HIDDEN HOLLOW                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11098275 | PA      | $11099317.94  | 3.09%             | 2043-02-16      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B7YD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149565 | PA      | $153786.13    | 0.04%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1633149 | PA      | $1632166.39   | 0.45%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 REPO                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -2278257 | PA      | $-2278256.87  | -0.63%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383XXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4055791.20   | 1.13%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36241KMJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       576 | PA      | $575.62       | 0.00%             | 2025-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA 23 98 REPO                                                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -2974711 | PA      | $-2974711.16  | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FY4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    563998 | PA      | $238922.55    | 0.07%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36225CEQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21291 | PA      | $21311.41     | 0.01%             | 2027-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384ABM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3112213.50   | 0.87%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384D7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $10367698.00  | 2.88%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A87D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1309091 | PA      | $1307485.28   | 0.36%             | 2062-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384BS69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4147568.40   | 1.15%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDH57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    380889 | PA      | $400260.16    | 0.11%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133JL7G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4768722 | PA      | $4629126.44   | 1.29%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FWU65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1042265 | PA      | $137658.42    | 0.04%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N7CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1828628 | PA      | $1871617.99   | 0.52%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384C7X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1375178 | PA      | $1611744.85   | 0.45%             | 2053-10-20      | Floating      | 10.78%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1157143 | PA      | $1168017.62   | 0.32%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383DSE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7421917 | PA      | $95626.20     | 0.03%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AEBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1100896 | PA      | $1110898.67   | 0.31%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | Ginnie Mae II Pool                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1825453 | PA      | $-1825453.18  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382KXR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4979107 | PA      | $620110.46    | 0.17%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B73P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147151 | PA      | $148652.14    | 0.04%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A5NA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1336592 | PA      | $1352954.19   | 0.38%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDH40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489132 | PA      | $505716.20    | 0.14%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H16E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113013 | PA      | $57681.94     | 0.02%             | 2051-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BPM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2066919.40   | 0.58%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3133THYV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34971 | PA      | $35280.61     | 0.01%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVW40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2474260 | PA      | $322418.59    | 0.09%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31283HG58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       114 | PA      | $116.85       | 0.00%             | 2027-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617M7BU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    438312 | PA      | $397872.28    | 0.11%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP FNMA 30YR REPO                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1763232 | PA      | $-1763232.44  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | BMIELZVP2 EATON VANCE                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  15000000 | NC      | $99457.65     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KRL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    637203 | PA      | $648897.51    | 0.18%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AUH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208334 | PA      | $113121.87    | 0.03%             | 2042-09-15      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A9D51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293957 | PA      | $296956.59    | 0.08%             | 2062-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                           | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   2341069 | NS      | $2341068.92   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE6F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57219 | PA      | $57148.54     | 0.02%             | 2062-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H0ZK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59758 | PA      | $35463.58     | 0.01%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FYPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1412724 | PA      | $1396316.51   | 0.39%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618FGDR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2509240 | PA      | $2581966.58   | 0.72%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -12000000 | PA      | $-11769332.40 | -3.27%            | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNR 23 53 REPO                                                                                            | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -3850361 | PA      | $-3850361.40  | -1.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A5NB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    645112 | PA      | $667500.46    | 0.19%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                     | CUSIP: 31300MNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268104 | PA      | $274066.24    | 0.08%             | 2038-05-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                      | CHAMPS TRUST 2024-3                                                                                           | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1405941 | PA      | $1456154.28   | 0.41%             | 2060-01-25      | Variable      | 8.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383VXN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3335668 | PA      | $223777.95    | 0.06%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B5YV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153664 | PA      | $156869.18    | 0.04%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382T5V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5493023 | PA      | $743975.57    | 0.21%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382W5G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1987077 | PA      | $1163967.34   | 0.32%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 31397T3D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    949625 | PA      | $775491.29    | 0.22%             | 2038-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382DQJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3119256 | PA      | $515667.31    | 0.14%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B1TS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2106014 | PA      | $358899.94    | 0.10%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B72W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    724705 | PA      | $732100.55    | 0.20%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F6BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2136308 | PA      | $1043465.61   | 0.29%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                     | Radnor RE 2022-1 Ltd                                                                                          | CUSIP: 75049XAA0<br>LEI: 254900E0VCENS5C16U77 | Long             | ABS-MBS          | CORP              | US        |     63049 | PA      | $63284.54     | 0.02%             | 2032-09-25      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6028047 | PA      | $932958.44    | 0.26%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31402RH51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136303 | PA      | $135824.29    | 0.04%             | 2044-04-01      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382XH24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1195501 | PA      | $686930.75    | 0.19%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F6JE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    796093 | PA      | $399968.09    | 0.11%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA II MODIFIED REPO                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1912440 | PA      | $-1912439.95  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383VQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9451060 | PA      | $634037.61    | 0.18%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AJWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    952067 | PA      | $691591.30    | 0.19%             | 2044-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381RHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1808012 | PA      | $217061.59    | 0.06%             | 2049-02-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382KWY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9331886 | PA      | $1174896.52   | 0.33%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AECC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1561931 | PA      | $1576122.16   | 0.44%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AGR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1670283 | PA      | $1836223.60   | 0.51%             | 2053-05-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5173059 | PA      | $649562.37    | 0.18%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1897882 | PA      | $-1897882.46  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| JPM Lending Facility                              | JPM Lending Facility                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2887500 | PA      | $2906632.58   | 0.81%             | 2029-07-15      | Variable      | 11.32%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A53X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356824 | PA      | $356385.97    | 0.10%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383CV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9225998 | PA      | $516486.10    | 0.14%             | 2063-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA II MODIFIED REPO                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |   -764400 | PA      | $-764399.84   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AUH69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499584 | PA      | $352593.20    | 0.10%             | 2042-09-15      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | Ginnie Mae II Pool                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1675568 | PA      | $-1675567.86  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A9EW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1617930 | PA      | $1641225.20   | 0.46%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AQ2V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    923250 | PA      | $922693.90    | 0.26%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FUZD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886487 | PA      | $899251.17    | 0.25%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR CASH/RRP REPO                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1918532 | PA      | $-1918531.73  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVS60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4329955 | PA      | $564232.54    | 0.16%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617XR5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3963962 | PA      | $3914704.67   | 1.09%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HBLJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4284001 | PA      | $4093323.56   | 1.14%             | 2054-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B9EX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1866194 | PA      | $273409.59    | 0.08%             | 2050-02-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A8QA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1032446 | PA      | $1072341.34   | 0.30%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383CB74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7844927 | PA      | $68317.55     | 0.02%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1524684 | PA      | $-1524684.49  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNR 23 165 REPO                                                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -9824720 | PA      | $-9824720.45  | -2.73%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618F22X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1664777 | PA      | $1712459.18   | 0.48%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AUC55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1381249 | PA      | $1396042.62   | 0.39%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FUYY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1960370 | PA      | $2013577.39   | 0.56%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B6VN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351106 | PA      | $364633.78    | 0.10%             | 2053-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 3128HWPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1001981 | PA      | $826108.19    | 0.23%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382KAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9747997 | PA      | $1336273.01   | 0.37%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B7Y36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149069 | PA      | $150589.85    | 0.04%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380GWN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    789465 | PA      | $767468.51    | 0.21%             | 2047-09-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) JUN25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1707 | NC      | $2962913.30   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVPY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3057542 | PA      | $401328.73    | 0.11%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384ACL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1362678 | PA      | $1480520.99   | 0.41%             | 2053-05-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383FCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1105033 | PA      | $793239.76    | 0.22%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N7KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1128245 | PA      | $1132588.44   | 0.32%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    804329 | PA      | $845380.34    | 0.24%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BVQF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446993 | PA      | $466234.22    | 0.13%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382NXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6225509 | PA      | $893675.56    | 0.25%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3617AUBH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199951 | PA      | $193457.67    | 0.05%             | 2047-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FUXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1762205 | PA      | $1778766.27   | 0.49%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H1P91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170233 | PA      | $73638.79     | 0.02%             | 2050-04-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FXFJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       579 | PA      | $289.12       | 0.00%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618GKNN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476509 | PA      | $490847.56    | 0.14%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AA3U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    927925 | PA      | $927366.67    | 0.26%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AWA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    775130 | PA      | $791298.63    | 0.22%             | 2063-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BKMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3077501 | PA      | $3234570.47   | 0.90%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133BQEX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    838650 | PA      | $857278.53    | 0.24%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -3184345 | PA      | $-3184345.27  | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383LGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1270095 | PA      | $1325832.55   | 0.37%             | 2052-11-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138AFUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13624 | PA      | $13614.64     | 0.00%             | 2027-09-01      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AF65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3500000 | PA      | $3625442.80   | 1.01%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FCT20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    660290 | PA      | $137738.00    | 0.04%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6088024 | PA      | $952320.45    | 0.26%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618A85F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1285593 | PA      | $1335270.21   | 0.37%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP FNR 23 14 REPO                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -6654655 | PA      | $-6654655.00  | -1.85%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141179 | PA      | $137877.73    | 0.04%             | 2033-03-01      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384GBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5177298.50   | 1.44%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AQ4X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    437411 | PA      | $437148.06    | 0.12%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BDLE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150700 | PA      | $155424.53    | 0.04%             | 2053-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384CFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2057634.80   | 0.57%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AE4A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144187 | PA      | $145658.35    | 0.04%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31402QZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125296 | PA      | $122038.56    | 0.03%             | 2036-10-01      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA II MODIFIED REPO                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1125536 | PA      | $-1125535.97  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | USGA              | US        |  -2525153 | PA      | $-2525152.84  | -0.70%            | 2026-01-06      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BVGL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    898813 | PA      | $928938.01    | 0.26%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2161866 | PA      | $281928.90    | 0.08%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | RRP GNMA2 30YR REPO                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -3360161 | PA      | $-3360161.45  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128C6R76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447868 | PA      | $443528.02    | 0.12%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNR 23 96 REPO                                                                                            | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -2431136 | PA      | $-2431135.74  | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618APGM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1634915 | PA      | $1654929.48   | 0.46%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FMCQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1614258 | PA      | $1655953.38   | 0.46%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64541 | PA      | $65199.93     | 0.02%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                            | Cascade MH Asset Trust 2022-MH1                                                                               | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1268781 | PA      | $1229394.62   | 0.34%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AKMP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145743 | PA      | $148783.48    | 0.04%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AVMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    890768 | PA      | $949432.36    | 0.26%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B3B66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052147 | PA      | $64331.31     | 0.02%             | 2049-02-25      | Floating      | 0.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                     | CUSIP: 3128SGAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89117 | PA      | $86607.27     | 0.02%             | 2035-01-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383V2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3161008 | PA      | $212862.61    | 0.06%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FYLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        71 | PA      | $40.09        | 0.00%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31374TZL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16271 | PA      | $16099.01     | 0.00%             | 2036-05-01      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BMIERJVJ6 IRS USD R V 12MSOFR BMIERJVL1 CCPOIS / Short: BMIERJVJ6 IRS USD P F  3.75850 BMIERJVK3 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  28430000 | OU      | $296431.08    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31296QC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29337 | PA      | $30779.71     | 0.01%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384D3E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4778163 | PA      | $5062816.80   | 1.41%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NJJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1126676 | PA      | $1145945.66   | 0.32%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AUDD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1784462 | PA      | $1803574.62   | 0.50%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B5Y97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101400 | PA      | $102434.24    | 0.03%             | 2063-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AP6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362044 | PA      | $369595.57    | 0.10%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BWLT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428596 | PA      | $439130.18    | 0.12%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | Ginnie Mae II Pool                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -1600540 | PA      | $-1600540.37  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BCV46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1234965 | PA      | $1269822.85   | 0.35%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617FWVH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176375 | PA      | $176158.82    | 0.05%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AWLB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685894 | PA      | $685052.67    | 0.19%             | 2063-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383CB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15532431 | PA      | $136160.40    | 0.04%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31371Y2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84008 | PA      | $81974.52     | 0.02%             | 2033-12-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AECE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1912574 | PA      | $1966157.96   | 0.55%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                     | CUSIP: 31346AJT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41905 | PA      | $40617.89     | 0.01%             | 2034-12-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FVYJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4065209 | PA      | $529733.75    | 0.15%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384AM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1372586 | PA      | $1482800.92   | 0.41%             | 2053-06-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384GQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2588477.75   | 0.72%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618BA4D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674913 | PA      | $674085.34    | 0.19%             | 2063-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381DRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8653269 | PA      | $453319.69    | 0.13%             | 2063-04-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AHWV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107257 | PA      | $110284.14    | 0.03%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NQQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1226973 | PA      | $1273260.08   | 0.35%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618AUEB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    584974 | PA      | $599352.68    | 0.17%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QSBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1277153 | PA      | $1321341.64   | 0.37%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618B3DQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    969469 | PA      | $1019554.71   | 0.28%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382NTK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230982 | PA      | $119700.83    | 0.03%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-23

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

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer